已民營化公營事業公股再釋股之評價模式

Abstract

有鑑於政府財政壓力日益沉重，公營事業民營化與已民營化公營事業持續釋股的時間壓力，釋股收入或可作為政府籌資的方法之一。當公股釋出採公開申購的承銷制度，若繳款日市價低於承銷定價，投資人將傾向於在集中市場購買現股，而放棄繳款，造成繳款率過低，釋股收入無法達到預期釋股收入。因此，釋股價格扮演重要的角色，合理的釋股價格有助於提高一般投資人的繳款意願，也有助於政府預估釋股預算。 本研究建立公股再釋股評價模式，以市價為基礎，引入承銷商之承銷風險與投資人之流動性風險的觀念，試圖找出合理的承銷折價成數以彌補投資人參與公開申購釋股可能產生的投資損失，藉以提高投資人之繳款意願。運用Bae and Levy認為包銷可視為一歐式賣權的觀點，得到承銷風險的折價成數；利用無風險套利的觀點，得到流動性風險的折價成數上限，並以Longstaff的回顧型賣權的觀點，得到流動性風險的折價成數下限。因定價日股價與個股波動率是影響承銷價的主要因素，因此不同時點所計算出承銷價將有所不同。根據評價模式試算之理論承銷價，為折價發行，折價成數介於七成〈最低折價成數下限為陽明海運之0.6984〉至九五成〈最高折價成數上限為中央再保險之0.9556〉之間，符合法令規定公開申購制度的承銷價，亦高於市價折扣法所計算之承銷價一成以上。因此本研究之評價模式應具有可行性。

Due to the government fiscal deficit, stock floatation for both privatized and non-privatized state-own firms is a possible financing method for our government. If market price is below the exercise price for the stock floatation, investors will just stock in the market. Under the aforementioned circumstance, stock floatation revenue will be short from the expected level. The underwriting price is indeed the key point in stock floatation. Reasonable underwriting price will not only enhance the rate of exercise but will also assist the government in the estimation of stock floatation revenue. Pricing model is based on stock price, underwriter’s underwriting risk and investor’s liquidity risk. Pricing model is employed to find a reasonable underpricing value to compensate investors’ risk so that the exercise rate could be raised. Treating stand-by offerings as a European put, the value of underwriting risk could be estimated. An upperbound for liquidity risk could be derived by the application of arbitrage opportunity. On the other hand, lowerbound of liquidity risk could be calculated using the lookback put concept. Because of stock price on offering date and volatility of stock price are key factors of underwriting price, it is found that dynamic underwriting price has 70% to 95% discount. The calculated range will not violate the maximum 30% discount requires by the government law. It is also observed that the calculated range in this work is usually 10% higher than the market discount model. In conclusion, the pricing model of stock floatation is practicable.