監督、首次公開上市釋股策略與價格低估現象之研究

Monitoring, IPO Strategy and Underpricing

本研究從積極投資人的監督可以增進公司價值的論點，以最佳拍賣機制，分析IPO階段的企業主釋股策略與IPO價格低估現象。研究結果顯示，企業主的最佳策略為，儘可能將釋出的股份比率維持在可以讓積極投資人有機會取得控制權的最低的水準。本研究並證明IPO價格低估為必然存在的現象，且被認為未來價值較高的公司，其股價低估的幅度會比被認為未來價值較低的公司為小；控制權市場流動性越高的公司，其價格低估的幅度將會越小，但企業主與積極投資人的私人利益，則不會影響IPO價格低估的幅度。

In the field of financial economics the issue of initial public offerings (IPO) underpricing has always been an unsolved puzzle. We assume in this paper that close monitoring of a firm by an outside blockholder (active investor) will enhance the firm’s value. We analyze the entrepreneur/owner’s IPO share release strategy and the phenomenon of IPO underpricing by an optimal auction mechanism. We suggest an offering system whereby the entrepreneur/owner release only a partial amount of shares in the IPO process. The investment bank then discriminates outside blockholders and general investors. Outside blockholders bid in an auction market. Under a non price-discriminated situation, general invertors used the fixed price from an auction market to subscribe to the shares publicly. The case of an auction failure or insufficient subscription means that an IPO is unsuccessful. Therefore, a successful IPO shows that outside blockholders and general investors all have a sufficient participating incentive, and all investors expect to acquire the optimal benefits in an IPO. After the IPO, outside blockholders will trade in a block-holding market, and general investors will trade in the secondary market. The offering system corresponds what’s done in practice. If an IPO implies a transfer of control right, the best design is to provide the outside blockholders the opportunity to acquire controlling rights. Because of outside blockholder’s monitoring and controlling, the firm’s value will be higher. The entrepreneur/owner can also receive more benefits. There are many auction mechanisms that theoretically could be used. Participators’ attitudes also vary. Following a traditional auction, being the highest bidder does not mean that the entrepreneur/owner benefits the most. To solve the problem, this paper uses the probability of getting control rights, the active investor bidding price and shareholding ratio as a discriminate tools. By the revelation principle of Myerson (1981), outside blockholders reveal their desired price and share ratio, and then the entrepreneur/owner decides to release portion of shares to the one benefit him/her the most. In this paper, we apply the concept of how game participators have enough incentive to reveal their private information about the firm’s value honestly under an individual rationality constraint in order to discuss the issue of entrepreneur/owner’s optimal share-releasing strategy and IPO underpricing. We demonstrate that the best strategy for the entrepreneur/owner is to release the least percentage of shares to an outside-blockholder, which will still enable the outside blockholder to retain the right to monitor the firm. After the IPO, the minimal share-releasing level will not be affected by the liquidity of the controlling rights’ trading market. In the real world, ntrepreneurs/owner make the decision of whether to list or not, depending not only on the IPO proceeds but also on the stock price performance after listing. Thus, if the outside blockholder can increase the firm’s value via aggressive monitoring, then the entrepreneur/owner can gain more benefit from the unreleased shares. The results show that IPO underpricing is unavoidable when an IPO is selected. IPO underpricing is a lucrative means to lure outside blockholders to provide capital to the firm, who are willing to monitoring the firm. We find that outside blockholders who can increase the firm’s value more than the others has a stronger incentive to hold more. When the entrepreneur/owner provides fewer shares, the price discount should be lower, and vice versa. We also find that the firm whose controlling rights market has higher liquidity will have a lower price discount. However, the private benefits of an entrepreneur and outside blockholders do not affect IPO underpricing. The result also shows that for those firms that are confirmed to be valuable, their price discount can be lower than those that are not.