IPO承銷價格決定因素與IPO折價因素之探討-以詢價圈購案件為例

• Main Authors: 伍思吟, Wu, Szu Yin
• Language: 中文
• Published: 國立政治大學
• Subjects: 詢價圈購; 折價; bookbuilding; underpricing; IPO
• Online Access: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0094357013%22.

美國初級市場採用詢價圈購做為訂價與配售方式已趨成熟，而非美國地區也有八成採用詢價圈購。在過去幾年中，我國IPO案件仍以全面公開申購作為主要承銷方式，近年主管機關透過制度改革與承銷應與國際接軌聲浪中，我國IPO市場已出現詢價圈購取代全面公開申購之趨勢。為了解詢價圈購的定價效率性，本文以94年承銷改制後採用詢價圈購為訂價方式的初次上市(櫃)公司為例，探討IPO承銷價格的決定因素以及IPO的折價幅度。結果發現承銷商商譽、初始價格區間幅度以及定價日前一個月的興櫃市場價格與IPO價格調整具有顯著關聯，掛牌前一日的興櫃成交均價、掛牌前一個月的大盤與同產業報酬率則與IPO期初報酬率具有顯著正向關連，而掛牌前一日興櫃交易成交均價應可預測掛牌日之收盤價。 === Bookbuilding has traditionally dominated the primary market in terms of pricing and allocation in the US as well as in the worldwide.While in Taiwan, open offer is the major IPO underwriting method. After several rounds of reformation, bookbuilding has gradually replaced open offer.To examine the efficiency of bookbuilding, we study how underwriters set their offering prices, and the consequent initial returns. We find that underwriter reputation, initial price range, and OTC price are related to the range of price adjustment, while the lagged market return, the lagged industry return and the OTC price of the IPO issue preceeding the offer date are positively related to initial return.