94年加強承銷商責任與罰責的新承銷機制對初次上市櫃股票短期異常報酬之影響

Abstract

金管會於民國93年底修訂我國證券承銷相關制度，並於民國94年生效實施，該次修訂之承銷新機制與過去制度之主要差異，在於提升承銷商自主權並課以承銷商較大之承銷專業責任，希望透過交易機制與規則的鬆綁，促使承銷商得以發揮其應有之功能與強化價格機能。此外，金管會亦授權相關單位修訂配套措施，包括：配合取消初次上市櫃掛牌首五日漲跌幅限制，承銷商在初次上市櫃股票掛牌交易後五日內有進行安定操作的義務、將安定操作績效納入分級管理之依據、與加重缺失懲處等規範。基於承銷新機制明顯加重承銷商責任與罰責，本研究預期此承銷規範的改變將影響承銷商在初次上市櫃股票承銷價格制定過程之決策行爲。職此，本研究擬以民國94年承銷機制規範改變之角度，經由適用不同承銷制度之初次上市櫃股票的比較，探討加重承銷商責任與罰責之承銷新機制規定，對於初次上市櫃股票掛牌交易後短期股票異常報酬之影響。實證結果發現：在控制其他影響承銷價格折價之變數後，承銷新制之實施顯著增加初次上市櫃股票掛牌交易後之短期股票異常報酬。本研究推論此乃因新機制強化了承銷商在協商承銷價格過程之保守行爲，刻意壓低承銷價格，因而擴大了折價幅度，導致掛牌交易後股票異常報酬增加。

The Taiwan Securities and Futures Commission promulgates a new order at the end of 2004 which empowers more autonomy to the underwriters in setting the offering price of the initial public offering (hereafter, IPO) and enhances their responsibilities in dealing IPO cases. This new underwriting mechanism is aimed at strengthening the underwriters' functionalities in IPOs. Specially, this new enactment cancels the upper/lower 7% price limit within 5 trading days after the initial public offering and requires the underwriters to stabilize initial stock prices of IPO. If the IPO's underwriter fails to stabilize initial stock prices, this underwriter will be punished in its future underwriting cases. Based on this new observation, this study conjectures that this stock price stabilization requirement will make the underwriters more conservative in setting the offering prices, in turn, enlarge the initial abnormal returns of IPO, instead of shortening these returns. In order to examine this prediction, this study compares the initial abnormal returns for IPOs before this new enactment with the counterpart after this new enactment. The empirical results show that the latter are, on average, larger than the former after controlling other initial abnormal return-relevant factors. The conjecture of this study gains firmly support.