Price Patterns of the Stocks Listed in Taiwan Stock Exchange: Comparing IPO Pricing Formula, Negotiated Price, and the Price Movement after IPO

[[abstract]]近幾年來，股市走向空頭，國內新股上市常出現跌破承銷價之狀況，因此造成承銷商包銷風險之提高，而參與抽籤之投資者慘遭套牢之情形，有鑑於此，本研究透過筆者多年在承銷界的實務經驗，將再次檢視影響承銷價的決定性因子，作為承銷商訂定承銷價的參考依據，並且評估證期會公式所計算之承銷價格與承銷商最後訂定之承銷價何者具有超額報酬，以作為承銷商的比較依據，選擇可以降低承銷風險的最佳定價公式。 本研究從兩方面進行探討：首先，訂定影響承銷價的決定因子，其中包括有「證期會承銷價公式」、「當年度每股盈餘」、「加權股價指數」、「電子與非電子產業別」、「競拍與非競拍」等五項因子，藉由各因子發展研究假說，並且建構迴歸模型，實際證明各因子與承銷價間的相關程度，並作一結論判斷。其次，探討證期會公式所訂之承銷價與承銷商實訂承銷價，兩著間與市價的異常報酬究竟孰高孰低，藉以選擇對承銷商得以降低風險的承銷價計算方式。 經實證研究發現，在影響承銷價的因子當中，「證期會承銷價公式」、「加權股價指數」、「電子與非電子產業別」與承銷價相關性較高，而「當年度每股盈餘」與「競拍與非競拍」兩者，與承銷價的訂定較無關係；此外，利用證期會承銷價公式與承銷商實訂承銷價之相比較之後，發現承銷商實訂之承銷價有異常報酬之存在，且較證期會公式訂定的承銷價來的高。 最後，根據本研究的實證結果與分析，作為承銷商訂定承銷價藉以降低風險之依據，並提供主管機關在修訂承銷價格訂定方式之參考依據[[abstract]]Taiwan stock market has turned bearish in the past few years. The prices of many stocks have fallen below their IPO level, causing risks to the underwriters and losses to investors. With many years of experiences in IPO business, I plan to re-investigate the factors in determining IPO prices. This paper evaluates the pricing of the regulator and the price set by the invest banks to see if there is any excess returns, trying to establish a bench mark and a feasible pricing strategy for the underwriters. The result may shed light on selecting the right price for IPO. Five major factors affect IPO pricing: IPO pricing formula of the regulator, EPS, weighted average of stock index, electronic/non-electronic industries, and competitive/non-competitive auction. A regression model is built to examine the relationships among those variables. The price set by the pricing formula may be different from that by the underwriters. Evaluating these two pricing may offer the underwriter a choice to lower the risks. According the analysis, IPO pricing formula, weighted average stock index, and electronic/non-electronic industries are closely related to IPO pricing, while EPS and competitive/non-competitive auction are less important. Furthermore, the price set by the underwriter may involve abnormal returns and is usually higher than that set by the regulator. The study may help reduce the risks undertaken by the underwriter and offer a guideline to the regulator in IPO pricing