首次公開發行股票在發行初期所存在的超常報酬現象，可能的原因不外乎是發行價的偏低定價、發行初期投資人對於股票的錯誤評價和發行初期承銷商進行價格穩定操作等，而這些原因彼此間並非互斥，因此，過去研究以初期超常報酬作為偏低定價的衡量並驗證偏低定價的存在及其影響因素可能會有偏差。本文利用隨機前緣模式以上市前與公司最大發行價之決定有關的情報來驗證及估計新上市股票的偏低定價，並藉此進一步驗證理論上影響發行公司偏低定價的因素，如此可與以初期超常報酬代表偏低定價程度所進行的相關實證結果相印證。本研究發現，台灣地區新上市股票確實有偏低定價現象，而估計之偏低定價平均為5.89%；淡、旺季發行分組的新上市股票不僅初期超常報酬有顯著差異，所估計之偏低定價程度亦有顯著差異；上市初期超常報酬的形成與偏低定價是有關連，但是偏低定價程度對於初期超常報酬的解釋能力並不高；有關偏低定價影響因素之驗證，以發行價、發行金額、上市前一年營業收入及上市前三年盈餘穩定程度與偏低定價程度達顯著關連。

Positive abnormal initial returns of Initial Public Offerings（IPOs）are attributed to underpricing, misvaluation, and price stabilization. These three causes of IPO initial returns are not mutually exclusive. Previous studies usually attributed the IPO initial return to underpricing, and examine the causes of underpricing. However, if underpricing is not the only cause for IPO initial returns, the previous empirical findings are biased. This study employs the pre-market information about the optimal offer price via the stochastic frontier model to examine the significance of actual underpricing and estimates the extent of underpricing for IPOs. Furthermore, we verify the factors influencing IPO underpricing. We find that there is underpricing for IPOs in Taiwan stock exchange market and the underpricing, on average, is 5.89%. Compared to the IPOs issuing in cold market, those issuing in hot market have much more initial return and underpicing. Besides, the relationship between initial return of IPO and underpricing is positively significant, but underpricing is not the only cause of IPO initial return. After verifying, the factors influencing underpricing significantly are offer price, offer proceeds, sales for the year before offering, the extent of income smoothing before issuing.