Ljungqvist and Wilhelm (2002)己證實了在初次公開發行市場，限制承銷商的配售裁量權會減少詢價圈購階段資訊的產生，以致於妨礙最終發行價格相對於訂價範圍的修正幅度。比較美國的詢價圈購制度，台灣與香港在初次公開發行市場採用詢價圈購與公開申購同時進行的雙軌制，有更多關於訂價及配售的法規限制，但是台灣與香港的價格修正幅度卻明顯高於美國，看似於Ljungqvist and Wilhelm (2002)的結果互為矛盾。本論文認為台灣與香港價格修正幅度顯著較高這個現象，並非資訊產生增加了，而是初級市場價格發現的無效率，迫使價格發現機制於次級市場進行，此時若以迴歸模式比較三個市場之間的價格修正與折價(underpricing)關係，不是單純的「部份調整效果」，而是混合了初級市場相對於次級市場價格發現效率的效果。為了解決台灣、香港、美國之間，價格修正與折價關係的內生性差異，本論文採用變異數比率(variance ratios)可證明在初次公開發行市場限制愈多，對價格發現效率愈不利，並無與Ljungqvist and Wilhelm (2002)的實證互為矛盾，台灣與香港的情況亦然。

It has been proven by Ljungqvist and Wilhelm (2002) that constraints on underwriters’ allocation discretion reduce price revisions. The dual-tranche of IPO bookbuilding in Taiwan and Hong Kong impose more regulatory constraints limiting underwriters than U.S. bookbuilding does, but price revisions of Taiwan and Hong Kong IPOs are significantly higher than those in the U.S. This is due not to increased information production but to the price discovery inefficiency in primary markets. Price discovery inefficiency in primary markets compels price discovery in secondary markets, then the underpricing is not a pure “partial adjustment” effect. Due to the endogenous heterogeneity of price revisions related to underpricing among Taiwan, Hong Kong and the U.S., this dissertation uses the variance ratios to prove the empirical evidence in Taiwan and Hong Kong is not contradictory to that of Ljungqvist and Wilhelm (2002).

致謝辭 I
摘要 II
Abstract III
Contents IV
Figures VI
Tables VII
Chapter 1. Introduction 1
1.1 Background and Motivation 1
1.2 Purposes of This Research 3
1.3 Structure of This Research 6
Chapter 2. Literature Review 9
2.1 Asymmetric Information Models 10
2.1.1. The Winner’s Curse Models 10
2.1.2. Information Revelation Models 13
2.1.3. Principal-Agent Models 16
2.1.4. Signaling Models 18
2.2 Underwriters’ Allocation Discretion 20
2.3 The Constraints of Filing-range 21
Chapter 3. IPOs Regulations 24
3.1 IPOs Regulations in Taiwan 24
3.2 IPOs Regulations in Hong Kong 29
3.3 IPOs Regulations in the U.S. 32
Chapter 4. Sample and Data 40
4.1 Sample and Data 40
4.2 Sample Descriptive Statistics 41
Chapter 5. Empirical Methodology 45
5.1 Regression Models of Price Revisions and Underpricing 45
5.2 Variance Ratio Models Comparing Price Discovery Efficiency 50
Chapter 6. Results and Discussion 55
6.1 Regression Models of Price Revisions and Underpricing 55
6.1.1 Regulatory Constraints and Price Revisions 55
6.1.2 Partial Adjustment 58
6.2 Variance Ratio Models Comparing Price Discovery Efficiency 59
6.2.1 Variance Ratios by Country of Listing 59
6.2.2 Variance Ratios by Filing Price Range 61
6.2.3 Variance Ratios by Underwriters Reputation 64
7 Robustness 68
8 Conclusions 73
References 75

Aggarwal, R., Prabhala, N.R., & Puri, M., 2002. Institutional Allocations in Initial Public Offerings: Empirical Evidence. Journal of Finance, 57, 1421-1442.
Amihud, Y., Hauser, S., & Kirsh, A., 2003. Allocations, Adverse Selection, and Cascades in IPOs: Evidence from the Tel Aviv Stock Exchange. Journal of Financial Economics, 68, 137-158.
Baron, D.P., 1982. A Model of the Demand for Investing Banking Advising and Distribution Services for New Issues. Journal of Finance, 37, 955-976.
Beatty, R.P., & Ritter, J.R., 1986. Investment Banking, Reputation, and the Underpricing of Initial Public Offerings. Journal of Financial Economics, 15, 213-232.
Benveniste, L.M., Busaba, W.Y., & Wilhelm, W.J., 2002. Information Externalities and the Role of Underwriters in Primary Equity Markets. Journal of Financial Intermediation, 11, 61-86.
Benveniste, L., Ljungqvist, A., Wilhelm, W., & Yu, X., 2003. Evidence of Information Spillovers in the Production of Investment Banking Services. Journal of Finance, 58, 577-608.
Benveniste, L.M., & Spindt, P.A., 1989. How Investment Bankers Determine the Offer Price and Allocation of New Issues? Journal of Financial Economics, 24, 343-361.
Benveniste, L.M., & Wilhelm, W.J., 1990. A Comparative Analysis of IPO Proceeds under Alternative Regulatory environments. Journal of Financial Economics, 28, 173-207.
Carter, R.B., & Manaster, S., 1990. Initial Public Offerings and Underwriter Reputation. Journal of Finance, 45, 1045-1067.
Cornelli, F., & Goldreich, D., 2001. Bookbuilding and Strategic Allocation. Journal of Finance, 56, 2337-2369.
Habib, M., & Ljungqvist, A., 2001. Underpricing and Entrepreneurial Wealth Losses in IPOs: Theory and Evidence. Review of Financial Studies, 14, 433-458.
Hanley, K., 1993. The Underpricing of Initial Public Offerings and the Partial Adjustment Phenomenon. Journal of Financial Economics, 34, 231-250.
Ibbotson, R.G., 1975. Price Performance of Common Stock New Issues. Journal of Financial Economics, 2, 235-272.
Jegadeesh, N., Weinstein, M., & Welch I., 1993. An Empirical Investigation of IPO Returns and Subsequent Equity Offerings. Journal of Financial Economics, 34, 153-175.
Jenkinson, T., Morrison, A.D., & Wilhelm, W.J., 2006. Why are European IPOs so Rarely Priced Outside the Indicative Price Range? Journal of Financial Economics, 80, 185-209.
Koh, F., & Walter, T., 1989. A Direct Test of Rock’s Model of the Pricing of the Unseasoned Issues. Journal of Financial Economics, 23, 251-272.
Kutner, M.H., Nachtsheim, C.J., Neter, J., & Li, W., 2005. Applied Linear Statistical Models. McGraw Hill.
Kutsuna, K., Smith, J.K., & Smith, R.L., 2009. Public Information, IPO Price Formation, and Long-Run Returns: Japanese Evidence. Journal of Finance, 64, 505-546.
Ljungqvist, A., Jenkinson, T., & Wilhelm, W.J., 2003. Global Integration in Primary Equity Markets: The Role of U.S. Underwriters and U.S. Investors. Review of Financial Studies, 16, 63-99.
Ljungqvist, A., & Wilhelm, W.J., 2002. IPO Allocations: Discriminatory or Discretionary? Journal of Financial Economics, 65, 167-201.
Ljungqvist, A., & Wilhelm, W.J., 2003. IPO Pricing in the Dot-Com Bubble. Journal of Finance, 58, 723-752.
Loughran, T., & Ritter, J.R., 2004. Why Has IPO Underpricing Changed Over Time? Financial Management, 33, 5-37.
Loughran, T., Ritter, J.R., & Rydqvist, K., 1994. Initial Public Offerings: International Insights. Pacific-Basin Finance Journal, 2, 165-199.
Muscarella, C.J., & Vetsuypens, M.R., 1989. A Simple Test of Baron’s Model of IPO Underpricing. Journal of Financial Economics, 24, 125-135.
Reuter, J., 2006. Are IPO Allocations for Sale? Evidence from the Mutual Funds. Journal of Finance, 61, 2289-2324.
Ritter, J.R., 1984. The Hot Issue Market of 1980. Journal of Business, 57, 215-240.
Rock, K., 1986. Why New Issues Are Underpriced? Journal of Financial Economics, 15, 187-212.
Spiess, D. K., & Pettway, R.H., 1997. The IPO and First Seasoned Equity Sale: Issue Proceeds, Owner/Managers’ Wealth, and the Underpricing Signal. Journal of Banking and Finance, 21, 967-988.
Wang, W., & Yung, C., 2011. IPO Information Aggregation and Underwriter Quality. Review of Finance, 15, 301-325.
Welch, I., 1989. Seasoned Offerings, Imitation Costs, and the Underpricing of Initial Public Offerings. Journal of Finance, 44, 421-449.
Welch, I., 1996. Equity Offerings Following the IPO: Theory and Evidence. Journal of Corporate Finance, 2, 227-259.