臺灣博碩士論文加值系統

本篇研究包含三項研究議題，第一項研究議題檢視申請初次上市(櫃)公司在興櫃股票市場最後交易日之股票價格與掛牌日開盤價格之價格誤差，據以了解興櫃股票市場之價格發現功能。第二項研究議題主要探討與價格誤差有關之潛在因素，分別考量公司獨特性波動風險與股權結構等二大構面。興櫃股票市場之價格誤差，可能會導致投資者遭遇財富損失，公司層面也可能造成逆選擇效果或流動性不足問題，調查影響因素對於提昇興櫃股票市場之價格發現功能是重要的。第三項研究議題係就外國投資人及國內自營商之優勢資訊能力進行檢測，假定外國投資人及國內自營商具有資訊優勢，則在興櫃股票市場相對掛牌日股價存在高估或低估時，其應會在興櫃股票市場調節持股，本項研究議題將有助於了解外國投資人及國內自營商在興櫃股票市場所扮演角色。
就第一項研究議題，本文發現192 家樣本公司掛牌日開盤價落入興櫃股票市場最後交易日價格區間內之公司家數僅有61 家，占整體公司家數比率僅有31.77%，另高達126 家樣本公司(占整體公司家數比率65.63%)掛牌日開盤價低於興櫃股票市場最後交易日最低價，此項結果顯示多數初次上市(櫃)公司在興櫃股票市場之股價相對於掛牌日開盤價存在價格誤差，且係呈現高估情形。本研究進一步採用個股首日掛牌開盤價與興櫃股票市場最後交易日股價間之差異百分比計算價格誤差程度，結果顯示無論上市或上櫃公司，興櫃股票市場最後交易日之股價皆高於掛牌日開盤價，當日以最高價買入者，於掛牌日開盤時平均投資報酬率為-12.62%，以最低價買入者，平均股價報酬率為-3.20%，如以當日收盤價購入者，平均投資報酬率為-8.64%，採用 Wilcoxon matched-pairs signed-rank test 進行檢測，結果顯示相對於掛牌日開盤價格，無論是採用收盤價、最高價或最低價為計算基礎，價格誤差皆達到統計顯著性。本研究亦採用單變量迴歸模型 ，其中， 為股票真實價值，以掛牌日開盤價作為代理變數， 分別採用興櫃股票市場最後交易日最高價、最低價及收盤價作為自變數，檢測興櫃股票市場之價格發現功能，結果顯示 值顯著不為0，而 值在採用最高價與收盤價作為自變數模型下皆小於1，顯示興櫃股票市場最後交易日之最高價與收盤價相對掛牌日開盤價呈現顯著高估情形。
就第二項研究議題，本文分別考量公司獨特性波動風險及股權結構二項構面與價格誤差(包含絕對價格誤差及未取絕對值價格誤差)之相關性，研究結果發現公司獨特性波動風險及大股東股權比例二項變數與絕對價格誤差呈現顯著正向關係，與未取絕對值價格誤差呈現顯著負相關，顯示獨特性波動風險較高及大股東股權比例較高之公司，掛牌日開盤價與興櫃股票市場最後交易日之價格差異幅度將較大，且傾向出現較低溢價幅度(或較高折價幅度)。另創業投資事業與絕對價格誤差呈現顯著反向關係，與未取絕對值價格誤差呈現顯著正相關，顯示初次上市(櫃)公司的主要股東若包括創業投資事業，則有助減少掛牌日開盤價與興櫃股票市場最後交易日股價間之價格差異程度，且能提高掛牌日開盤報酬。
就第三項研究議題外國投資人及國內自營商優勢資訊能力之檢測，本文採用事件研究法方式檢測外國投資人及國內自營商於興櫃股票市場最後5 個交易日買賣超行為，研究結果顯示估計期間外國投資人平均買賣超週轉率為0.001%，事件期平均週轉率為0.006%，事件期間平均買賣超週轉率顯著大於估計期間平均週轉率，外國投資人於事件期間平均而言呈現顯著買超情形。就事件期5 個交易日買賣超情形，外國投資人平均異常週轉率全數為正，且有2 日在10%信賴水準下達到顯著性，依據外國投資人在興櫃股票市場最後5 個交易日之淨買超情形觀之，似乎未能發現興櫃股票市場股價存在高估情形。自營商買賣超情形則與外國投資人相反，估計期間平均買賣超週轉率為0.001%，事件期平均週轉率為-0.002%，買賣超由估計期間之正值至事件期間轉為負值，惟二段期間之買賣超變化尚未達到統計顯著性。就事件期5 個交易日買賣超情形，自營商在興櫃股票市場最後5 個交易日中有4 日出現淨賣超，其中有1 日在10%信賴水準下達到顯著性。整體而言，此項研究結果顯示外國投資人及國內自營商對於興櫃股票之投資決策似乎未展現出優勢資訊能力。

This research aims to investigate the price discovery function in Taiwan Emerging Stock Market using a dataset of 192 corporations which had applied for Initial Public Offerings (IPOs) in 2005-2011. To access the price discovery function in Taiwan Emerging Stock Market, we calculate the percentage difference between the last trading day price on Emerging Stock Market and the first market price set on the exchange. The mean pre-IPO pricing error is-12.62% by using the last trading day highest price, -3.20% by using the last trading day lowest price, and -8.64% by using the last trading day closing price. We conduct Wilcoxon matched-pairs signed-rank tests to test the significant difference between the last trading day price on Emerging Stock Market and the first market price. In each test, the pre-IPO pricing error is significant at the 0.1% level or better.
Furthemore, this research explores the potential factors that influence price error. The findings show that a significant positive relation between idiosyncratic risk and price error, suggesting that higher idiosyncratic volatility is associated with higher level of equity price error. We also find that price error increases with large shareholder’s shares, suggesting that the higher the large shareholder’s shares the more inclined to increase price error.
In addition, the research also studys whether foreign investors and domestic institutional investors are able to retain an informational advantage in pre-IPO trading. The event study approach is used to examine the net daily volume of daily buying or selling for institutional investors. Results show that neither foreign investors nor domestic institutional investors were found to have superior information advantage.

第壹章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構 3
第貳章 文獻探討及假說發展 5
第一節 文獻探討 5
第二節 研究假說 22
第參章 研究設計 27
第一節 研究模型 27
第二節 資料來源及樣本選擇程序 36
第肆章 實證結果及意涵 42
第一節 興櫃股票市場價格發現功能 42
第二節 興櫃股票市場價格誤差之成因 48
第三節 外國投資人及國內自營商之優勢資訊能力檢測 61
第四節 穩健性測試 62
第伍章 結論及研究限制 70
第一節 研究發現與意涵 70
第二節 研究限制 72
中文文獻 74
英文文獻 76

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