新股上櫃前櫃檯市場資訊與承銷價格低估關係之研究

Abstract

本研究乃是探討在公開上市前特定時間，大盤相關的訊息對於新上櫃股票承銷價格低估之影響，所選擇的研究對象是民國九十年至九十四年間在中華民國櫃檯買賣中心店頭市場的新上櫃公司，共計有四百一十三家，利用平均數t檢定，複迴歸分析等統計分析工具，檢定變數計有大盤市場動量、大盤市場波動性、大盤本益比、大盤股價淨值比、大盤成交量、大盤週轉率、大盤平均殖利率等因素，以新上櫃股票上櫃前六個月前的數值作為分析的自變數，研究以上自變數與新上櫃股票承銷價格低估之相關性分析，亦能找出以上自變數與新上櫃股票承銷價低估的相關性。經過實證分析之後，得到以下的結論： 一、研究期間上櫃股票存在承銷價格低估現象，店頭市場69.01%之新上櫃股票被低估，承銷價平均被低估24.88%。 二、研究期間新上櫃股票之承銷價低估與上櫃前十日市場動能的關係為不顯著，但與上櫃前十日市場波動為正相關。而新上櫃股票之承銷假低估與上櫃前四十日市場動能以及市場波動為正相關 三、研究期間新上櫃股票之承銷價格低估與上櫃前六個月前之大盤相關變數結果為：與大盤週轉率、大盤股價淨值比、大盤殖利率為負相關，與大盤成交量為正相關，與大盤本益比關係為不顯著。 四、研究樣本依據產業區分為電子股與非電子股，發現大盤相關變數對於非電子股產業之承銷價低估無顯著相關，電子股則與整體大盤結論一致。

This study focuses on the relationship between the stock market information and the underpricing of initial public offerings (IPO). Our sample consists of IPO companies during the sample period from 2001 to 2005.We adopt the variables six months before the IPO date, including the market volume turnover rate, trading value, price earning ratio, price-book ratio, and the average dividend yield. Furthermore, we consider the market momentum and market volatility to analyze the effect of stock market prosperity and uncertainty on the underpricing of IPO stocks. The conclusions are: (1)The underpricing of IPO stock exists in Taiwan OTC stock market.69% of the newly listed companies underprices their stocks by 24% on average. (2)There are positive relationships between the market volatility and the underpricing of IPOs. And there is the positive relationship between the 40-day market momentum and the underpricing of IPOs. However, there is no significant relationship between the 10-day market momentum and the underpricing. (3)The trading value of the stock market has a positive effect on the underpricing of IPO Stocks. The market volume turnover rate, price-book ratio, and the market average dividend yield have negative impacts on the underpricing of IPO Stocks. There is not the significant relationship between the stock market average price-earning ratio and the underpricing of IPO. The relationship between the stock market information and the underpricing of newly listed non-electronic industry companies are not significant at all.