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題名：IPO承銷機制的選擇與最佳釋股決策
作者：胡德中 引用關係
作者(外文)：Te-Chung Hu
校院名稱：國立中山大學
系所名稱：財務管理學系研究所
指導教授：馬黛
學位類別：博士
出版日期：2004
主題關鍵詞：追價風潮；公開申購；承銷價訂價偏誤；競拍；擇時發行；股權結構；市價偏誤；IPO折價；market pricing error；IPO discount；ownership structure；offer pricing error；cascade；fixed-price offering；auction；IPO’s timing
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我們以一個兩期釋股模型分析發行公司承銷價訂價與釋股比例選擇的問題，模型重要結果如下：1. 我們發現折價與市場景氣並非單純地線性關係，因此「擇時發行」應該是發行公司重要的決策問題，同時也能合理解釋IPO折價跨期波動的現象。2我們也發現股權結構與市場景氣並非如Bolton and Thadden（1998）所主張的是一單純線性關係。3. 低品質公司往往趁著市場景氣熱絡，於IPO大量釋股。4. 傳統產業折價幅度相對較小，釋股規模則較大。5. 認購訊號愈多，愈容易產生追價風潮效果。在實證分析中，我們利用Hansen(2000)所發展的門檻模型（threshold model），分別檢視景氣變化與折價及釋股規模間之非線性關係，並得到實證上的支持。
釋股模型的主要貢獻之一，是將折價區分為承銷價訂價偏誤與市價偏誤兩部分，可以包容文獻中有關景氣與折價間不同的觀點，彙整成一個整合性的看法。我們發現承銷價訂價偏誤會隨著景氣熱絡而縮小，與Rock（1986）、Chemmanur（1993）認為市場景氣熱絡，發行公司可以減少補償逆選擇成本的說法一致，至於市價偏誤與景氣間的非線性關係，則與Ma（1999）主張折價除了受到承銷價訂價影響外，也受到市價影響的觀點相呼應。此外，股權結構與市場景氣間的非線性關係，也比以前線性關係的論述更能解釋現實狀況。由於在市場景氣低迷階段，縱使景氣好轉，控制權利益仍大於釋股的現金流量價值，因此發行公司會採取減少釋股的策略。然而隨著市場景氣持續熱絡，釋股產生的現金流量價值終將大於控制權利益，發行公司自然會採取增加釋股的策略。
我們也建立一個競價拍賣模型，並對競拍與公開申購的選擇進行分析。在Chemmanur and Liu (2003)的分析中，認為競拍的訊息萃取雖然較為深入，但成本高，無法吸引較多投資人參與，不利於次級市場價格發現。我們則是認為競拍所產生的訊息傳遞效果，反而有助於次級市場的價格發現。因此訊息不對稱程度高但績效好的公司，會希望藉由競拍機制，讓次級市場價格能反映其真實價值。此外，承銷機制選擇的原因，與景氣、公司知名度及釋股規模有關，實證結果顯示與模型的預期一致。
The purpose of the study is to analyze the problem of offer pricing and share issuing in the issuer with a dynamic model. The result shows: First, the correlation between discount and the prosperity of the market is not a linear function. Thus, ‘the IPO’s timing’ should be the key issue of issuing firm, which can reasonably explain the fluctuations in underpricing over time. Second, we also discover that the relationship between the ownership structure and the prosperity of the market is not a liner function as what Bolton and Thadden (1998) have claimed. Third, the firm with low quality prefers to release issuing shares in IPO when the market is booming. Fourth, the less the IPO discount in traditional industry, the more the share releasing. Finally, the more the phenomena of subscription, the more the investors subscribe blindly and generate an effect of the cascade.
One of the contributions in this model comprises the views between the prosperity of the market and IPO discount in the literature to integrate a profound viewpoint by dividing the IPO discount into the offer pricing error and the market pricing error. Another finding is that the offer pricing error will decrease subject to the prosperity of the market. This is consistent with the viewpoint of Chemmanur (1993) that when the market is booming, the issuers can decrease the cost of adverse choice. As for the non-linear relation between the market pricing error and the prosperity of the market is coordinate with what Ma(1999) has claimed that IPO discount is influenced by the offer pricing and the market pricing. Besides, the non-linear relationship between ownership structure and the prosperity of market can reasonably account for the real situation. Besides, the benefit of controlling authority is better than the value of the cash flow of the released shares owing to the depression of the market, even the market is turning booming. Therefore, the issuers will minimize releasing share. However, the issuers will increasing released shares up to the market is keeping booming and the value of the cash flow of the released shares is better than the benefit of controlling authority.
An auction model is established to analyze the choice of firms between fixed-price offerings and auctions. Chemmanur and Liu(2003) stated that obtaining the auction information is more advanced; however, the cost is high so that it can not catch enough investors to produce information which does not favor the discovery of the secondary market price. On the contrary, we proclaim that the information transmitting effect produced by auction will be helpful to the discovery of the secondary market price. Thus, a profitable company but suffers from high levels of information asymmetry prior to the IPO might expect the secondly market price to reflect its real value by auction. Moreover, the choice of underwriting mechanisms lies in the prosperity of the market, the reputation of the company and the degree of the releasing shares. The result of the empirical study is consistant with the expectation of our model.
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