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| Title: | 我國新上市股票承銷價格決定因素之實證研究 |
| Authors: | 劉郁純
LIU, YU-CHUN |
| Contributors: | 林炯垚
劉郁純
LIU, YU-CHUN |
| Date: | 1992
1991 |
| Issue Date: | 2016-05-02 15:16:04 (UTC+8) |
| Abstract: | 台灣的股市係屬於新興的證券市場，自民國七十六年以來，投資人口邊增，繼而蘊釀一股上市熱潮。股票上市往往造成申購熱潮，掛牌後可能有一段期間的漲停板，投資者享有短期超額報酬，於是更熱衷申購新股，也促使市場規模迅速擴大。
從臺灣近年來股市的變化及實證文獻顯示新上市股票確實存在短期超額報酬的背景下，遂形成下列的研究目的：
(一)可否從理論及實務方面的定義找出與新上市股票價值有關的因素，實證測試其與承銷價格之間的關係？
(二)進一步將具有顯著相關的因素建立一解釋力高的模型，找出承銷價格的決定因素？
(三)將這些因素反應於承銷價上，是否能使其較接近於真實價值，減少超額報酬的不合理現象？
本研究係根據訊息均衡理論及臺灣實務規定，並參考國內對新上市股超額報酬成因之研究所歸納出的因素，發展出三類資訊，九個假說，以臺灣地區民國七十三年至七十九年新上市公司為研究對象採用複迴歸分析方法，實證測試『訊息發放』、『會計資訊』、及『公式因子』與新上市股票價值的關係。
實證結果發現，與新上市股票價值最具顯著相關的是承銷價格公式因子：股權淨值及淨利；其次是會計資訊：總資產，營業收入及銷貨毛利；至於訊息發放中除了『內部人員持股比例』呈負相關外，外界專業機構聲譽及宣告股利發放等訊息均無明顯關係。研究結果的附屬發現是：『內部人員持股比例』和『股市熱絡』均與『中籤率』有顯著負相關。
最後，提出的是，目前實務上僅以幾個重要會計資訊訂定承銷價，無法充分反應證券的真實價值，並且建議將『內部人員持股比例』納入承銷價格計算公式中，俾增進承銷價格的合理性。 |
| Reference: | 一、中文書籍、期刊及論文
(一)中文書籍、期刊
1 .何培基編著，商用統計學與SAS/ PC 應用，長諾資訊圖書公司，民國七十九年一月。
2 何培基編譯， SAS/ PC 高等統計(下冊)松崗電腦圖書資料有限公司，民國七十八年一月初版。
3. 倪安順譯， SAS 基礎與統計應用使用手冊，儒林圖書有限公司，民國七十六年六月初版。
4. 顏月珠，商用統計學，三民書局印行。
5. 林炯垚、翁霓、黃德舜：最適承銷股價之訂定模式一兼評三商銀公股承銷之訂價。證券市場發展季刊第七期，民國七十九年七月，頁54~ 60。
6. 杜英宗(主撰)徐文伯，八十年全國證券會議分組討論提案：有價證券承銷制度之檢討改進。
7. 胡嘉玲、林惠雪，新上市股票報酬與中籤率之關聯，證券分析簡訊，民國八十一年二月，頁1 ~ 7。
(二)中文論文
1 .林玉龍，健全我國證券承銷制度之研究，政治大學會計研究所未出版碩士論文，民國八十年七月。
2. 洪日爛，台灣股票市場新上市股票投資報酬率與市場效率性之研究，政治大學企業管理研究所碩士論文，民國六十八年六月。
3 李廣進，台灣地區新上市股票短期投資報酬率之研究，台灣大學商學研究所碩士論文，民國六十九年六月。
4. 陳秀亮，新上市股票價格行為探討，中央大學產業經濟研究所碩士論文，民國七十六年六月。
5. 楊泓文，新上市股票報酬之研究，文通大學管理科學研究所碩士論文，民國七十六年六月。
6. 胡致仁，新上市股票外部資訊與短期股價行為關係之探討一以台灣證券市場為例，淡江大學管理科學研究所碩士論文，民國七十七年六月。
7. 羅贊興，我國新上市公司股票短期報酬率之研究，淡江大學金融研究所碩士論文，民國七十九年一月。
8 許永聲，新上市股票異常價格績效之驗證與探討，東海大學企業管理研究所碩士論文，民國七十八年六月。
9. 林純瓊，台灣地區新上市股票超額報酬與其成因之剖析，國科會專題研究報告，民國八十年六月。
10. 許秀賓，財務分析師盈餘預測相對準確性決定因素之實證研究，國立政治大學會計研究所未出版碩士論文，民國八十年七月。
二、英文書籍及期刊
(一)英文書籍
1. Berenson, Mark L. David M. Levine, Matthew Goldstein "Intermediate Statistical Methods and Applications" A Computer Package Approach Prentice-Hall, Inc. Englewood Cliffs, New Jersey 華泰書局發行。
2. Chatterjee Samprit and Bertram Price, "Regression Analysis by Example " Second Edition, A Wiley-Interscience Publication John Wiley & Sons , Inc .
3. Lewis-Beck )Michael S . "Applied regression, An Introduction" Sage university papers, University of Iowa, fifteenth printing, 1990.
(二)英文期刊
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3. Akerl of George A. "The market for `Lemons`: quality uncertainty and the mark e t mechanism"Quarterly Journal of Economics 1970, pp.488-500.
4. Bachar J. "Optimal underwriting contracts and underpricing of new issues" Journal of Accounting, Auditing & Finance. 1989,pp.432-459.
5. Baron D. P. & B. Holmstrom "The investment banking contract for new issues under asymmetric information: delegation and the incentive problem" Journal of finance, December 1980, pp.1115-1138.
6. Baron D.P. "A model of the demand -for investment banking advising and distribution service for new issues." Journal of Finance September 1982,pp.955-976.
7. Bhattacharya, S. "Nondissipative signaling structures and dividend policy" Quarterly Journal of Economics August 1980, pp.1-24.
8. Baron. D.P. "The incentive problem and the design of investment banking contracts "Journal of Banking & Finance, 3(1979), pp.157-175 .
10. Beatty RP. & JR. Ritter " Investment banking, reputation, and the underpricing of initial public offerings " Journal of Financial Economics 15 (1986), pp.213-232.
11. Bhattacharya, S. "Imperfect information, dividend policy, and `the bird in the band` fallcay" The Bell journal of Economics, 1979, pp.259-270.
*12. Black F. "Noise", Journal of Finance (July1986) pp.529-544 .
*13. Camerer, C. "Bubbles and f ads in asset prices: Areview of theory and evidence ," Journal Of Economic Surveys (Marc h 1989) , pp.3-41 .
14. Chan-jane Lin "On the valuation of new issues "NTU. Unpublished Working Paper, June 1991.
15. Chan- Jane Lin "Earnings management: A study of initial public offerings " NTU Unpublished Working Paper, 1992 .
16. Carter R. & S. Manaster "Initial public offerings and underwriter reputation" The Journal of Finance, September 1990, pp.l045-1067.
*18. Cochrane, D., and G.H. Orcutt, "Application of least squares regression to relationships containing autocorrelated error terms " , J.Amer、stat、Assoc., 44(1949)pp.32-61.
19. Downes D.H. and Heinkel R. "Signaling and the valuation of unseasoned new lssues" Journal of Finance March 1982, pp.1-10.
*20. Datar, S., G. Feltham and J. Hughes, "The role of audits and audits quality in valuing new issues" Journal of Accounting and Economics(forthcoming) 1991.
*21. De Bandt W. and R. Thaler, "Does the stock market overreact?"Journal of Finance (July 1985), pp. 793-805.
*22. DeAngleo, L. E. "Audit Size and quality", Journal of Accounting and Economics, Vo 13,December 1981, pp.182-199.
23. Franke, G. "Cost l ess signalling in financial markets", The Journal of Finance, September 1987, pp.809-822.
*24. Grossman, Sanford J., "The informational role of warranties and private disclosure about product quality " Journal of Law and Economics 24 1981, pp.461-483.
25. Hughes PJ. "Signalling by direct disclosure under asymmetric information "Journal of Accounting and Economics 8 (1986), pp. 119-142.
26. Jungpao kang, "Disclosure equilibrium of earnings presentation under asymmetric information" August 1991 unpublished working paper.
27. Johnson James M. & Robert E. Miller "Investment banker prestige and the underpricing of initial Public offerings" Financial Management / summer 1988, pp.19-29.
28. Katz B.G. and Owen J. "Initial public offerings: An equilibrium model of price determination " Journal of Accounting, Auditing & Finance, Summer 1987, pp.266-298.
29. Krinsky I. and W. Rotenberg "The valuation of initial public offerings " Contemporary Accounting Research 1989, pp.501-515.
30. Krinsky I. and W. Rotenberg "Signaling and the valuation of unseasoned new issues revisited "Journal of Financial and Quantitative Analysis June 1989, pp.257-266.
31. Leland & Pyle, "Informational asymmetries, financial structure, and financial intermediation" The journal of Finance May 1977,pp.371-387.
32. Mandelker G. & A. Raviv "Investment banking: An economic analysis of optimal underwriting contracts". Journal of Finance #32 June 1977, pp.683-694
*33. Miller E.M., "Noise ",Journal of Finance (July1986) pp.529-544.
*34. Modigliani, F. and M. Miller, "The cost of capital, corporation finance and the theory of investment", American Economic Review, Vol48 June 1958, pp.261-297.
35. Miller M.H. and Rock K. "Dividend policy under asymmetric information " The Journal of Finance, September 1985, pp.1031-1051.
36. Riley john G. "Informational Equilibrium" Econometrica(March,1979), pp.331-359.
37. Rock Kevin "Why new issues are underpriced ".Journal of Financial Economics 15 (1986), pp.187-212.
38. Ross Stephen A., "The determination of financial structure: the incentive-signalling approach" The Bell Journal of Economics 1976,pp.23 -39 .
39. Ritter J.R. "Signaling and the valuation of unseasoned new issues: A comment" Journal of Finance September 1984, pp.1231-1237.
40. Spence M. "Competitive and optimal responses to signals: An analysis of efficiency and distribution " Journal of Economic Theory 7, 1974, pp.296-332.
41. Titman & Trueman, "Information quality and the valuation of new issues" Journal of Accounting and Economics 8 (1986), pp.159-172.
*42. Tinic, S.M. "Anatomy of initial public offerings of common stock"The Journal of Finance 1988, pp.789-822.
*表轉載自其他文獻 |
| Description: | 碩士
國立政治大學
會計學系 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#B2002004675 |
| Data Type: | thesis |
| Appears in Collections: | [會計學系] 學位論文
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