本文探討臺灣IPO市場在首日及自願集保閉鎖期結束日發生股價異常波動之現象，並利用承銷方式、不確定性及放空限制解釋市場產生異常報酬率之原因。以2007年至2020年上市櫃公司做為研究對象，經篩選後共取得593家公司。
研究結果指出，臺灣IPO市場會產生首日異常正報酬率及自願集保閉鎖期結束日前後會產生累積異常負報酬率。此外，不論採用詢價圈購亦或是競價拍賣做為承銷方式，兩者的價格發現功能並無顯著差異。至於針對Miller (1977)理論中以不確定性及放空限制解釋IPO異常報酬率的部份，首先，以IPO前一年度財務指標所計算出的不確定性分數，在其做為不確定性變數並與放空限制分組後，並無法解釋IPO後產生異常報酬率之原因；其次，以IPO前15日報酬率標準差做為不確定性變數並與放空限制分組後，發現首日異常正報酬率的組間差距達到顯著差異，且兩變數對首日異常正報酬率皆達到統計上的顯著水準，並兩者間產生顯著的交互作用，實證IPO前15日報酬率標準差與放空限制能夠解釋IPO後首日產生異常正報酬率之原因。

This thesis examines the phenomenon of abnormal price volatility in Taiwan's IPO market on the first day of trading and at the end of the voluntary lock-up period. It explains the reasons for the market's abnormal returns by considering underwriting methods, uncertainty, and short-sales constraints. The study focuses on listed and OTC companies from 2007 to 2020, and a total of 593 companies is selected after screening.
The research results indicate that the Taiwan IPO market exhibits abnormal positive returns on the first day of trading and cumulative abnormal negative returns around the end of the voluntary lock-up period. Additionally, there is no significant difference in price discovery efficiency between the book-building and auction methods. As for the part of Miller's (1977) theory that uses uncertainty and short-sales constraints to explain the abnormal return of IPO, first, the uncertainty score calculated by the financial indicators of the year before the IPO is used as the uncertainty variable. After grouping with the variable of short-sales constraints, it cannot explain the reason for the abnormal return after the IPO; secondly, taking the standard deviation of the return rate 15 days before the IPO as the uncertainty variable and grouping with the short-sales constraints, It is found that the groups have a significant difference on the abnormal positive return of the first day. Moreover, both variables reach a statistically significant level on the abnormal positive return on the first day, and there is a significant interaction between the two variables. The empirical evidence shows that the standard deviation of the return rate 15 days before the IPO and the short-sales constraints can explain the reason why there is abnormal positive rate of return on the first day after the IPO.

目錄
論文審定書……………………………………….................……………i
誌謝…………….………………………………..........…………………..ii
中文摘要…….…………………………………...………………………iii
Abstract……………………………………….............………………….iv
目錄…………………………………………......................…………...…v
圖目錄………………………………………..................................…….vii
表目錄………………………………………………………............…...viii
第一章 緒論……………………………………………………...….……..1
第一節 研究背景與動機……………………..……......………................1
第二節 研究目的……………………………………………….........…….5
第三節 研究流程………………………………………………..…………6
第二章 文獻探討………………………………………………..........……7
第一節 臺灣集保制度與美國閉鎖期介紹……………………....………7
第二節 IPO 折價與閉鎖期………………………………………...……..10
第三節 IPO 承銷方式…………………………………………......……...12
第四節 不確定性及放空限制………….……………….........………….14
第三章 研究方法…………………………………....................…………17
第一節 樣本描述…………………………………............................…...17
第二節 研究變數定義…………………………............................……...18
第三節 研究設計與模型………………………........................………...28
第四章 研究發現……………………………………….................……...32
第一節 各變數之敘述性統計分析………………………………...........32
第二節 各事件日之異常報酬率實證分析………………………..........36
第三節 不同承銷方式之異常報酬率實證分析…………………..........37
第四節 不確定性及放空限制之異常報酬率實證分析……..........……43
第五節 IPO 前 15 日標準差及放空限制之異常報酬率實證分析….…50
第五章 結論與建議………………………………………......…………...60
第一節 研究結論……………………………………….......………...…...60
第二節 研究建議………………………………………......………...……61
參考文獻.…………………………………………….................…........…62
附錄……………………………………………………..............……….…67

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