臺灣博碩士論文加值系統

公司於首次上市（櫃）時，內部人大部分持股會受到「閉鎖期」的限制。過去極少數研究皆僅單方面思考閉鎖期對IPO折價之影響，忽略了實務上「同時決定」的現象。本研究以三階段最小平方法(3SLS)估計聯立方程式模型參數，且以Mill’s反比例來修正選擇性自我偏誤，來探討IPO折價幅度與閉鎖期時間長短兩者的「相互影響」關係。此外，本文亦藉由OLS迴歸模型探討閉鎖期時間長短與投資者情緒的關係。實證結果顯示：IPO折價幅度與閉鎖期時間長短，二者間存有顯著負向的內生關係(替代關連性)；平均而言，有閉鎖期的IPO公司其股票折價幅度顯著低於無閉鎖的IPO公司。此外，複迴歸模型的驗證結果與聯立方程式模型有明顯差異，顯示模型的選擇對於研究結論具有關鍵影響。最後，閉鎖期時間長短與閉鎖期結束之後的投資者情緒無明顯的關聯性。

A large proportion of insiders’ stocks are constrained to a lock-up stipulation when carrying out an initial public offering (IPO). Previous studies that ignored concurrent phenomenon only considered one-way causal relationship (i.e. lock-up explains underpricing).This research adopts 3SLS to estimate the parameter of the simultaneous equations model and adopts Inverse Mills Ratios to amend the selective self bias in order to discuss the “Mutual Influence” relationship between the magnitude of IPO underpricing and the length of lock-up and further to discuss the relationship between the length of lock-up and the investor sentiment by OLS regression model. The result of simultaneous equations model indicate a negative association between the magnitude of IPO underpricing and the length of lock-up. On average, the level of underpricing of the IPOs with lock-up period was obviously lower than that of the IPOs without lock-up period. Furthermore, the difference of results between regression and SEM sheds light on the importance of model selection. We also find that the length lock-up is not significantly related to investor sentiment.

1. Introduction 1
2. Prior Literature and Hypotheses Development 4
3. Empirical Methodology and Model 8
3.1 Simultaneous Equations Model 8
3.1.1 Dependent Variables 8
3.1.2 Independent Variables 9
3.1.3 Test the Endogeneity between UP and LU 14
3.2 Lock-up and Investor sentiment 16
3.2.1 Factor Selection 17
3.3 Data 19
4. Empirical Results 20
4.1 Descriptive Statistics and Correlation Coefficient 20
4.2 The Endogeneity between UP and LU 22
4.2.1 Bivariate Comparisons across UP and LU 24
4.3 The analysis of OLS Regression Model 25
5. Further Tests 25
5.1 Ordinary Least Squares Regression Results 25
5.2 Deleting extreme values 27
6. Conclusions 28
Reference 30

Figures
Figure 1 Histogram of underpricing 36
Figure 2 Average underpricing 36
Figure 3 Number of IPOs 36

Tables
Table 1 Descriptive Statistics 37
Table 2 Correlation Coefficients between Variables 38
Table 3 Results of Simultaneous Equations Model and Probit Model 39
Table 4 Univariate Comparisons across UP and LU 40
Table 5 Results of Regression Model 41
Table 6 Results of OLS Regression 42
Table 7 Results of Simultaneous Equations Model and Probit Model (deleting the extreme value) 43

Appendix
Appendix 1 Founding Dates 44
Appendix 2 Underwriter Rank for IPOs from 1988-2004 45
Appendix 3 Internet and Technology Firms 47

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