臺灣博碩士論文加值系統

本研究針對Rock(1986)以逆選擇理論解釋新上市股票承銷價低估原因進行實證研究。Rock(1986)認為由於投資人之間存在有資訊不對稱，造成資訊充分投資人(informed investor)在IPO股票承銷價被高估的時候不會參與IPO股票的投資，因此資訊不充分投資人(uninformed investor)得到股票配售的機率很高；但在IPO股票承銷價被低估的時候，資訊充分投資人會參與投資，對資訊不充分投資人造成排擠，使資訊不充分投資人得到股票配售的機率很低。這種現象就是逆選擇，由於有逆選擇的情況存在，Rock(1986)認為資訊不充分投資人在考慮了配售率(allocation rate)之後，只能獲得無風險利率的報酬。
本研究的結果顯示，台灣新上市股票異常報酬與配售率之間有顯著的負向關係，且承銷價被低估的IPO股票的配售率顯著低於承銷價被高估的IPO股票的配售率，強烈的支持台灣新上市股票承銷市場存在逆選擇的情形。且使用不同的配售方式對於逆選擇的程度並沒有顯著影響。在考慮了配售率之後，台灣新上市股票配售率加權異常報酬為不顯著的正值(0.716%)，也與Rock(1986)的理論一致。

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 4
第三節 研究流程與架構 5
第二章 文獻探討 7
第一節 相關理論文獻 7
第二節 相關實證文獻 10
第三節 影響承銷價低估程度與配售率的因素 15
第四節 我國股票初次上市承銷配售制度 18
第三章 研究方法 23
第一節 研究假說 23
第二節 樣本蒐集 26
第三節 變數定義 29
第四節 研究模型 35
第四章 實證結果分析 44
第一節 樣本特性分析 44
第二節 影響新上市股票異常報酬與配售率因素的迴歸分析 48
第三節 逆選擇理論直接實證結果分析 51
第五章 結論 60
參考文獻 63

【國內參考文獻】
1. 江建政，「新上市股票承銷價故意低估與期初異常報酬之研究」，朝陽科技大學財務金融學系未出版碩士論文，民國86年6月。
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