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題名：台灣新上市股票競標之三篇實證研究
作者：廖國宏
作者(外文)：Gwohorng Liaw
校院名稱：國立中正大學
系所名稱：財務金融研究所
指導教授：陳安行
學位類別：博士
出版日期：2001
主題關鍵詞：股票競標模型；訊息不對稱；價格彈性；價格支持假說；Stock Auction Model；Information Asymmetry；Price Elasticity；Price Support Hypothesis
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台灣新上市股票競標之三篇實證研究
1. 股票競標行為與訊息不對稱:利用差別定價競標模型之實證研究
本文以差別定價競標模型為架構實證檢定競標行為與訊息不對稱.由於現存競標理論之實證研究僅著重在公債方面,鮮有以股票為對象者.本文則利用一個獨特且詳細的台灣股票競標資料從事檢定競標理論的預期.
結果顯示競爭水準,投標者之異質性與投標人之風險厭惡三者在決定競標價格上具有顯著性.如果上市價格等於平均競標價格,則新上市股票將沒有不正常報酬.此外,我們也發現法人投標人比個人投標者具有更好的投標技巧,而且承銷商之持性也會影響投標結果.
2. 新股上市競標:價格支持或訊息不對稱?
Rudd(1911,1993)認為即使新股上市價格建立在預期市場價格之上,承銷商之價格支持行為仍可能會導致IPOs的折價問題.Noronha與Yung(1997)以一個比IPOs更沒有訊息不對稱的LBOs為樣本支持此一假說,本文則利用股票IPOs競標資料再檢定此一假說,該樣本同樣具有較低的訊息不對稱特性.
我們的實証顯示當initial returns以上市價格計算時,支持承銷商價格支持假說.然而,當initial returns以平均得標價格計算時,價格支持假說與訊息不對稱均不被支持
3. 股東異質性:另一個証據
某些研究,例如Bagwell(1992)和Bernardo與Cornell(1997),提出證據顯示股東的評價是相當有差異的,他們認為評價的差異意謂股票的供給或需求有相當小的價格彈性,然而,Kandel et al.(1999)利用以色列之單一定價股票競標為樣本,顯示IPOs具有完全需求價格彈性.為了解決此一不同發現.本文討論價格彈性之計算與提出衡量彈性的問題.
本文發現:(1)Bagwell之測度傾向於低估實際彈性.
.(2)用另一個競標機能-差別定價競標方式為樣本所測度之彈性,則支持Kandel et al. 之測度.
1. Stock Auction Bidding Behavior and Information Asymmetries: An Empirical Analysis using the Discriminatory Auction Model Framework
This paper empirically analyzes bidding behavior and information asymmetries of stock auctions using a discriminatory auction model framework. Analyzing stock auctions using auction theory is important because it provides a logical framework for explaining observable behaviors and a solid foundation for empirical testing. Because of limited stock auction data availability, existing empirical research based on auction theory focus mainly on Treasury auctions. Away from the Treasury markets, however, there is a significant paucity of literature on this subject. In this study, we make use of a unique and detailed stock auction dataset from the Taiwan stock exchange to empirically examine the behavior of the Taiwan stock auction market within the framework of the auction theory.
Our results show that the level of competition, the dispersion of opinion among bidders, and the bidder's risk aversion are significant in determining auction prices. Results also show that if the offering prices are set equal to the average offering prices, the first day post IPO abnormal return will be equal to zero. Additionally, we find institutional bidders posses superior bidding skills compared to small bidders and that underwriter's characteristics influence the bidding results.
2. Stock Auctioned IPOs: Price Support or Information Asymmetry
Rudd (1991, 1993) proposes a hypothesis that underpricing of initial public offerings (IPOs) could result from underwriter price support, even if offering prices are set at expected market value. Noronha and Yung (1997) support this argument by examining reverse LBOs, which exhibit less information asymmetry than IPOs.
In this paper we reexamine this hypothesis using stock auctioned IPO data, which exhibit less information asymmetry than non-auctioned IPOs. We find evidence for underwriter price support hypothesis when the initial returns are based on offering prices. However, when the initial returns are based on average auction prices we do not find evidence for underwriter price support and information asymmetry.
3. Shareholder Heterogeneity: Further Evidence
Some studies, such as Bagwell (1992) and Bernardo and Cornell (1997), provided evidences that the shareholders' valuations differ dramatically. They argued that the valuations differ substantially, implying a significantly small supply or demand elasticity. However, Kandel et al. (1999) indicated quite an elastic demand for stocks of Israeli IPOs that were conducted as nondiscriminatory auctions. To resolve these controversial findings, this paper discusses the procedure of measuring price elasticity and provides some measures of elasticity. In addition to indicating that Bagwell’s measure tends to underestimate the actual elasticity, this study supplements previous work by testing under another auction mechanism, discriminatory pricing rule, and our results are consistent with Kandel et al.'s findings.
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