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系統識別號 U0002-0306201113261100
中文論文名稱 臺灣首次公開上市股票定價效率性探討-平滑移轉模型
英文論文名稱 The Study on the Efficiency of the IPO Pricing Process in Taiwan- Application of STR
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 99
學期 2
出版年 100
研究生中文姓名 陳怡如
研究生英文姓名 Yi-Ju Chen
學號 698530036
學位類別 碩士
語文別 中文
口試日期 2011-05-09
論文頁數 81頁
口試委員 指導教授-聶建中
共同指導教授-謝劍平
委員-沈中華
委員-張志宏
委員-王友珊
中文關鍵字 IPO  效率  平滑移轉模型  每股盈餘  承銷價差  首日報酬 
英文關鍵字 IPO  Efficiency  Smooth Transition Regression Model  earnings per share  offer price 
學科別分類 學科別社會科學商學
中文摘要 本研究以Granger and Terasvirta (1993) and Terasvirta (1994)提出之非線性平滑移轉(Smooth Transition Regression, STR)模型,自非線性角度出發,找出門檻及平滑移轉參數,進而探討IPO定價過程。以2005-2010年間臺灣證券交易所(Taiwan stock exchange, TWSE)與臺灣櫃檯買賣中心(GreTai Securities Market, GTSM)公佈之初次上市櫃公司為研究對象,深入研究發現:
一、以掛牌前一季之每股盈餘做為門檻變數,探討門檻值上下區間分別對承銷價差(ΔP)與首日收盤價差(IR)進行平滑移轉模型檢定,發現承銷價差之結果在每股9.7595元時發生平滑移轉,但門檻值與轉換速度皆呈現不顯著;而首日收盤價差之結果在每股盈餘14.6601元時,發生平滑移轉,且門檻效果顯著。
二、以承銷價差為應變數,發現高於門檻值(每股9.7595元)時,與圈購前一週之週報酬對承銷價差有負向顯著影響,初始價格較接近掛牌價;主辦承銷商之承銷市占率、圈購前第二週之週報酬對承銷價差則有正向影響。
三、以首日收盤價差為應變數,發現變數之一的承銷價差對其有正向影響,符合過去文獻中兩觀點,1.「贏家的詛咒」理論,發行公司與承銷商為了吸引及保障沒有資訊的投資人來參與IPO市場,必須在承銷價上給予折扣。2.Benveniste and Spindt (1989)指出券商會以折價方式來補償機構法人所給予的私有資訊的論點。
四、在承銷商訂定詢圈區間時,公開資訊大多被併入承銷價中,除高盈餘公司較易產生不充分效率定價的狀況發生;然而,臺灣IPO股票在掛牌上市後,實證發現與盧正壽和劉維琪(2005)在臺灣市場發現一致,即本質不好公司模仿本質好的公司之定價策略產生混合均衡情況,使最後贏家往往是機構法人及專業投資人。
英文摘要 In the study uses Smooth Transition Regression Model proposed by Granger and Terasvirta (1993) and Terasvirta (1994) to investigate whether the earnings per share (EPS) before the IPO has nonlinear impact on the efficiency in IPO pricing.
To verify the nonlinear impacts between (1) the efficiency of IPO pricing process, whether the information to be incorporated into the price update between initial price range and offer price (2) the initial return whether the information to be incorporated into the spread between offer price and first-day closing price (3) EPS before listed whether to exist smooth transition effect under different levels of transition variables.
According to the empirical research, when the EPS is the transition variable that has two key findings. First, in the filing period, IPO pricing is almost efficient in the lower EPS companies. Second, the IPO firms that high quality firms and low quality firms take the same pricing strategy, which is consistent with the predictions of Lu and Liu (2005). In summary, the final winner is often the corporations and professional investors in the IPO pricing process.
論文目次 目錄
誌謝辭 I
摘要 II
ABSTRACT III
目錄 V
表目錄 VI
圖目錄 VII
第一章 前言 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究流程及架構 8
第二章 文獻回顧與探討 9
第一節 IPO折價 9
第二節 資訊不對稱 11
第三節 不同因子對IPO定價之探討 15
第三章 研究方法 22
第一節 資料期間與選取家數 22
第二節 變數設定與分析 22
第三節 平滑移轉迴歸模型(smooth transition regressive,STR)32
第四章 實證結果 37
第一節 資料來源與敘述統計 37
第二節 OLS迴歸與變數篩選 41
第三節 模型之參數估計與檢定 46
第四節 檢定結果之比較與分析 64
第五章 結論與建議 70
第一節 結論 70
第二節 研究建議 73
參考文獻 75

表目錄
表3-1 樣本期間IPO詢價圈購家數表 22
表3-2 應變數價差之分析 24
表3-3 應變數之價差表現家數統計 25
表3-4 承銷券商市占率 27
表4-1 樣本資料來源說明 38
表4-2 樣本期間上市櫃家數 39
表4-3 應變數基本敘述統計 39
表4-4 解釋變數基本敘述統計 40
表4-5 ΔP之OLS迴歸估計結果 42
表4-6 IR之OLS迴歸估計結果 44
表4-7 平滑移轉模型變數篩選表 45
表4-8 ΔP之LSTR參數估計結果比較表(個別市場報酬) 48
表4-9 ΔP之LSTR參數估計結果(前四週市場報酬) 51
表4-10 EPS對ΔP之LSTR模型解釋變數影響(前四週市場報酬) 53
表4-11 ΔP之LSTR參數估計結果 55
表4-12 EPS對ΔP之LSTR模型解釋變數影響 57
表4-13 IR之LSTR參數估計結果(僅市場報酬MKT) 59
表4-14 EPS對IR之LSTR模型解釋變數影響(僅市場報酬MKT) 60
表4-15 IR之LSTR參數估計結果 61
表4-16 EPS對IR之LSTR模型解釋變數影響 63
表4-17 ΔP與IR之LSTR模型影響關係比較表 64

圖目錄
圖1 1 研究流程 8
圖3-1 IPO定價時間軸 23
圖3-2 公司年齡家數百分比直條圖 28
圖3-3 創投比率家數統計直條圖 29
圖3-4 不同EPS範圍之家數百分比直條圖 30
圖3-5 羅吉斯函數圖形 34
圖3-6 指數函數圖形 35
圖4-1 EPS對ΔP之轉換函數圖形(WK1) 49
圖4-2 EPS對ΔP之轉換函數圖形(WK2) 49
圖4-3 EPS對ΔP之轉換函數圖形(WK3) 50
圖4-4 EPS對ΔP之轉換函數圖形(WK4) 50
圖4-5 EPS對ΔP之轉換函數圖形 52
圖4-6 EPS對ΔP之轉換函數圖形 56
圖4-7 EPS對IR之轉換函數圖形(僅市場報酬MKT) 59
圖4-8 EPS對IR之轉換函數圖形 62

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