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研究生:郭峻豪
研究生(外文):Kuo, Chun Hao
論文名稱:競價拍賣折價程度與承銷商市占率之關係
論文名稱(外文):The relationship between the degree of underpricing of auction and changes in underwriters’ market shares
指導教授:姜堯民姜堯民引用關係
指導教授(外文):Chiang, Yao Min
學位類別:碩士
校院名稱:國立政治大學
系所名稱:財務管理研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:98
語文別:中文
論文頁數:56
中文關鍵詞:競價拍賣承銷市占率
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  • 被引用被引用:2
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從過去承銷市場的經驗來看,初次公開發行的股票總是擁有顯著的初期報酬率,因此吸引許多投資人參與這塊市場。隨著承銷商的定價方針和市場新制度的引進,更增加了初次公開發行市場的效率性與自由度。台灣市場的競價拍賣經驗完整,本文根據Beatty and Ritter (1986)的假說,探討初次公開發行的折價程度與公司事前的不確定性之相關性,以及承銷商的定價經驗對於競價拍賣市占率之影響。結果發現,雖然競價拍賣具有價格發現之功能,市場整體的帄均值仍呈現顯著的初期報酬率。事前的不確定性因子則與推論相違背,並沒有和折價程度具有一致的單調關係。此外,銷商折價程度與其市占率之結果也不符合假說,但在加入分組的控制因子之後,較能呈現市場會因承銷商定價錯誤而給予懲罰。
There have been significant initial returns in IPO market based on past experience and information that elicit lots of investors to participate. With the changes in pricing policy of underwriters and derivation of new underwriting systems, the efficiency and the degree of freedom in IPO market have been enhanced more than before. According to the propositions of Beatty and Ritter (1986), we found weak evidence to approve the monotone relationship between initial return and the proxies of ex ante uncertainty. Moreover, the changes in market shares has a positive relationship with the degree of underpricing that violates the proposition. After adding the control proxies of grouping into the model, we were able to get the result of punishment effect from the underwriting market.
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究架構與流程 3
第二章 文獻探討與提出假說 5
第一節 承銷制度 5
第二節 文獻整理與假說 8
第三章 研究方法 16
第一節 樣本蒐集 16
第二節 變數定義 19
第三節 研究方法 24
第四章 實證結果分析 30
第一節 報酬率分析 30
第二節 前後期表現之差異分析 31
第三節 贏家詛咒與溢價比值 32
第四節 預期折價與不確定性因子 33
第五節 承銷商與聲譽 36
第六節 定價偏離程度與市占變化率 37
第五章 結論與建議 45
第一節 結論 45
第二節 研究限制 47
參考文獻 48
【中文參考文獻】
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邱煥翔, 不同配售方式對公司初次上市發行與上市後折價幅度及變異程度的影響, 政治大學財務管理學研究所碩士論文, 2003
施光訓,蔡明春,陸仲華, IPO議價因素之探討─承銷商觀點. 會計與公司治理, 2005. 2(2).
洪崇洋, 承銷配售方式檢討及新股折價之影響, 中山大學財務管理研究所碩士論文, 1997

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