發行前國內市場交易資訊與美國存託憑證定價之研究

Abstract

諸多文獻在研究首次公開發行(Initial Public Offering, IPO)折價發行的現象，多數文獻都將其歸咎於市場參與者對於首次公開發行公司資訊不對稱，在實證研究發現確實折價發行的現象遍存在於首次公開上市、再次公開發行及存託憑證發行。而本篇則以1997年至2017年在美國發行存託憑證(American Depositary Receipts, ADRs)發行前，已經於當地公開交易市場掛牌交易的發行公司作為研究對象，驗證ADR發行前交易價格的行為表現，以及交易資訊對於發行價格與折價發行的解釋程度。本篇研究主要發現：(1) ADR發行前，即便公司在原當地國家財務資訊已經相對透明，但流動性仍能預測發行價格及折價程度。(2) ADR發行前，公司P/B已能解釋將近80%ADR定價P/B的變異程度。(3) ADR發行定價同樣支持資訊不對稱假說，資訊不對稱程度越高，折價比率越高。

There are a series of literatures focusing on the phenomenon about underpricing of initial public offering, and most of which attribute it to the information asymmetry between different market participants. Indeed, past empirical studies indicate that underpricing commonly exists in the initial public offer, seasoned public offer and the issue of depositary receipts. This paper presents the analyses of the pricing of American depositary receipts(ADRs) which already had prior trading in the domestic country over the 1997-2017 period. The analyses show that (1) despite the financial information of the issuers is available in the domestic countries, the liquidity of stock still can increase the informativeness of pre-ADR price about post-ADR price and the degree of underpricing. (2) issuers’ price to book ratio one day before issuing ADR can explains about 80% of the offering price to book ratio. (3) Information asymmetry theory of IPO sustains that the riskier and the less informative the stock is, the more price discount required by investors.