本論文針對台灣新上市(櫃)股票研究分析公開資訊映照在發售價，並探討影響的因素，希望提供讀者一個有效的投資意見。本研究選取2004年至2008年台灣證券市場之新上市(櫃)股票共200檔股票當作本研究之對象。主要的研究集中在4個系數： 保有的股數比率，價格的調整幅度， 創業投資的支持，熱門的股票市場。利用多元迴歸分析，檢定所選擇的影響因素與報酬之間的關聯性，經過實證之後，得到幾個結論歸納如下：10-20%初次公發行的承銷價可使用公開資訊，來預估。

This study examines the extent to which offer prices reflect the public information and discusses the influenced factors, hoped to provide the readers an effective investment opinion. The analyses cover for 200 IPOs over the period 2004-2008. Four variables become the primary focus in the thesis: share overhang, file range amendments, venture capital backing, and hot issue market. Using multiple regressions and t statistics to hypothesize the relation of initial return with its independent variables. The result shows that 10-20% of the variation in IPO underpricing can be predicted using public information known before the offer date.

CONTENTS

CONTENTS---------------------------------------------------I
TABLES----------------------------------------------------II
FIGURES--------------------------------------------------III
CHAPTER 1 INTRODUCTION--------------------------------1
1.1 Motivation for Research------------------------1
1.2 Objective of the Study---------------------------2
1.3 Structure----------------------------------------2
Chapter 2 BACKGROUNDS-------------------------------------3
2.1 Overhang-------------------------------------3
2.2 Partial Adjustment---------------------------4
2.3 Venture-Capital Backing----------------------5
2.4 Hot Issue Market-----------------------------6
Chapter 3 Data and Descriptive Statistics-----------------------------------------------------8
Chapter 4 Empirical Studies-------------------------------------------------------------------13
4.1 Preliminary Analyses----------------------------------------------------------------13
4.2 The Timing of File Range Amendments------------------------------------------16
4.3 Regression Analyses ----------------------------------------------------------------17
4.3.1 Variable and Results---------------------------------------------------------------18
4.3.2 Venture Capital and Industry Effects: A Closer Look-------------------------23
Chapter 5 Summary and Conclusion---------------------------------------------------------26
Reference ----------------------------------------------------------------------------------------27


TABLES

Table 1 Descriptive Statistics-----------------------------------------------------------------10
Table 2 Percentage Initial Returns and Overhang for Firm That Do Not Amend Their File Ranges ---------------------------------------------------------------------- 15
Table 3 Regression Results for Full Sample------------------------------------------------21
Table 4 Regression Results for High-Tech Firms------------------------------------------24


FIGURES

Figure 1 Overhang by Year for Venture Capital (VC) and Non-Venture Capital (Non-VC) Samples--------------------------------------------------------------12
Figure 2 Overhang Measure for Full, Venture Capital (VC) and Non-Venture Capital (Non-VC) Samples--------------------------------------------------------------14
Figure 3 Initial Returns and Lagged Average Initial Returns-----------------------------17

References


Aggarwal, R., N. Prabhala and M. Puri (2002), ”Institutional Allocations in Initial Public Offerings: Empirical Evidence,” Journal of Finance, 57,1421-1441.
Barry, C., C. Muscarella, J. Peavy, and M. Vetsuypens, 1990, The role of venture capital in the creation of public companies: Evidence from the going-public process, Journal of Financial Economics 27(2), 447-471.
Benveniste, L. and P. Spindt, 1989, How investment bankers determine the offer price and
allocation of new issues, Journal of Financial Economics 24(2), 343-361.
Boone, A. and H. Mulherin, 2006, How are firms sold? Journal of Finance, forthcoming.
Bradley, D. J. and B. D. Jordan, 2002, “Partial Adjustment to Public Information and IPO Underpricing,” Journal of Financial and Quantitative Analysis, 37, 595-616.
Brav, A., and P. Gompers. "The Role of Lock-ups in Initial Public Offerings." Review of Financial Studies (forthcoming 2002).
Carter, R. and S. Manaster, 1990, Initial public offerings and underwriter reputation, Journal of Finance 45(4), 1045-1067.
Dunbar, C. and S. Foerster, 2006, Second time lucky? Withdrawn IPOs that return to the market, Journal of Financial Economics, forthcoming.
Edelen, R. and G. Kadlec, 2005, Issuer surplus and the partial adjustment of IPO prices to public information, Journal of Financial Economics 77(2), 347-373.
Hanley, K., 1993, The underwriting of initial public offerings and the partial adjustment
phenomenon, Journal of Financial Economics 34(2), 231-250.
Ibbotson, R., and J. Jaffe. "''Hot Issue'' Markets." Journal of Finance, 30 (1975), 1027-1042.
Loughran, T. and J. Ritter, 2002, Why don’t issuers get upset about leaving money on the table in IPOs? Review of Financial Studies 15(2), 413-443.
Loughran, T. and J. Ritter, 2004, Why has IPO underpricing changed over time? Financial
Management 33(3), 5-37.
Lowry, M., and W. Schwert. "IPO Market Cycles: Bubbles or Sequential Learning?" Journal of Finance, 57 (2002), 1171-1200.
Megginson, W. and K. Weiss, 1991, Venture capitalist certification in initial public offerings,
Journal of Finance 46(3), 879-903.
Welch, I., 1992, Sequential sales, learning and cascades. Journal of Finance 47, 695-723.