首次公開發行股票折價與風險事項之關聯性

Abstract

首次公開發行股票折價發行之情形頻繁存在於全世界之股票市場，過去亦有許多相關研究對此經濟現象進行研究分析。而大多數研究皆僅以量化之財務資訊進行分析，較少有研究論及質性資訊，其原因為質性資訊難以量化衡量。此外該等量化資訊亦以正向訊息之揭露為多數，例如財務預測等，而討論負向訊息揭露之文章較少。基於上述之兩點，本研究將以負向之質性信息，初次上市（櫃）公司之公開說明書中風險事項為研究重點，討論揭露該等資訊對首次公開發行股票折價發行之影響。 本研究以風險事項為基礎發展研究假說，探討風險事項揭露與否、揭露之程度與首次公開發行股票折價發行之關係。運用文字探勘技術，建置風險常用字庫以揭露字數與風險常用字詞等科學之方法將風險事項之文字內容數量化，加以衡量。此外，本研究更進一步將風險事項歸類為六種風險類型進行多元迴歸分析，並對設計之迴歸模型進行相關性與共線性分析，以確保迴歸結果之可靠性。 實證結果顯示，有揭露風險事項之公司，其股票折價幅度較沒有揭露風險事項之公司高，彼此呈現正向關係；揭露愈多風險事項內容或揭露愈多風險常用字詞，該等公司之股票折價幅度較大，呈現正向關係。此外，經迴歸結果亦發現，揭露愈多與財務有關之風險，股票折價發行程度愈大，呈正向關係。然而揭露愈多與股權有關之風險，股票折價幅度愈小，呈現負向關係。而此一相反之迴歸結果亦可作為未來之研究方向。

The IPO underpricing exists frequently in the stock market. But the majority researchs on the IPO underpricing only focus on quantitative financial informations not on the qualitative nature. A possible reason is that the qualitative nature is difficulty to measure. In addition, these quantitative financial informations researched are mostly positive rather than negative. Based on these, this study investigates the association between negative or qualitative financial information of risk disclosures on IPO prospectus and IPO underpricing Our study develops hypotheses based on the risk factors to examine the relationship between IPO risk disclosures and IPO underpricing. Using text mining technology, we make a list of risk key words to measure the risk factors in term of both the number of totoal words and total keywords. Furthermore the risk factors are divided into six types. The multiple regression analyses show that the company with more risk factor disclosures has more upderprcing. More specialfically, more risk words and keywords disclosured result in more underpricing. In addition, the financial risk is positively related to IPO underpicing. However, the regression also indicates that the more equity risk disclosured, the less IPO underpricing.