新股初次上市承銷(Initial public offering，IPO)時存在正向股價報酬的現象，無論在國外或國內均得到實證上的支持。ㄧ般均認為此為發行公司刻意低估承銷價的結果。近期則有許多學者以監督理論(Monitoring Hypothesis)的觀點解釋發行公司低估承銷價的動機。其中Brennan 與Franks(1997)及Stoughton與Zechner(1998)的論述呈現相反的解釋及預期，Brennan 與Franks(1997)認為公司低估承銷價的動機是希望減少上市後被大股東監督的機率，Stoughton與Zechner(1998)則認為其是希望增加獲取監督服務的機會。本研究參酌國內之市場狀況，自目前上市公司之資料庫中，蒐集民國八十四年至九十三年間上市(櫃)且可取得所需研究資料的214家樣本，並以四種指標：每人平均持股數、大股東持股率、持股1000張以上股東持股率及賀芬德指數衡量股權集中度，對兩者的論述進行驗證。研究結論彙整如下： 1.在IPO時股權集中度與承銷價低估程度之關係方面：IPO時是否存在大股東與是否低估承銷價沒有顯著的關係。但選擇低估承銷價的公司群，其IPO時股權集中度稍低於未低估承銷價的公司群，唯僅部分指標達顯著水準。複迴歸分析的結果顯示，IPO時股權集中度與承銷價低估程度呈現負相關，唯僅部分指標達顯著水準。本研究因此認為即使IPO時股權集中度與承銷價低估程度之間的關係存在，其相關性亦相當微弱。 2.承銷價低估程度與IPO後股權集中度之關係方面：是否低估承銷價與IPO後是否存在大股東沒有顯著的關係。然低估承銷價的公司群，其IPO後股權集中度低於未低估承銷價的公司群，唯僅部分指標達統計上之顯著水準。複迴歸分析結果顯示，承銷價低估程度與IPO後股權集中度與沒有顯著關係，其亦無法解釋IPO後股權集中度的變化程度。本研究因此認為承銷價低估程度與IPO後股權集中度的關係相當微弱。此關係偏向支持Brennan 與Franks(1997)的理論預測，但不足以證實其成立。 3.本研究對三種期初報酬的操作性定義進行驗證，結果發現其對檢定結果並不會造成顯著的影響。然其中一個指標：以股票上市後的累積日報酬率第一次達最高(低)點前一天收盤價為新股市場價格的期初報酬定義，並非在所有狀況下皆為正確的衡量，故建議後續研究者參酌其他的定義方式。 The phenomenon of abnormal positive stock return during initial public offering(IPO) has been supported by tests no matter in Taiwan’s or other country’s stock market. In recent years, there were a lot of scholars explaining this phenomenon by the view of monitoring hypothesis. Among them, the argument of Stoughton and Zechner(1998) was in the contrast of that of Brennan and Franks(1997). Brennan and Franks(1997) argue that firm’s management underprices new share to create excess demand and reduce the probability of being supervised by blockholders. In contrast to Brennan and Franks(1997), Stoughton and Zechner(1998) argue the management want blockholders in order to provide their monitoring services. This research considers the actual condition of Taiwan’s stock market, collects 214 samples which necessary data was available from 1995 to 2004 from database of the listed company. The conclusion of this research is as follows: 1. Relation between stock concentration at the IPO and the degree of underpricng: there is no apparent relation between whether there was blockholders at IPO and whether firms underpriced the offer price. On the other side, the stock concentration at the IPO of firms the underpriced are slightly lower the those of firms the not underpriced, but only some indexes reach the significant level. As to results of multiregression analysis, there is negative relation between stock concentration at the IPO and the degree of underpricng, but only some indexes reach the significant level. Accordingly, this research concludes that there is only weak relation between stock concentration at the IPO and the degree of underpricng. 2. Relation between the degree of underpricng and stock concentration after the IPO and: there is no apparent relation between whether whether firms underpriced the offer price and whether there was blockholders after the IPO. On the other side, the stock concentration after the IPO of firms the underpriced are slightly lower the those of firms the not underpriced, but only some indexes reach the significant level. As to results of multiregression analysis, there is no relation between the degree of underpricng and stock concentration after the IPO. Accordingly, this research concludes that there is no relation between the degree of underpricng and stock concentration after the IPO. If the relation exists, it appears to be supportive of Brennan and Franks(1997). 3. This research verifies three definition of initial return and conclude that there is no apparent influence of different definition on the result of tests. But one of the definition-MAIRa is not robust compared with other definitions.
