本論文主要係利用國內94年度承銷制度改革前後之不同規定，藉以探討國內IPO新股初期報酬之可能產生因素。過去文獻將IPO初期報酬歸納為承銷價低估及投資人過度樂觀所產生，其中承銷價低估則主要多以資訊不對稱理論、訊息傳遞理論來解釋，而本文試著由新舊制不同承銷股份的來源，來探討公司股權集中度對IPO初期報酬之影響，以分析國內IPO訂價是否存在代理問題。此外本文亦透過新舊制對IPO新股漲跌幅限制之不同，來探討無漲跌幅限制下，市場氛圍是否更加影響IPO新股初期報酬。
研究結果顯示承銷新制以後之IPO新股初期報酬較舊制之IPO新股初期報酬顯著提高；而股權集中度對IPO初期報酬之影響，經以董監事持股比率分析於新制與舊制均呈現不顯著影響，可能跟董監事於IPO之前多會進行股權規劃，使得董監事名下的股權不代表其真的可控制之股權所導致。經以股本規模分析於舊制呈現不顯著影響，可能隱含舊制時期老股承銷，大股東雖欲提高承銷價，惟當時因受承銷商需自行認購承銷額度10%至25%之規定，導致大股東與承銷商對承銷價立場不一致而產生抵制效力；而於新制時期股本規模對IPO初期報酬呈現顯著負相關，隱含權力較集中之公司愈有可能面臨公司內部人壓低訂價，並透過迂迴方式以合法身份參與配售，突破配售限制，其認購過程反倒轉向「檯面下」，而可能壓低承銷價，使得IPO初期報酬愈高。因此本文原認為IPO承銷價訂定於舊制時存在「利益收斂」之代理問題，新制時存在「利益掠奪」之代理問題，僅新制時存在「利益掠奪」之代理問題獲得證實；掛牌前七日大盤加權指數報酬對IPO新股報酬率於舊制及新制時期均產生顯著正相關，另於新制時期掛牌前七日大盤加權指數報酬對IPO新股報酬之影響程度較舊制強烈。

With the new underwriting system was put into practice since 2005, it has brought many effects in the Taiwan IPO (Initial public offer) market. This article will inspect and compare the regulations before and after the system reform, then, we will try to find out the potential return competitions of IPO stocks. In general, literatures will attribute the resources of aforementioned returns of IPO stock to the underestimated IPO price and investor s’ excessively optimistic in which they argue that the underestimated price can be explained by the theory of information asymmetry and information transmission. By the examinations of resource of the underwriting stocks of the different systems, we will discuss the impacts on the initial return of the IPO stock from the concentration degree of company''s equity stack, and to analyze whether the agency problem is existed at domestic IPO market pricing. In addition, we will examine whether the market atmosphere can influence the return of IPO stock more without any limitation on limit up or down by comparing the above limitations between new and old underwriting system.

In accordance with the results of the our study, under the new underwriting system, it reveals the return of IPO stocks is apparently higher than old one; however, from the perspective of concentration degree of company''s equity stack to return of IPO stock, there has no statistically significant between the new and old system by examining the equity stack holding ratio of directors and supervisors. May be we can refer this result to their financial planning before the IPO that holding ratio under their name can not stand for their real control power.

From the analysis of capital scale, there also has no statistically significant between the new and old system, it may indicate that under the old system, the majority shareholder will increase the IPO stock price; however, underwriter will decrease the price for 10%-25% underwriting subscription for its own account. The opposite argument between the majority shareholder and underwriter will offset the effects of capital scale. We can find a negative correlation, under the new system, between capital scale and return of IPO stock. It indicates that the company has highly concentrate on shareholding will have more tendency to face the insider to stress down IPO price during the process of negotiation and participate in the stock distribution with the legal identity through the circuitous way, avoid the limitations on stock distribution. In the other words, the real subscription is turned to '' under table '' instead, may force down the price of subscription and let return of IPO stock higher.

Before this article, we have initial ideas that there should have agency problem of “Convergence-of-interest Hypothesis” under the old system and “Entrenchment Hypothesis” under the new system; however, only latter situation to be verified in the further testing. No matter in new or old system, the return of market index from 7 days before IPO to the day of IPO has significant positive correlation to the return of IPO stock and the result is more statistically significant in new system than old one.

中文提要　 ------------------------------------------- i
英文提要　 ------------------------------------------ ii
誌 謝　 ----------------------------------------- iv
目 錄　 -------------------------------------------- v
一、緒論 ------------------------------------------- 1
二、文獻探討 ----------------------------------------- 5
　　（一）IPO承銷價訂定之介紹-------------------------- 5
　　（二）探討IPO承銷價低估之理論---------------------- 9
　　(三)探討股權結構對公司影響之理論------------------ 11
　　(四)探討投資人過度樂觀理論------------------------ 13
三、研究設計 ----------------------------------------- 15　
　　（一）研究假說------------------------------------ 15
　　（二）資料介紹------------------------------------ 17
　　（三）變數定義------------------------------------ 18
　　（四）實證模型------------------------------------ 21
四、實證分析結果 ------------------------------------- 23
　　（一）各變數敘述性統計資料分析-------------------- 23
　　（二）迴歸分析------------------------------------ 25
五、結論與建議 --------------------------------------- 29
　　（一）研究結論------------------------------------ 29
　　（二）研究限制與建議------------------------------ 31
參考文獻 --------------------------------------------- 32
附錄一、94年度新制承銷改革---------------------------- 36　　
附錄二、新舊制重大差異比較分析表---------------------- 37　　
附錄三、承銷配售方式---------------------------------- 39

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