股票初次上市下的契約選擇

Abstract

IPO相關議題在過去的三十年來受到學術界相當程度的關注，這當中有不少文獻著重在探討新發行股票短期折價發行與長期績效低於大盤這兩個重要現象背後的成因，實證研究顯示，這兩個現象普遍存在於世界各國的金融市場，且不分產業的IPO都有這種傾向。截至目前為止，已有許多理論及實證文獻證明了這些策略對發行公司的效用造成相當大的影響。相較之下，契約選擇的問題卻沒有得到足夠的討論，只有少數文獻針對這個問題進行探討。 本論文從產業經濟學中的垂直整合與垂直分工的角度來探討IPO過程中三個主要角色(發行公司、投資銀行與投資人)各自的效用與彼此間的關聯，從而建構出一個理論模型，用以解釋在不同的契約之下，各個角色的最適行為與效用；我們將預期現金收入與風險承擔兩個重要因素納入各個角色的效用函數當中，並且著重在探討公司預期價值、風險大小以及各個角色的風險容忍程度將如何影響最適決策。 在第三章，我們在投資銀行業為完全競爭的假設之下，討論投資銀行將如何決定最適的發行價格，在這個假設之下，我們卻未能清楚界定出發行價格與包銷價格之間的關聯性，因此在第四章裡，我們局部放寬了完全競爭的假設，給予投資銀行決定承包數量的能力，從而建構出另一個模型；研究成果顯示，折價發行的現象無論在包銷、代銷或直接發行下都會發生；更進一步來說，包銷與代銷之下的折價幅度會受到公司預期價值、風險大小以及各個角色的風險容忍程度等外生變數的影響，站在發行公司的立場而言，當代銷下折價程度大於包銷時，包銷是較好的選擇，但反之未必然；而當投資銀行的風險承擔能力太低時，自行發行股票而不透過投資銀行是較好的選擇。

IPO relevant issues have been widely discussed in the academia in the past several decades, especially in 80’s and 90’s. A great portion of these efforts are made to discover the reasons behind the famous phenomena: short run underpricing and long run underperformance, which have been empirically supported to exist across national and industrial border. Significant amount of evidences have been presented to convince that there are certain kind of linkages between issuing firms’ utility and the IPO strategies, like stock pricing and allocation. Another important strategy, IPO method decision or contract selection problem, has a relatively smaller concern so far. In this thesis, we form a model based on the vertical integration concept in industrial economics to sketch out behavior of three major players who take part in IPO: the issuer, investment bank, and the investors, under both a firm-commitment contract and a best-effort contract. Two most critical elements: expected stock value and volatility, are involved in our discussion.

In chapter 3, we figure out how an investment bank decides a proper offering price to maximize total proceed, under the assumption that it competes the deal in a competitive environment. Yet we fail to find out the relationship between decisions of the offering price and the wholesale price. To make this up, we loosen the assumption of absolutely competitive banking industry, redefine investment bank’s behavior as being able to choose the amount it wants to underwrite, and construct another model. We suggest that the optimal choice could be firm-commitment, best-effort, or even direct IPO. A firm-commitment contract is the optimal choice when the money left on the table is greater under a best-effort contract than under a firm-commitment contract, but the reverse is not necessarily true. We also suggest that when a bank’s risk tolerance is much smaller than investors’, direct IPO is the best choice.