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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95509


    Title: 新上市股票逆選擇問題之研究
    Authors: 林淑娟
    Contributors: 姜堯民
    林淑娟
    Date: 2002
    Issue Date: 2016-05-09 16:24:31 (UTC+8)
    Abstract: 　　本研究針對Rock(1986)以逆選擇理論解釋新上市股票承銷價低估原因進行實證研究。Rock(1986)認為由於投資人之間存在有資訊不對稱，造成資訊充分投資人(informed investor)在IPO股票承銷價被高估的時候不會參與IPO股票的投資，因此資訊不充分投資人(uninformed investor)得到股票配售的機率很高；但在IPO股票承銷價被低估的時候，資訊充分投資人會參與投資，對資訊不充分投資人造成排擠，使資訊不充分投資人得到股票配售的機率很低。這種現象就是逆選擇，由於有逆選擇的情況存在，Rock(1986)認為資訊不充分投資人在考慮了配售率(allocation rate)之後，只能獲得無風險利率的報酬。
    　　本研究的結果顯示，台灣新上市股票異常報酬與配售率之間有顯著的負向關係，且承銷價被低估的IPO股票的配售率顯著低於承銷價被高估的IPO股票的配售率，強烈的支持台灣新上市股票承銷市場存在逆選擇的情形。且使用不同的配售方式對於逆選擇的程度並沒有顯著影響。在考慮了配售率之後，台灣新上市股票配售率加權異常報酬為不顯著的正值(0.716%)，也與Rock(1986)的理論一致。
    Reference: 【國內參考文獻】
    1. 江建政，「新上市股票承銷價故意低估與期初異常報酬之研究」，朝陽科技大學財務金融學系未出版碩士論文，民國86年6月。
    【國外參考文獻】
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    3. Benveniste, L. M., and P. A. Spindt, “How Investment Bank Determine the Offer Price and Allocation of New Issues,” Journal of Financial Economics, 1989, Vol. 24, 343-361.
    4. Benveniste, L. M., and W. J. Wilhelm, “A Comparative Analysis of IPO Proceeds Under Alternative Regulatory Environments.” Journal of Financial Economics, 1990, Vol. 28, 173-207.
    5. Benveniste, L. M., and W. Y. Busaba, “Bookbuilding vs. Fix Price: an Analysis of Competing Strategies for Marketing IPOs. ” Journal of Financial and Quantitative Analysis, 1997, Vol. 32, 383-403.
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    9. Derrien, F., and K. L. Womack, “Auction vs. Bookbuilding and the Control of Underpricing in Hot IPO Market.” 2000, Working Paper.
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    11. Keloharju, M., “The Winner’s Curse, Legal Liability, and the Long-Term Price Performance of Initial Public Offerings in Finland.” Journal of Financial Economic, 1993, Vol. 34, 251-277.
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    15. Lee, P. J., S. L. Taylor, and T. S. Walter, “IPO Underpricing Explanations: Implcations from Investor Application and Allocation Schedules.” Journal of Financial Quantitative Analysis, Dec 1999, Vol. 34, 425-444.
    16. Levis, M., “The Winner’s Curse Problem, Interest Costs and the Underpricing of Initial Public Offerings.” Economic Journal, 1990, Vol. 100, 76-89.
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    18. Loughran, T., J. R. Ritter, and K. Rydkvist, “Initial Public Offerings: International Insights.” Pacific-Basin Finance Journal, 1994, Vol. 2, 165-199.
    19. Michaely, R. and W. H. Shaw , “The Pricing of Initial Public Offerings: Tests of Adverse Selection and Signaling Theories.” Review of Financial Studies, 1994, Vol. 7, 279-317.
    20. Parsons, J. and A. Raviv, “Alternative Methods for Floating New Issues.”, forthcoming.
    21. Ritter, J., ”The ‘Hot Issues’ Market of 1980.” Journal of Bussiness, 1984, Vol. 57 ,215-240.
    22. Rock, K. “Why New Issues are Underpriced.” Journal of Financial Economics, 1986, Vol. 15, 187-212.
    23. Reilly, F. K., “Further Evidences on Short-Run Results for New Issue Investors.” Journal Financial and Quantitative Analysis, 1973, 83-90.
    24. Young, J. E., and J. K. Zaima, “The Aftermarket Performance of Small Firm Initial Public Offerings.” Journal of Bussiness Ventureing, 1988, Winter, 77-87.
    Description: 碩士
    國立政治大學
    財務管理研究所
    89357003
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2010000335
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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