從過去承銷市場的經驗來看，初次公開發行的股票總是擁有顯著的初期報酬率，因此吸引許多投資人參與這塊市場。隨著承銷商的定價方針和市場新制度的引進，更增加了初次公開發行市場的效率性與自由度。台灣市場的競價拍賣經驗完整，本文根據Beatty and Ritter (1986)的假說，探討初次公開發行的折價程度與公司事前的不確定性之相關性，以及承銷商的定價經驗對於競價拍賣市占率之影響。結果發現，雖然競價拍賣具有價格發現之功能，市場整體的帄均值仍呈現顯著的初期報酬率。事前的不確定性因子則與推論相違背，並沒有和折價程度具有一致的單調關係。此外，銷商折價程度與其市占率之結果也不符合假說，但在加入分組的控制因子之後，較能呈現市場會因承銷商定價錯誤而給予懲罰。 / There have been significant initial returns in IPO market based on past experience and information that elicit lots of investors to participate. With the changes in pricing policy of underwriters and derivation of new underwriting systems, the efficiency and the degree of freedom in IPO market have been enhanced more than before. According to the propositions of Beatty and Ritter (1986), we found weak evidence to approve the monotone relationship between initial return and the proxies of ex ante uncertainty. Moreover, the changes in market shares has a positive relationship with the degree of underpricing that violates the proposition. After adding the control proxies of grouping into the model, we were able to get the result of punishment effect from the underwriting market.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0096357003 |
| Creators | 郭峻豪, Kuo, Chun Hao |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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