臺灣博碩士論文加值系統

一直以來，初次公開發行市場 （IPO Markets）所衍生的各種現象是許多學者研究的主題，而折價發行 (IPO Underpricing) 就是其中之一。在所有國家的股市中，中國自1990 年代初期建立股票市場之後一直都是折價發行最嚴重的國家；由於中國大陸是一個從共產主義逐漸轉型至社會主義的國家，其特殊的政治與經濟環境對於其初次公開發行市場所造成的影響便成為眾多學者研究的主軸。
然而，為了促進市場的公開化與自由化，近年來中國政府不斷進行改革與法規上的修正，其中最重要的，莫過於在2005 年中至2006 年中，中國政府進行了股權分制改革政策，將非流通股股權性質轉為限制流通股，待限制條件消除時則轉為流通股可至市場上自由交易流通。本研究企圖以此改革為分水嶺，探討在2006 年6 月至2007 年12 月間發行A 股的上市公司，其折價發行行為是否與以往有所不同，以及其折價發行之主因為何。
實證結果顯示，資產報酬率與折價發行的程度之間為顯著的正向關係，表示信號假說（Signaling Hypothesis）是造成中國大陸A 股上市公司折價發行的原因之一；此外，募集資金總額則是對於折價發行的程度有顯著的負向影響，顯示公司初次發行股票的規模越小，訊息不對稱（Information Asymmetry）的可能性越高，為彌補其所帶來的風險及不確定性，上市公司折價發行的程度就要越高。最後，承銷商的聲譽對於折價發行也有顯著且正向的影響，然而此實證結果卻與部分文獻有所出入，故針對承銷商折價發行的動機尚待後續研究做進一步的探討。

For a long time, the underpricing phenomenon of initial public offerings (IPOs)has been a hot issue in the academic fields. Among all the countries that have their own IPO markets, it is China that enjoys the highest degree of IPO underpricing. In spite of all the previous literature discussing how the Chinese institutional features influence the first day initial returns in China, this study tries to shed more light on how the Chinese IPO market has been transformed during the past few years and how the transformation influences the degree of the Chinese IPO underpricing.
The sample data for this study consist of the listed IPOs in the Chinese A-share market from June 2006 to December 2007. The average underpricing of the selected
sample is 154.49%. With a multiple linear regression model, this study tends to investigate how the Chinese IPO underpricing is related to the Signaling Hypothesis, the Information Asymmetry Hypothesis and underwriter reputation.
The empirical results show that ROA has a significantly positive influence on the first day initial returns, meaning the Chinese IPO underpricing is probably used by
firms as a quality signal to individual investors. The offering size of IPOs has a significantly negative relationship with underpricing since the smaller the offering size, the more uncertainty or risk involved in the issuance. Underwriter reputation is tested to be positively and significantly related to the Chinese IPO underpricing,
which is not consistent with some past literature and in need of further studies.

CHAPTER 1 INTRODUCTION....................................1
1.1 RESEARCH MOTIVATION.................... ..............1
1.2 RESEARCH OBJECTIVES...................................2
1.3 RESEARCH PROCESS .....................................3
CHAPTER 2 THE CHINESE IPO MARKET..........................4
2.1 RECENT PERFORMANCE ...................................6
2.2 INSTITUTIONAL BACKGROUND.............................10
2.2.1 Formation of the Chinese Stock Markets............ 10
2.2.2 Different Types of Shares of Chinese Companies ....11
2.2.3 Issuing and Pricing............................... 13
2.2.4 Recent Reforms in the Chinese IPO Market ......... 15
CHAPTER 3 LITERATURE REVIEW..............................20
3.1 LITERATURE REVIEW ON IPO UNDERPRICING................23
3.2 LITERATURE REVIEW ON CHINESE IPO UNDERPRICING........32
3.3 COMPARISON AND POSSIBLE RESEARCH DIRECTION...........39
CHAPTER 4 METHODOLOGY AND DATA...........................41
4.1 MEASUREMENT OF UNDERPRICING..........................41
4.2 DETERMINANTS OF UNDERPRICING ........................41
4.3 SAMPLE DATA..........................................45
4.4 MODEL MODIFICATION ..................................47
4.4.1 Multicollinearity Test............................ 48
4.4.2 Nested Hypothesis Test ........................... 48
4.4.3 Heteroskedasticity Test........................... 48
CHAPTER 5 EMPIRICAL RESULTS .............................50
5.1 REGRESSION RESULTS OF THE PRELIMINARY MODEL..........50
5.2 MODEL MODIFICATION ..................................50
5.2.1 Multicollinearity Test ........................... 52
5.2.2 Nested Hypothesis Test............................ 53
5.2.3 Heteroskedasticity Test........................... 54
5.3 REGRESSION RESULTS OF THE FINAL MODEL................54
CHAPTER 6 CONCLUSIONS....................................57
6.1 COMPARISON AND CONTRIBUTION..........................57
6.2 LIMITATION AND FUTURE RESEARCH DIRECTION.............62
REFERENCES...............................................64

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