初次公開發行市場股票折價因素之探討

Analysis of Influencing Factors of IPO Underpricing

本研究以台灣、中國Ａ股及香港2007年至2014年初次上市櫃公司為研究對象，研究期間共8年，探討台灣、中國、香港兩岸三地初次公開發行市場盈餘管理對股票折價幅度的影響。實證結果顯示，IPO折價幅度與盈餘管理為正向顯著關係，代表初次公開發行市場盈餘管理程度愈大，使資訊不對稱程度也愈大，公司風險提高，因而公司會降低承銷價格，導致折價幅度變大。另外，研發支出占GDP％、價格穩定、外匯存底總額以及股票市場占GDP％與IPO折價幅度為負向顯著關係，以上因素可降低投資者所承擔的風險,因而承銷價格可提高，造成折價幅度縮小；成交週轉率與IPO折價幅度為正向顯著關係，成交週轉率愈高代表股票持有期間愈短，市場交易愈活絡，初次公開發行市場首日收盤價格也會隨之提高，因此造成較大的折價幅度。

This study examines the impact of country-level earnings management on IPO underpricing, using 2,153 IPO firms from China, Taiwan and Hong Kong over 2007-2014. We find significant positive association between earnings management and IPO underpricing. To the extent that earnings management is related to information asymmetry, the greater the degree of earnings management, the company risk will increase, and it will reduce the company underwriting prices, leading to larger IPO underpricing. Moreover, R&D expenditure as a percentage of GDP, price stabilization, foreign exchange reserves and stock market capitalization to GDP ratio are negatively related to the IPO underpricing. Because of the small risk taken by investors, it will increase the company underwriting prices, leading to smaller IPO underpricing. Finally, the turnover ratio is positively related to the IPO underpricing. Which means more frequent market transactions induce the increasing of first day IPO closing price, result in a larger IPO underpricing.