政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/53822
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/53822


    Title: 以競價拍賣新股上市資料驗證新股折價與承銷商市場佔有率關係
    Other Titles: Underwriters Pricing off the Line Lose No Clients--- Evidence from Auction IPOs
    Authors: 姜堯民
    Contributors: 國立政治大學財務管理學系
    行政院國家科學委員會
    Keywords: 競價拍賣;折價;市場佔有率
    IPOs;Auction;underpricing;market share;persistency
    Date: 2010
    Issue Date: 2012-10-22 11:10:59 (UTC+8)
    Abstract: 本研究以台灣特有的新股上市競價拍賣資料進行實證分析。本人曾利用此資料庫寫過一 篇文章：” Endogenous entry and partial adjustment in IPO auctions: Are institutional investors better informed?”被Review of Financial Studies接受，即將刊登。另外一 篇：”Learning to Fail? Evidence from Frequent IPO Investors”，投稿至Review of Financial Studies一審修改中。本次研究將利用此一競價拍賣新股上市資料進行折價與承銷商市場 佔有率關係的探討。以往文獻有關此方面的探討，著重在詢價圈購樣本的探討，主要結 論是認為承銷商為能迅速賣股完成，及為補償機構投資人提供資訊，會折價賣給機構投 資人，如此而造成，折價持續存在，而且折價愈高的承銷商其市占率愈高。競價拍賣中， 承銷商沒有分配股份，及調整價格的彈性。最後承銷結果是要視拍賣結果而定，承銷商 無法藉由調整價格來迅速出售股票，因此折價大小應與承銷商的市佔率沒有關係，但初 步實證結果卻能發現，有正向的關係。到底是什麼原因，或有無理論可以說明這個現象， 是我們要探討的重點。希望藉由此研究發掘與文獻不同的解釋，做出貢獻。
    This study uses a unique auction IPO data in Taiwan. I used this data set to finish a paper, “Endogenous entry and partial adjustment in IPO auctions: Are institutional investors better informed?” to be published in the Review of Financial Studies. I also completed another paper, “Learning to Fail? Evidence from Frequent IPO Investors”, now under the first revision from the Review of Financial Studies. This research will continue to use this data set to discuss the relationship between underpricng and underwriters’ market shares in auction IPOs. Previous literatures focus on book-building IPOs. In book-building IPOs, underwriter has discretion ability in share allocation and pricing. To attract more investors and to compensate for institutional investors providing information, underpricing becomes necessary. Previous studies, Hoberg (2008), etc. find that with higher underpricing, underwriters will gain more market shares in later IPOs. In auction IPOs, there is no discretion ability of underwriters. There should be no relationship between underpricing and underwriters’ market share. However, initial empirical evidence shows the relationship still hold for auction IPOs. This phenomenon needs to be further studied.
    Relation: 基礎研究
    學術補助
    研究期間:9908~ 10007
    研究經費:811仟元
    Data Type: report
    Appears in Collections:[Department of Finance] NSC Projects

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