| Summary: | 博士 === 國立中正大學 === 財務金融研究所 === 89 === 1. Stock Auction Bidding Behavior and Information Asymmetries: An Empirical Analysis using the Discriminatory Auction Model Framework
This paper empirically analyzes bidding behavior and information asymmetries of stock auctions using a discriminatory auction model framework. Analyzing stock auctions using auction theory is important because it provides a logical framework for explaining observable behaviors and a solid foundation for empirical testing. Because of limited stock auction data availability, existing empirical research based on auction theory focus mainly on Treasury auctions. Away from the Treasury markets, however, there is a significant paucity of literature on this subject. In this study, we make use of a unique and detailed stock auction dataset from the Taiwan stock exchange to empirically examine the behavior of the Taiwan stock auction market within the framework of the auction theory.
Our results show that the level of competition, the dispersion of opinion among bidders, and the bidder's risk aversion are significant in determining auction prices. Results also show that if the offering prices are set equal to the average offering prices, the first day post IPO abnormal return will be equal to zero. Additionally, we find institutional bidders posses superior bidding skills compared to small bidders and that underwriter's characteristics influence the bidding results.
2. Stock Auctioned IPOs: Price Support or Information Asymmetry
Rudd (1991, 1993) proposes a hypothesis that underpricing of initial public offerings (IPOs) could result from underwriter price support, even if offering prices are set at expected market value. Noronha and Yung (1997) support this argument by examining reverse LBOs, which exhibit less information asymmetry than IPOs.
In this paper we reexamine this hypothesis using stock auctioned IPO data, which exhibit less information asymmetry than non-auctioned IPOs. We find evidence for underwriter price support hypothesis when the initial returns are based on offering prices. However, when the initial returns are based on average auction prices we do not find evidence for underwriter price support and information asymmetry.
3. Shareholder Heterogeneity: Further Evidence
Some studies, such as Bagwell (1992) and Bernardo and Cornell (1997), provided evidences that the shareholders' valuations differ dramatically. They argued that the valuations differ substantially, implying a significantly small supply or demand elasticity. However, Kandel et al. (1999) indicated quite an elastic demand for stocks of Israeli IPOs that were conducted as nondiscriminatory auctions. To resolve these controversial findings, this paper discusses the procedure of measuring price elasticity and provides some measures of elasticity. In addition to indicating that Bagwell’s measure tends to underestimate the actual elasticity, this study supplements previous work by testing under another auction mechanism, discriminatory pricing rule, and our results are consistent with Kandel et al.'s findings.
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