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| Title: | 詢價圈購之資訊內涵對承銷價格之影響 |
| Authors: | 光心立 |
| Contributors: | 劉玉珍
光心立 |
| Keywords: | 詢價圈購
承銷
訂價
Bookbuilding
IPO
pricing |
| Date: | 2007 |
| Issue Date: | 2009-09-14 09:02:28 (UTC+8) |
| Abstract: | 詢價圈購理論提出承銷商可藉由詢價圈購的過程，誘使投資人藉由圈購的價量提供私有資訊，進而提升價格發現的效果。國外實證研究亦發現承銷商在訂價時廣泛使用詢價圈購過程所獲得的資訊，並會依據投資人對IPO股票的需求調整承銷價格。
本研究針對民國93年5月初至民國96年5月底，共計66個普通股初次上市（櫃）案件進行實證研究，以探討詢價圈購資訊內涵對於發行價格之影響，並觀察詢價圈購資訊與IPO後股價報酬率之間的關連性。
經由實證結果發現我國承銷商在訂價時會參考加權平均圈購價格與圈購價格集中度所提供的資訊，而超額認購是較為次要的參考依據。相較於國外投資銀行，我國承銷商在訂價時並未大幅參考投資人圈購時所提供之資訊。承銷商在訂定發行價格時較為重視圈購數量較多的投資人所提供之資訊，並且機構投資人對承銷商而言具有較高的資訊內涵價值。超額認購是所有詢價圈購資訊中，對於IPO後股票報酬率最有預測能力的變數，代表我國承銷商在訂價時並未完全將超額認購所提供的資訊反映至發行價格上。
Under bookbuilding process, underwriters can use relevant information from investors to price the issue more accurately. Previous studies also found that underwriters extensively use the information contained in the book and partially adjusted issue price to private information collected during the IPO process. The purpose of this paper is to examine whether underwriters use the information content of investors’ bids in IPOs when setting the issue price and to investigate whether this information can predict aftermarket returns. This paper analyzes 66 IPO issues between early 2004 and late 2007. The results suggest that weighted average limit price and the concentration of limit price are related to the issue price, and the level of oversubscription is minor factor to price setting. In addition, large bidders and institutional investors’ bids have information advantage and can provide helpful information to underwriters. Moreover, Oversubscription can predict aftermarket returns, suggesting that underwriters might not use all the information available when setting the issue price. |
| Reference: | 中文部分
1. 劉玉珍、李怡宗、光心立、李淑瑜，「我國有價證券配售對象規範之合理性研究」，中華民國證券商業同業公會委託計畫，2007年11月
2. 劉玉珍、陳薇如，為何詢價圈購方式逐漸取代競價拍賣？，證券暨期貨月刊，2004年5月，16-31頁
英文部分
1. Agarwal, S., C. Liu and S. G. Rhee, 2008, “Investor Demand for IPOs and Aftermarket Performance: Evidence from Hong Kong Stock Market, ” Journal of International Financial Markets, Institutions and Money, 18, 176-190.
2. Aggarwal, R., N. R. Prabhala and M. Puri, 2002, “Institutional Allocation in Initial Public Offerings: Empirical Evidence,” Journal of Finance, 57, 1421-1442.
3. Benveniste, L. M. and P. A. Spindt , 1989, “How Investment Bankers Determine the Offer Price and Allocation of New Issues,” Journal of Financial Economics , 24, 343-361.
4. Benveniste, L. M. and W. J. Wilhelm, 1990, “A Comparative Analysis of IPO Proceeds under Alternative Regulatory Environments.” Journal of Financial Economics, 28, 173-208.
5. Binay, M. M. and C. A. Pirinsky, 2003, “How Important is Relationship for Underwriters and Institutional Investors,” working paper.
6. Bradley, D. J. and B. D. Jordan, 2002, “Public Information and Aftermarket Return in IPOs,” Journal of Financial and Quantitative Analysis, 37, 595-616.
7. Chemmanur, T. J. and G. Hu, 2007, “Institutional Trading, Allocation Sales, and Private Information in IPOs,” EFA 2006 Zurich Meetings Paper.
8. Cornelli, F. and D. Goldreich, 2003, “Bookbuilding: How Informative is the Order Book?” Journal of Finance , 58, 1415-1444.
9. Cornelli, F. and D. Goldreich, 2001, “Bookbuilding and Strategic Allocation, ” Journal of Finance , 56, 2337-2369.
10. Derrien, F., 2005, “IPO Pricing in HOT Market Conditions: Who Leaves Money on the Table? ” Journal of Finance, 60, 487-521.
11. Hanley, K. W, 1993, “The Underpricing of Initial Public Offerings and the Partial Adjustment Phenomenon, ” Journal of Financial Economics, 34, 231-250.
12. Huyghebaert, N. and C. Van Hulle, 2006, “Bookbuilding and Share Pre-allocation in IPOs,” in Gregoriou, G. (ed) Initial Public Offerings: An International Perspective (Elsevier Press London, UK).
13. Jenkinson, T. and H. Jones, 2004, “Bids and Allocations in European IPO Bookbuilding,” Journal of Finance, 59, 2309-2338.
14. Ljungqvist, A. P., and W. J. Wilhelm, 2002, “IPO Allocations: Discriminatory or Discretionary? ” Journal of Financial Economics ,65, 167-201.
15. 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, 413-443.
16. Rock, K., 1986, “Why New Issues are Underpriced? ” Journal of Financial Economics, 15, 187-212.
17. Sherman, A. E. and S. Titman, 2002, “Building the IPO order Book: Underpricing and Participation Limits with Costly Information,” Journal of Financial Economics, 65, 3-29.
18. Spatt, C. and S. Srivastava, 1991, “Preplay Communication, Participation Restrictions, and Efficiency in Initial Public Offerings,” Review of Financial Studies ,4, 709-726. |
| Description: | 碩士
國立政治大學
財務管理研究所
95357006
96 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0095357006 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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