初次上市櫃公司首日超額報酬因素之探討

Abstract

本論文旨在探討我國在承銷新制下，初次上市櫃公司股價在上市櫃首日超額報酬之關鍵影響要素。我國金管會於民國94年正式施行承銷新制，並以承銷價訂定之適切性為目標，故取消新股上市櫃首五日漲跌幅限制並廢除舊制之承銷價格計算公式，以承銷商與發行公司彼此協議以定出合理之承銷價格。本研究之樣本期間，特設定為民國95年1月1日至民國96年12月31日，藉以排除承銷新制施行初期之市場適應期間以及美國次貸風暴引發之全球金融危機之影響。 研究結果發現，我國初次上市櫃公司股價於上市櫃首日確實存在正向超額報酬，且明顯高於在舊制下之初期報酬。而影響該超額報酬之主要因素為承銷商、市場景氣，與公司產業。當發行公司之承銷商市佔率越低、上市櫃當時市場景氣越好以及發行公司所屬產業為高科技產業時，其上市櫃首日超額報酬越高；推測在承銷新制下，新上市櫃公司首日超額報酬主要受到承銷商之議價能力影響，而傾向迎合發行公司定出較高承銷價之承銷商，較易受發行公司之青睞，因而擁有較高之市佔率。此外，市場景氣較好時，投資人易有較高的投資意願，符合熱市發行與一時熱潮假說。而當發行公司為高科技產業時，投資人會有對未來較樂觀的期待，使初期超額報酬較高。 再者，本研究依訊息傳遞理論設定之諸多變數，如董監持股、財務表現、公司規模、公開申購之中籤率與產業變數，其中僅產業變數為正向顯著，其餘皆不顯著，顯示我國股票市場在新上市櫃公司初期報酬部分，對於新上市櫃公司個別特質之相關訊息不甚重視。

This paper investigates the key factors which affect the initial public offering (IPO) stocks’ initial excess returns after implementing the new underwriting regulation. The Financial Supervisory Committee started to implement the new underwriting regulation in 1995. In order to make a proper offer prices for IPO stocks, the Financial Supervisory Committee canceled the price limits in the first five days after public offering, abolished former formula in calculating underwriting prices, and allowed to set offer prices by negotiations between the underwriter and the public issuer. To avoid the influence of the global financial meltdown caused by the US Subprime Mortgage Crisis, and to avoid the adaption period of implementing the new underwriting regulation, we use samples from January 2006 to December 2007. The results show that there are short-run excess returns after the IPO stocks listing, and the excess returns are obviously higher than before. The key factors which affect the excess returns most are underwriters, market economic conditions, and the industry which the issuers belong to. The underwriters with larger market shares are negatively related to companies’ initial excess returns. We speculate this is because under the new underwriting regulation, the IPO stocks’ initial excess returns will be led by the bargaining powers of the issuers and the underwriters, and the underwriters who tend to cater to the issuers, making higher offering prices, easily to have larger market shares. On the other hand, the better market economic conditions, and high-tech industry are positively related to the companies’ initial excess returns because according to “Hot Issue Market” and “Fad Hypothesis”, the investors will prefer to invest more money if the economy is better, and the investors will have more optimistic expectation of the issuers if the industry is high-tech. Furthermore, according to the signaling hypothesis, we set several variables to test, such as shareholding of the boards and directors, financial performances, firm size, allotment, and industry. Within those variables, only industry is positive significant, which implies the IPO stocks’ initial excess returns are not related to the issuers’ individual characteristics.