臺灣博碩士論文加值系統

摘要
論文名稱：承銷方式、公司特性與IPO折價之研究
校（院）系所組別：輔仁大學管理學研究所碩士班
研究生：鄧櫻菽　指導教授：吳桂燕 博士　論文頁數：124
論文提要內容：
　　為使承銷制度更具市場效率性與公平性，進而提升國際化與自由化程度。台灣於2005年新制改革，發行公司可以依照公司本身特性或條件，自由選擇公開申購、競價拍賣或詢價圈購三種承銷方式。承銷方式、公司特性與IPO 折價幅度三者之間存在何種關聯性呢？
本研究認為IPO公司為賺取正異常報酬以使折價幅度增加，因此會選擇有利於折價幅度增加之承銷方式，而由於採競價拍賣之IPO折價幅度較小，因此大多數發行公司仍不普遍使用。其次，不同公司特性或不同承銷方式亦會影響承銷配售方式之選擇及IPO折價幅度。最後，進一步解釋IPO個別公司特性是否會透過承銷方式以增加對IPO折價幅度之解釋，以便能深入分析影響IPO折價幅度之原因。
　　本研究以1985年至2005間初次上市公司共411家作為研究對象，實證結果如下：一、由於競價拍賣制之承銷價格是由競標方式產生，因而較接近市場價格，故折價幅度較採用純公開申購制小。二、以新制樣本分析，影響承銷配售方式選擇之特性有：承銷價格、承銷規模、中籤率、經營績效、EPS、董監持股比、電子業、(P/V)Sales。三、影響折價幅度之特性有：承銷方式、承銷價格、中籤率、成立年限、公司規模（股本、總資產）、經營績效、EPS、電子業。而新舊承銷制度亦會影響折價幅度。四、公司特性無法透過承銷方式加強對IPO折價幅度之解釋。

Abstract
Title of Thesis: Underwriting mechanisms, offering firms’ characteristics and underpricing of IPO firms.
Name of Institute: Graduate Institute of Management Fu Jen Catholic University
Name of Student: Ying-Shu Deng Advisor: Dr. Kuei-Yen Wu
Total Page:124
Abstract:
To improve underwriting mechanisms more efficiently and fairly, underwriting mechanisms in Taiwan have reformed since 1995, offering firms can choose all kinds of underwriting mechanisms, including fixed-price, auction and book building, depending on their conditions or characteristics. However, what kind of relations exist among underwriting mechanisms, offering firms’ characteristics and underpricing of IPO firms?
By investigating 411 IPOs in Taiwan equity market during the period from 1985 to 2005, the empirical result show that underpricing is smaller with auction than that with fixed price underwriting. Besides, some of the offering firms’ characteristics are related with the degree of underpricing. In addition, underwriting mechanisms are affected by the firms’ characteristics, such as offering price, offering size, rate of drawing, years prior to IPO, size, operating performance, EPS and industry. Finally, I examine each of the offering firms’ characteristics via underpricing mechanism to test if they can increase the explanatory power of underpricing. The result rejects the above hypothesis.

目 錄
頁次
第壹章 緒論………………………………………………………………….1
第一節 研究背景與動機………………………………………………….1
第二節 研究目的………………………………………………………….3
第三節 本文架構………………………………………………………….4
第貳章　文獻探討…………………………………………………………….7
第一節 承銷配售制度之介紹…………………………………………….7
第二節 初次公開發行公司特性對承銷配售方式之影響………………18
第三節 初次公開發行公司特性對IPO折價幅度之影響……………......27
第四節 承銷配售方式影響IPO折價幅度之理論與實證探討………......38
第五節 初次公開發行公司特性、承銷配售方式對IPO折價影響之探討
………………………………………………………………...…46
第参章　研究方法…………………….………………………………………51
第一節 研究假設………………………………………………………….51
第二節 研究期間、研究樣本及資料來源……………………………….57
第三節 研究變數定義…………………………………………………….59
第四節 實證模型………………………………………………………….67
第肆章　實證結果與分析…………….………………………………………69
第一節 公司特性、承銷配售方式與異常報酬之差異性…………….....69
第二節 不同公司特與承銷方式下之折價幅度差異性檢定...………….77
第三節 承銷方式、公司特性影響IPO折價之迴歸分析.……………….93
第四節 IPO公司特性影響承銷配售方式之選擇……….……………….99
第五節 長期報酬率之探討……………………………....………………103
第伍章　結論與建議………………….…………………………………….. 111
第一節 結論……………………………………………………………... 111
第二節 研究貢獻與建議………………………………………………... 117
參考文獻……………………………………………………………………... 118
中文部份…………………………………………………………………... 118
英文部份…………………………………………………………………... 120

表 目 錄
頁次
表 2-1-1 申請IPO案件規定修正前後對照表..…………………………….11
表 2-1-2 申請SPO案件規定修正前後對照表..……………………………12
表 2-1-3 各國承銷方式………………………..…………………………...16
表 2-2-1 國內外文獻彙總整理表-IPO公司特性對承銷配售方式之影響.24
表 2-3-1 國內外文獻彙總整理表-IPO公司特性對IPO折價幅度之影響...34
表 2-4-1 國內外文獻彙總整理表-承銷配售方式影響IPO折價幅度……. 43
表 2-5-1 國內外文獻彙總整理表-IPO公司特性、承銷配售方式
影響IPO折價幅度………………………………………………. 48
表 3-2-1 樣本在各年度分布情形…………………………………………..58
表 4-1-1 不同承銷制度下之各變數平均數差異性檢定-全部樣本…....... 71
表 4-1-2 1985年~2005年新舊公開申購制度下各變數之差異性檢定...…74
表 4-1-3 1995年~2005年，新承銷制度之公開申購制與競價拍賣制
　　　　　之差異性檢定…..............................................................................76
表 4-2-1 承銷特性、公司特性影響折價幅度之獨立樣本差異性檢定
-全部樣本………………………………………………………….79
表 4-2-2 承銷特性、公司特性影響折價幅度之獨立樣本差異性檢定
-新舊公開申購制樣本…………………………………………….84
表　4-2-3　承銷特性、公司特性影響折價幅度之獨立樣本差異性檢定-
　　　　競價拍賣制與新公開申購制樣本………………………………....88
表　4-2-4　假說三在各分割樣本期間之結論彙總表……………………...90
表　4-2-5　新、舊制異常報酬率之獨立t檢定……………………………..92
表　4-3-1　承銷特性與公司特性影響折價幅度、25日報酬率之多元迴歸結果
-全部樣本…………………………..…………………………...94
表　4-3-2　承銷特性、公司特性影響折價幅度、25日報酬率之多元迴歸結果
-新舊公開申購制…………………..……………………………96
表　4-3-3　承銷特性、公司特性影響折價幅度、25日報酬率之多元迴歸結果
-競價拍賣制與新公開申購制………………………..…………98
表　4-4-1　承銷特性、公司特性影響承銷配售方式二元Logistic迴歸
-1995~2005…………………………………………………… 100
表　4-4-2　承銷特性、公司特性影響折價幅度、25日報酬率之多元迴歸
-1995~2005…………………………………………………… 102
表　4-5-1　承銷特性、公司特性影響長期報酬率之多元迴歸結果
-全部樣本………………………..…………………………… 104
表　4-5-2　承銷特性、公司特性影響長期報酬率之多元迴歸結果
-新舊公開申購制………………..……………………………106
表　4-5-3　承銷特性、公司特性影響長期報酬率之多元迴歸結果
-競價拍賣制與新公開申購制………..………………………108
表　4-5-4　承銷特性、公司特性影響長期報酬率之多元迴歸
-1995~2005……………………………………………………..109
表　5-1-1　四大假說在各分割樣本期間之結論彙總表…………………...114

圖 目 錄
頁次
圖 1-3-1 本文架構…………………………………………………………...5
圖 3-1-1 研究架構圖……………………………………………………….57

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