詢價圈購新股上市折價與承銷商市占率之關係

• Main Author: 王譽筑
• Language: 中文
• Published: 國立政治大學
• Subjects: 新股上市; 承銷商市占率
• Online Access: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0096357013%22.

本研究以民國93年至97年間在台灣以詢價圈購為承銷方式之新上市或上櫃之發行公司為樣本，並扣除由上櫃轉上市公司的部份，共計194間公司，此外本研究並考慮主辦承銷商及協辦承銷商之角色，進而探討以詢價圈購為承銷方式之初次公開發行股票是否存在折價現象，以及以詢價圈購案件為調查，探討承銷商聲譽與其市占率之間的關係。 根據本研究實證發現，以詢價圈購為承銷方式之初次公開發行公司的確存在折價發行之現象，並且以初期報酬率為例，平均折價幅度高達44.9%，而若以市場調整後報酬率為例，平均折價幅度也有58%；此外，本研究以承銷商訂價偏離程度訂定「標準平均殘差」進行承銷商之排序，將承銷商分為訂價正確(on the line)承銷商，與訂價偏誤(off the line)承銷商。藉由此研究方式，也發現承銷商的訂價偏離程度的確會影響其聲譽及市占率變化，在訂價正確承銷商組別中，在前後兩段時期市占率比較之下上升了2.75%，反之，訂價偏誤承銷商卻下降了5.68%，此實證發現承銷商的訂價能力越差，會使得未來的市占率有明顯下降之趨勢。 === Our sample contains 194 Taiwan Stock Exchange new listed companies from January 2004 to December 2008, excluding those converted their shares from GreTai Securities Market. Meanwhile, our research also considers the initial public offering that underwriters managed or co-managed. The main objective of our research is to test if IPO underwriting phenomenon exists in book building market and discover the relationship between underwriters’ reputation and their subsequent change in market share. According to our finding suggest, IPO underwrote by book building did exist upderpricing equilibrium. Take initial return as example, the average underpricing is at 44.9% level, furthermore, if we use adjusted- market return as our proxy, we still can find initial public offering was trading at a price 58% higher than its offering price, on average. The other main subject for our research is that we ranked underwriters in terms of their absolute standardized average residuals (SAR), standing for their capability to price correctly. The “off –the- line” category is referred to largest SAR and bad pricing capability and the “on- the- line” underwriters is with better pricing ability. Our research found that underwriters pricing on the line did get better reputation and their market share increased 2.75% from the previous period. Thus, in this paper we have provided the empirical evidence to prove underwriters have to take every IPO seriously in order to maintain their market share and reputation.