臺灣博碩士論文加值系統

長久以來，對於首次公開發行的股票要如何訂定適當合理之價格，一直是發行公司、證券承銷商、投資人最關切也最感困難的事，也是一個首次公開發行的案子能否成功的關鍵因素。因為在首次公開發行之前，公司的股票未曾在正式公開的證券市場買賣，因此訂定承銷價時並無公平之市價可供參考。若承銷價訂定偏低，發行公司便無法順利募集所需資金。反之，若承銷價訂得太高，投資人的參與的意願不但會降低且投資報酬率也會變差。另外若承銷商採包銷的制度承銷，往往也會蒙受相當的損失。
故台北市證券商業同業公會於民國八十四年引進競價拍賣制度的用意在於，新股訂定承銷價時能將市場上的相關訊息納入，進而訂出合理的價格，使得上市後市場能迅速反應該股票的合理股價。遂引發本研究探討制度面對新上市股票之異常報酬及股價波動性影響之動機。本研究對民國八十七年至九十一年共五百二十家新上市（櫃）股票進行研究。研究結果發現：
一、採競價拍賣制度上市之公司上市後360個交易日累積異常報酬較
採公開申購制度上市之公司顯著。
二、採競價拍賣制度上市之公司股價波動幅度較採公開申購制度上市
之公司小。

For a long time, it is difficult to pricing the issuing price of IPOs exactly for firms, underwriters and investors. It is also a key success factor to an initial public offering case. Before IPOs issuing, their stocks never transaction in a public market, therefore there are not any fair market prices to compare. If the issuing price is lower than correct price, firms can not raise plentiful capital. On the other hand, if the issuing price is higher than correct price, the invest willingness of investors and rate of return on investment will be decreased. And if the underwriters take the way of firm commitment, they will have a lot of losses.
The purpose of adopting auction by Taiwan securities association in 1995 is to take the information of market in. So when IPOs are issuing, they would be priced correctly. The purpose of this study is to confer the effect of different systems to abnormal return and volatility of stock price. The samples are 520 IPOs from 1998 to 2002. The study finds：
1.The abnormal return of auction after 360 transaction day are more than open subscription.
2.The volatility of stock price of auction are less obvious than open subscription.

目錄
中文摘要………………………………………………………………………………i
英文摘要………………………………………………………………………………ii
誌謝…………………………………………………………...………………………iii
目錄……………………………………………...……………………..………… .…iv
表目錄…………………………………………………….……………..………….…v
圖目錄……………………………………………………...…………………………vi

一、 緒論………………………………………………………………………..1
1.1 研究背景………………………………………………………………….1
1.2 研究動機與目的………………………………………………………….3
1.3 研究架構………………………………………………………………….4
二、 文獻探討…………………………………………………………………..5
2.1 我國承銷制度之沿革…………………………………………………….5
2.2 公開申購與競價拍賣制度之比較………………………………….....…6
2.3 新上市股票異常報酬之研究………………………..……………….…..9
2.4 綜合評述……………………………………………………………...…13
三、 研究設計與方法……………………………………………….…..…….14
3.1 研究對象、研究期間與資料來源……………………………...………14
3.2 研究假說……………………………………………………………..….15
3.3 實證方法…………………………………………………………….…..16
四、 實證分析………………………………………………………..………..24
4.1 兩制度累積異常報酬之比較…………………………………..……….20
4.2 兩制度股價波動性之比較……………………………………..……….23
4.3 本章小結…………………………………………………………..….…31
五、 結論………………………………………………………………..……..32
5.1 結論…………………………………………………………………..….32
5.2 研究建議……………………………………………………………..….34
參考文獻……………………………………………………………………………..35
附錄A…………………………………………………………………………….….37
附錄B………………………………………………………………………………..39

參考文獻
中文部分
1.台北市證券同業公會，2005，證券商承銷或再行銷有價證券處理辦法，台北市證券同業公會。
2.李廣進，1980，台灣地區新上市股票短期超額報酬率之研究，國立台灣大學商
學研究所未出版碩士論文。
3.李應順，2001，台灣地區新上市股票短期超額報酬之實證研究：部份競拍v.s.公開申購，私立朝陽科技大學未出版碩士論文。
4.林珍如，1998，我國承銷制度變革與新上市公司股價績效關係之研究，國立政治大學會計學研究所未出版碩士論文。
5.林嘉琦，1997，新上市上櫃股票之產業規模、承銷制度與增資效果的實證研究
，國立中央大學財務管理研究所未出版碩士論文。
6.洪日爛，1979，台灣股票市場新上市股票投資報酬率與市場效率性，國立政治大學企業管理研究所未出版碩士論文。
7.陳秀亮，1987，新上市股票價格之決定因素試析，國立中央大學經濟學研究所未出版碩士論文。
8.程文萱，1998，我國承銷制度與新上市櫃公司股價行為關聯性之研究，國立政治大學會計學研究所未出版碩士論文。
9.薛智隆，2004，上市後股價跌破掛牌價格可能性之分析:引進「部分競拍」制度前後期相互比較之實證結果，私立朝陽科技大學未出版碩士論文。
英文部分
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of Initial Offerings”, Journal of Financial Economics, January/February, pp.
213-232.
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of Finance, March, pp. 97-102.
7. Pettway, R. H. and T. Kaneko, 1996, “The Effects of Removing Price Limits and
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Financial Analysis Journal, September/October, pp. 73-80.
9. Reilly, F. K., 1973, ”Further Evidence on Short-Run Results for New Issue
Investors”, Journal of Financial and Quantitative Analysis, pp. 83-90.
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11. Sharpe, W., 1964, “Capital Asset Price:A Theory of Market Equilibrium under
Conditions of Risk”, Journal of Finance,vol. 19, pp. 425-442.
12. U.S. Securities and Exchange Commission, 1963, “Report of the Special Study of the
Securities Markets of the SEC”, H. Doc 95.
13. Yen G., E. C. Yen and S. L. Chen, 1995, “Excess Returns of Unseasoned New Issues in Taiwan: An Institutional Perspective”, Advances in Pacific Basin Business, Economics, and Finance, Vol. 1, pp. 337-348.