Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 楊棋材 | en_US |
dc.contributor.author | Chi-Tsai Yang | en_US |
dc.contributor.author | 曾正權 | en_US |
dc.contributor.author | 許和鈞 | en_US |
dc.contributor.author | Tseng-Chuan Tseng | en_US |
dc.contributor.author | Her-Jiun Sheu | en_US |
dc.date.accessioned | 2014-12-12T02:28:42Z | - |
dc.date.available | 2014-12-12T02:28:42Z | - |
dc.date.issued | 2001 | en_US |
dc.identifier.uri | http://140.113.39.130/cdrfb3/record/nctu/#NT900457071 | en_US |
dc.identifier.uri | http://hdl.handle.net/11536/69078 | - |
dc.description.abstract | 我國現金增資普遍存在大幅折價之現象,以公開抽籤方式者在86年5月前折價幅度高於30%,之後經過制度改良仍有約20%之折價。美國市場增資新股大多採確定包銷方式,而其承銷價則大多以定價日之收盤價為準而無折價現象。我國於84年4月引進美國之制度,稱之為詢價圈購,希望能達到如美國以時價發行的境界,以解決大幅折價產生原股東權益受損以及發行成本提高之問題,然而引進之後仍然有約10%之折價。我國學術界與實務界普遍認為,定價日距離上市日較長所產生之時間風險,是造成增資新股折價之主要原因,但並不知道如何量化時間風險,也不知道合理之折價基準為何。 本研究認為折價問題起因於承銷制度的設計,透過對詢價圈購制度之分析,本研究指出新股之折價其實不僅決定於時間風險,也決定於承銷手續費的多寡,而且時間風險可以分解為承銷風險與流動性風險。Bae and Levy (1990)認為包銷可視為一歐式賣權,本研究利用此一觀點加以運用,而得到一個考慮承銷風險的理論折價模式。而流動性風險方面則利用無風險套利的觀念,以求算流動性風險之折價下限,並以Longstaff(1995)虛擬投資人可猜出受限期間之股價高低之假想情境,求算出流動性風險之折價上限。 本研究統計80年9月至87年10月,採公開抽籤方式之折價情形,以及85年5月至87年11月,採詢價圈購方式之折價情形。另外我們進一步以詢價圈購增資案之資料,在一些操作性必要假設下,計算出理論之折價幅度範圍,並與實際折價情形作比較。實證結果顯示樣本之平均折價幅度,與實務上之經驗折價幅度10%相當,而約有七成左右之實際值低於理論的上限,表示本研究之評價理論模型應具有參考性。不過實證結果亦顯示,個別樣本之實際折價與理論折價間之差異頗大,表示除了時間風險之影響外,亦存在其他因素。 本研究的評價模型除了對增資新股採詢價圈購之定價,提供了理論定價之參考,可為主管機關設定新股承銷價折價上限的理論依據,亦為承銷制度之改善提供了部分思考方向。另外,其他有價證券之發行,在現行制度上亦面對承銷風險與流動性風險,本研究之討論將可提供一些衡量之基礎。 | zh_TW |
dc.description.abstract | An analytical framework is developed to explain the apparent underpricing of seasoned new equity (SEOs) with book-building method in Taiwan. It is found from practicing data that around 10% discount exists for the new issued shares in Taiwan while there is no discount in the U.S. counterpart. The academics and practitioners believe the main reason for price discount of SEOs in Taiwan is the long time lag between the pricing day and paying day. The time lag between the pricing day and paying date is typically around a month in Taiwan while only 1 day in the U.S. Since the market price on the offer day is unknown at the pricing day, the underwriter bears the risk that the market price falls below the offer price. Refering Bae and Levy (1990), we decompose the time-lag risks into the underwriting risk and the liquidity risk, both of which are then analyzed with the options pricing theory to derive individual risk-incurred discount and the composite discount with both risks. The underwriting risk could be evaluated by treating the underwriting contract as a European futures put. The liquidity risk is analyzed by the lower bound of the discount with arbitrage cost, and the upper bound of the discount with look-back put. Adding these two discounts together, the theoretical discount is close to the real requirement for the offer price discount as specified by the Security and Futures Exchange Commission in Taiwan. In other words, this study proposes a discount formula to quite explain the practical discount values. | en_US |
dc.language.iso | zh_TW | en_US |
dc.subject | 現金增資 | zh_TW |
dc.subject | 詢價圈購 | zh_TW |
dc.subject | 評價模式 | zh_TW |
dc.subject | 時間風險 | zh_TW |
dc.subject | 折價 | zh_TW |
dc.subject | Seasoned Equity Offerings | en_US |
dc.subject | Book-Building Method | en_US |
dc.subject | Pricing Model | en_US |
dc.subject | Time-lag Risk | en_US |
dc.subject | Underpricing | en_US |
dc.title | 增資新股採詢價圈購之評價模式與實證 | zh_TW |
dc.title | The Valuation of Seasoned Equity Offerings with Book-Building Mehod: Pricing Models and Empirical Eviedences | en_US |
dc.type | Thesis | en_US |
dc.contributor.department | 經營管理研究所 | zh_TW |
Appears in Collections: | Thesis |