承銷新制對承銷價與承銷費用之影響

The Effects of the New Underwriting System on Initial Public Offering Price and Underwriting Fees

10.6226/2012.(22-2).01

陳勝源(Shen-Yuan Chen)；林宇平(Yu-Ping Lin)

承銷新制 ； 承銷價 ； 承銷費用 ； the new underwriting system ； offering price ； underwriting fees

臺大管理論叢

22卷2期（2012 / 06 / 01）

1 - 25

繁體中文

本研究配合承銷新制應用Black與Scholes選擇權評價模式設計2項指標，藉此探討IPO包銷案件承銷價與承銷費用之關係。實證結果發現IPO包銷案件的承銷價普遍低於訂價日當天股價，承銷商若以承銷新制所訂的包銷報酬上限收取承銷費用會有超額風險貼水；另在已知承銷價下，由於包銷風險很低，預計承銷商大多會依規定的最低作業成本500萬元來收取承銷費用；在已知承銷費用下，由實際收取的承銷費用估算承銷價，發現實際承銷價多為偏低。此外，我們也發現承銷案件適用承銷舊制或新制對於其承銷價相對價格有顯著的影響，且適用承銷新制者，其訂定的承銷價相對價格較低。至於配合承銷新制掛牌首五個營業日無漲跌幅限制的規定，檢定結果發現承銷價相對價格的高低與掛牌首五個營業日的最低股價是否會跌破承銷價有關，但並不影響掛牌首五個營業日的股價行為。意謂著承銷價訂定日股價對於訂定承銷價格可以提供相當的參考價值，來降低承銷商的包銷風險，而承銷新制放寬掛牌首五個營業日無漲跌幅限制的規定，確實能夠迅速反應市場認同的股價。

In this study we applies Black and Scholes option pricing model to structure two indicators to determine the relationship between the IPO price and underwriting fees under the new underwriting system established in Taiwan in 2005. Our empirical study shows that in most cases, IPO prices are substantially lower than the stock price on the IPO pricing date. Underwriters normally gain excess risk premium through charging underwriting fees under the new underwriting system. Given that IPO prices are known, most underwriters will charge fees according to the regulated minimum operating expense of TWD 5M since the potential underwriting risk is fairly low. Assuming that underwriting fees are known, the IPO prices will be relatively lower when estimated through actual underwriting fee charges. In addition, we find a significant relationship existing between the underwriting system version and the relative IPO price, while the relative IPO prices are lower under the new underwriting system. In regards to the removal of price limits for the first five trading days, our testing result shows that the relative IPO price is correlated to whether the lowest price drops below the offering price, while no relationship exists with the price performance on the first five trading days. This indicates that the stock price on the IPO date can provide certain reference value for underwiters to lower their underwriting risk. Furthermore, the policy of removing the price limits on the first five trading dates can quickly reflect the justified price of the market.

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