新舊承銷制度下首次公開發行股票異常報酬率之比較研究

A Comparative Investigation on Abnormal Returns of IPOs under Different Underwriting Mechanisms

本研究以1989年11月起至2004年4月之間，在臺灣辦理首次公開發行股票，而後又獲准在臺灣證券交易所集中市場掛牌買賣的227家公司為對象，進行公開發行後掛牌買賣的價格表現。本研究發現，全部樣本、依不同配售制度而分組各子樣本的平均初期異常報酬率都顯著高於0。若持有新股滿280個營業日，長期異常報酬率經平減初期異常報酬率後則皆為負數。若再以掛牌年度或產業別加以比較，也普遍存在相似的現象。本研究還發現，臺灣發行市場並未出現所謂的熱賣市場，不過初期異常報酬率有逐年遞減的趨勢。以多元迴歸分析各種制度的初期異常報酬率，發現主要的影響因素包括後市系統風險系數、後市殘差風險，發行價格、中籤率、董監事持股比率等，同樣的解釋變數對於長期異常報酬率的解釋並不理想。在新制度適用期間部分採取競價拍賣的IPOs，初期異常報酬率顯著高於完全採取公開申購者；而舊制度適用期間採取公開申購的IPOs，初期異常報酬率也顯著高於新制度適用期間完全採取公開申購者。因此，本研究推論臺灣股票首次公開發行市場存在自我選擇效果。

By investigating the 227 IPOs in Taiwan equity market during the period from November 1989 and April 2000, this study finds that the initial abnormal returns for the whole sample and sub-samples grouped by various mechanisms are, on average, significantly greater than zero. However, the one-year average abnormal returns, excluding the corresponding initial abnormal returns, for the whole sample and the sub-samples are negative. We also find the similar results for sub-samples grouped by years or by industries. Furthermore, we observe a declining tendency in the time series of the initial abnormal returns. By using the multiple regression analysis, we find that the most important explanation variables for the variation of initial abnormal returns include the offering prices, the board ownership, allotment rates, after-market systematic risks and after-market idiosyncratic risks. However, we have only a poor evidence for the long-run abnormal returns. One most interesting result is that the initial abnormal returns for the IPOs by using auction are significantly larger than those for the IPOs by using fixed-price system and that the initial abnormal returns for the IPOs before the enactment of the new system are significantly larger than those for the IPOs after the enactment. Accordingly, we conclude that there exists the self-selection effect in Taiwan's IPOs market.