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外文摘要
引文資料
題名:
承銷新制對承銷價與承銷費用之影響
書刊名:
臺大管理論叢
作者:
陳勝源
/
林宇平
作者(外文):
Chen, Shen-yuan
/
Lin, Yu-ping
出版日期:
2012
卷期:
22:2
頁次:
頁1-25
主題關鍵詞:
承銷新制
;
承銷價
;
承銷費用
;
The new underwriting system
;
Offering price
;
Underwriting fees
原始連結:
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相關次數:
被引用次數:期刊(
1
) 博士論文(
1
) 專書(0) 專書論文(0)
排除自我引用:
1
共同引用:
13
點閱:37
本研究配合承銷新制應用Black與Scholes選擇權評價模式設計2項指標,藉此探討IPO包銷案件承銷價與承銷費用之關係。實證結果發現IPO包銷案件的承銷價普遍低於訂價日當天股價,承銷商若以承銷新制所訂的包銷報酬上限收取承銷費用會有超額風險貼水;另在已知承銷價下,由於包銷風險很低,預計承銷商大多會依規定的最低作業成本500萬元來收取承銷費用;在已知承銷費用下,由實際收取的承銷費用估算承銷價,發現實際承銷價多為偏低。此外,我們也發現承銷案件適用承銷舊制或新制對於其承銷價相對價格有顯著的影響,且適用承銷新制者,其訂定的承銷價相對價格較低。至於配合承銷新制掛牌首五個營業日無漲跌幅限制的規定,檢定結果發現承銷價相對價格的高低與掛牌首五個營業日的最低股價是否會跌破承銷價有關,但並不影響掛牌首五個營業日的股價行為。意謂著承銷價訂定日股價對於訂定承銷價格可以提供相當的參考價值,來降低承銷商的包銷風險,而承銷新制放寬掛牌首五個營業日無漲跌幅限制的規定,確實能夠迅速反應市場認同的股價。
以文找文
In this study we applies Black and Scholes option pricing model to structure two indicators to determine the relationship between the IPO price and underwriting fees under the new underwriting system established in Taiwan in 2005. Our empirical study shows that in most cases, IPO prices are substantially lower than the stock price on the IPO pricing date. Underwriters normally gain excess risk premium through charging underwriting fees under the new underwriting system. Given that IPO prices are known, most underwriters will charge fees according to the regulated minimum operating expense of TWD 5M since the potential underwriting risk is fairly low. Assuming that underwriting fees are known, the IPO prices will be relatively lower when estimated through actual underwriting fee charges. In addition, we find a significant relationship existing between the underwriting system version and the relative IPO price, while the relative IPO prices are lower under the new underwriting system. In regards to the removal of price limits for the first five trading days, our testing result shows that the relative IPO price is correlated to whether the lowest price drops below the offering price, while no relationship exists with the price performance on the first five trading days. This indicates that the stock price on the IPO date can provide certain reference value for underwiters to lower their underwriting risk. Furthermore, the policy of removing the price limits on the first five trading dates can quickly reflect the justified price of the market.
以文找文
期刊論文
1.
Allen, Franklin、Faulhaber, Gerald R.(1989)。Signaling By Underpricing In The IPO Market。Journal of Financial Economics,23(2),303-323。
2.
施光訓、蔡明春、陸仲華(20051200)。IPO議價因素之探討--承銷商觀點。會計與公司治理,2(2),79-108。
延伸查詢
3.
Islam, M. A.、Ali, R.、Ahmad, Z.(2010)。An Empirical Investigation of the Underpricing of Initial Public Offerings in the Chittagong Stock Exchange。International Journal of Economics, and Finance,2(4),36-46。
4.
Bae, Sung C.、Levy, Haim(1990)。The Valuation of Firm Commitment Underwriting Contracts for Seasoned New Equity Issues: Theory and Evidence。Financial Management,19(2),48-59。
5.
Chemmanur, T. J.、Paeglis, I.(2005)。Management quality, certification, and initial public offerings。Journal of Financial Economics,76(2),331-368。
6.
Baron, D. P.(1982)。A Model of the Demand for Investment Bank Advising and Distribution Services for New Issues。Journal of Finance,37(4),955-976。
7.
Beatty, R. P.、Ritter, J. R.(1986)。Investment banking, reputation, and the underpricing of initial public offerings。Journal of Financial Economics,15(1/2),213-232。
8.
Carter, R. B.、Dark, F. H.、Singh, A. K.(1998)。Underwriter Reputation, Initial Returns, and the Long-Run Performance of IPO Stocks。Journal of Finance,53(1),285-311。
9.
Ritter, J.、Chen, Hsuan-Chi(2000)。The Seven Percent Solution。The Journal of Finance,55(3),1105-1131。
10.
Titman, Sheridan、Trueman, Brett(1986)。Information quality and the valuation of new issues。Journal of Accounting and Economics,8(2),159-172。
11.
Booth, J. R.、Smith, R. II(1986)。Capital raising, underwriting and the certification hypothesis。Journal of Financial Economics,15(1/2),261-281。
12.
Tinic, Seha M.(1988)。Anatomy of Initial Public Offerings of Common Stock。Journal of Finance,43(4),789-822。
13.
Rock, Kevin(1986)。Why New Issues Are Underpriced?。Journal of Financial Economics,15(1/2),187-212。
14.
Megginson, William L.、Weiss, Kathleen A.(1991)。Venture capitalist certification in initial public offerings。Journal of Finance,46(3),879-903。
15.
Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。
16.
Bekaert, G.、Harvey, C. R.(1995)。Time-Varying World Market Integration。The Journal of Finance,50(2),403-444。
17.
Ritter, Jay R.(1991)。The Long-run Performance of Initial Public Offerings。Journal of Finance,46(1),3-27。
18.
Welch, Ivo(1989)。Seasoned Offerings, Imitation Costs, and the Underpricing of Initial Public Offerings。Journal of Finance,44(2),421-449。
19.
李建興(20080400)。臺灣IPO折價影響因素之探討:分量迴歸分析法。證券市場發展季刊,20:1=77,頁47-99。
延伸查詢
20.
Ahn, O. H.、Kim, J.、Son, P.(2007)。The pricing of underwriting services in the Korean IPO market: Characteristics and determinants。Asia-Pacific Journal of Financial Studies,36(5),731-764。
21.
Altinkilic, O.、Hansen, R. S.(2000)。Are there economies of scale in underwriting fees? Evidence of rising external financing costs。Review of Financial Studies,13(1),191-218。
22.
Bower, N. L.(1989)。Firm value and choice of offering method m initial public officerings。Journal of Finance,44(3),647-662。
23.
Burch, T. R.、Nanda, V.、Warther, V.(2005)。Does it pay to be loyal? An empirical analysis of underwriting relationships and fees。Journal of Financial Economics,77(3),673-699。
24.
Chen, Anlin、Huang, Yu Ting Urania、Kao, Lanfeng、Lu, C. S.(2009)。Is underwriter retention of IPO shares a good substitute for underwriting spreads?。Emerging Markets Finance and Trade,45(5),19-30。
25.
Chen, Hsuan-Chi、Fok, Robert C. W.、Wang, Yu-Jen(2006)。Why do underwriters charge low underwriting fees for initial public offerings in Taiwan?。Journal of Business Finance & Accounting,33(7/8),979-1005。
26.
Francis, B. F.、Hasan, I.、Lothian, J. R.、Sun, X.(2010)。The signaling hypothesis revisited: Evidence from foreign IPOs。Journal of Financial and Quantitative Analysis,45(1),81-106。
27.
Mandelker, G.、Raviv, A.(1977)。Investment banking: An economic analysis of optimal underwriting contracts。Journal of Finance,32(3),683-694。
28.
Lin, C. T.、Hsu, S. M.(2008)。Determinants of the initial IPO performance: Evidence from Hong Kong and Taiwan。Applied Financial Economics,18(12),955-963。
29.
Zhu, Y.(2009)。The relation between IPO underpricing and litigation risk revisited: Changes between 1990 and 2002。Financial Management,38(2),323-355。
研究報告
1.
Nanda, V.、Yi, J. H.、Yun, Y.(1995)。IPO long run performance and underwriter reputation。
學位論文
1.
Huang, C. M.(2007)。台灣與香港資本市場之競爭態勢--兼論承銷手續費之差異。國立中山大學。
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