查詢結果分析
來源資料
頁籤選單縮合
題 名 | 增資股票折價幅度、承銷風險與流動性風險之內生關聯性=The Endogenous Relationship among SEO Underpricing, Underwriting Risk, and Liquidity Risk |
---|---|
作 者 | 黃志仁; 陳佳琴; | 書刊名 | 金融風險管理季刊 |
卷 期 | 3:4 2007.12[民96.12] |
頁 次 | 頁47-68 |
分類號 | 563.54 |
關鍵詞 | 現金增資; 折價; 承銷風險; 流動性風險; Seasoned equity offerings; Underpricing; Underwriting risk; Liquidity risk; |
語 文 | 中文(Chinese) |
中文摘要 | 臺灣承銷市場存在承銷折價和時間落差(time-lag)的普遍現象。過去研究僅單方向思考時間落差對承銷折價之影響,忽略了實務上「相互影響」的內生現象。本文將整段時間落差拆解為承銷期間(承銷商或發行公司承擔的時間落差風險)與流動性期間(投資人承擔的時間落差風險),以三階段最小平方法估計聯立方程式模型,探討承銷折價幅度、承銷風險與流動性風險三者的相互影響關係。驗證結果顯示,文獻上所發現的時間落差與承銷折價幅度之間的正相關,主要是來自於承銷期間的影響,表示折價主要是補償承銷商或發行公司的時間落差風險,且兩者之間具有正向的內生關係。此外,本文首度發現承銷期間與流動性期間呈顯著負相關,顯示發行公司和承銷商為了避免整個承銷期間過於冗長,會針對這兩種時間落差進行替代性調整。本文進一步以不同的樣本分群(依據公司掛牌市場、無償配股與否、公司規模、市場景氣)、刪除極端值、採不同的變數定義等方式,進行堅實性驗證(robustness test),皆得到類似結論。此外,複迴歸模型的驗證結果與聯立方程式模型有明顯差異,顯示探討此議題採用聯立模型的必要性。 |
英文摘要 | The important phenomena of the underwriting system of seasoned equity offerings (SEO) in Taiwan include underpricing and time-lag risk. Previous studies often considered only their one-way causal relationship (i.e. time-lag risk explains underpricing). The purpose of this study is to apply Three-stage Least Squares Simultaneous Equations Model (SEM) to examine the endogenous relationship among SEO underpricing, underwriting risk and liquidity risk. The results indicate that the positive relationship between magnitude of SEO underpricing and time-lag risk is driven by the effects of underwriting risk to compensate the time-lag risk for issuing firms and underwriters. In addition, underwriting risk is found to be negatively related to liquidity risk, suggesting that issuing firms and underwriters conduct a substitution adjustment between these two periods to control the entire period of time-lag. Based on extensive sensitivity analyses, the results are robust. Furthermore, the difference of results between OLS regression and SEM sheds light on the importance of model selection. |
本系統中英文摘要資訊取自各篇刊載內容。