IPO折價發行在全世界的股票市場都是相當常見的現象，也因為如此，如何提升訂價的效率就成為被廣泛討論的議題。上市前交易平台的設立便是為了要增加即將IPO公司的資訊，藉以達到價格發現的效果。
臺灣擁有全世界唯一具有交易強制性的上市前交易平台-興櫃市場，這也提供了很好的機會可以對於興櫃市場的交易特性、資訊性以及其與IPO折價發行相關理論的關聯性加以了解。本研究蒐集了從2005年到2014年有先在興櫃交易，然後使用詢價圈購承銷進行IPO的436支IPO股票樣本，藉由重要時點的統計量觀察與迴歸分析，得到以下結論：

(1) 即便有先經過興櫃市場交易的資訊揭露，臺灣IPO股票仍然擁有極高的初始報酬。

(2) 興櫃市場交易的資訊性和市場流動性呈現正比關係；另外，隨著越接近訂價日，其所提供的資訊性也會提高，但效果並不佳。

(3) 興櫃市場交易價格和IPO承銷價格的關聯性並無法用資訊不對稱理論來解釋，同樣的，承銷費用和IPO折價之間的關係也沒有如承銷商競租行為般具有關聯性。

The IPO underpricing phenomenon is common all over the world, hence the most important issue is to improve the efficiency of IPO pricing. The establishment of pre-IPO market platform is to increase the information disclosure for the preparing firms, and also be expected to achieve the purpose of price discovery.
Taiwan has the only mandatory pre-IPO trading market in the world – Emerging Stock Market(ESM). So it provides an opportunity to understand the trading, the informativeness, and the association with IPO underpricing theory on the ESM market. Our research sample consists 436 firms that went IPO through bookbuilding underwriting between 2005 and 2014. By the observation on the statistics summary at critical time point and regression analysis, the finding of this thesis are as below：

(1) Even through the procedure of trading on ESM market, the IPOs in Taiwan still have high initial return.

(2) The informativeness of ESM price is positively related to liquidity of the market. In addition, as the date getting closer to the pricing day, the informativeness of ESM price also increase, but the effect is not good.

(3) The relationship between ESM price and IPO offer price cannot be explained well by theories based on asymmetric information. Also, the relationship between FPO fee and IPO underpricing cannot fit the explanation of rent-seeking behavior.

目錄
學位論文審定書 i
謝辭 ii
摘要 iii
Abstract iv
目錄 v
表目錄 viii
圖目錄 viiii
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究流程 4
第二章 文獻探討 5
第一節 臺灣IPO相關規定與流程 5
第二節 臺灣股票市場簡介 7
第三節 上市前交易(Pre-Market Trading) – 興櫃市場(ESM) 8
第四節 IPO承銷方式 10
第五節 IPO折價發行 15
第三章 研究方法 24
第一節 研究樣本 24
第二節 變數探討 26
第三節 研究方法 31
第四章 實證分析 36
第一節 IPO初始報酬 36
第二節 興櫃市場交易特性 37
第三節 興櫃市場交易價格之資訊性 38
第四節 IPO折價發行之理論驗證 40
第五章 結論與建議 57
第一節 研究結論 57
第二節 研究限制與建議 58
參考文獻 60

參考文獻
中文文獻
姜堯民，戴維芯，2007，《興櫃交易對初次上櫃績效的影響》，《證券櫃檯雙月刊》，129，17-32
徐政義，2007，《初次上市櫃 詢價圈購承銷》，《經濟日報》，2007/12/09
英文文獻
Amihud, Y., 2002. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets ,5, 31-56.
Bekaert, G., Harvey, C., Lundblad, C., 2007. Liquidity and expected returns: lessons from emerging markets. Review of Financial Studies ,20, 1783–1831.
Benveniste, Lawrence M. and P.A. Spindt, 1989. How investment banks determine the offer price and allocation of new issues, Journal of Financial Economics, 24, 343-362.
Chang, Chun and Yao-Min Chiang, Yiming Qian, and Jay R. Ritter, 2014. Pre-Market trading and IPO pricing: Evidence from Taiwan, National Taiwan University working paper.
Chang, Hsiu-Hua, Anlin Chen, Lanfeng Kao, and Chin-Shun Wu, 2014. IPO price discovery efficiency under alternative regulatory constraints: Taiwan, Hong Kong and the U.S., International Review of Economics and Finance, 29, 83-96.
Chen, Hsuan-Chi, Robery C.W. Fok and Yu-Jen Wang, 2006. Why do underwriters charge low underwriting fees for initial public offerings in Taiwan?, Journal of Business, Finance & Accounting, 33(7)&(8), 979-1005.
Chiang, Yao-Min, Yiming Qian, and Ann E. Sherman, 2010. Endogenous entry and partial adjustment in IPO auctions: Are institutional investors better informed? Review of Financial Studies, 23(3), 1200-1230.
Derrien F., Kecskés, A., 2007. The initial public offerings of listed firms. Journal of Finance , 62, 447-479.
Goldstein, Michael A., Paul Irvine, and Andy Puckett, 2011. Purchasing IPOs with commissions, Journal of Financial and Quantitative Analysis, 46(5), 1193-1225.
Kim, M., Ritter, J. R., 1999. Valuing IPOs., Journal of Financial Economics 53, 409-437.
Lin, Chuang Yuang, Hung Ta Lee, and Chun Lin Lee, 2008. One more step, some more performance? An empirical study on initial public offerings in the Taiwan emerging stock market, Emerging Markets Finance & Trade, 44(4), 6-18.
Lin, Dennis K.J., Lanfeng Kao, and Anlin Chen, 2010. Winner’s curse in initial public offering subscriptions with investors’ withdrawal options, Asia-Pacific Journal of Financial Studies, 39, 3-27.
Liu, X., and Jay R. Ritter, 2011. Local underwriter oligopolies and IPO underpricing, Journal of Financial Economics, 102, 579-601.
Loughran, T., Ritter, J. R. and Rydqvist, K., 1994. Initial Public Offerings： International Insights, Pacific-Basin Finance Journal, 2, 165-199, updated Feb 16.2015
Loughran, Tim, and Jay R. Ritter, 2002. Why don’t issuers get upset about leaving money on the table in IPOs, Review of Financial Studies, 15(2), 413-444.
Nimalendran, M., Jay R. Ritter, and Donghang Zhang, 2007. Do today’s trades affect tomorrow’s IPO allocation?, Journal of Financial Economics, 84, 87-109.
Purnanandam, A., Swaminathan, B. 2004. Are IPOs really underpriced? Review of Financial Studies, 17, 811-848.
Rabinovitch, R., Silva, C. A., Susmel, R., 2003. Returns on ADRs and arbitrage in emerging markets. Emerging Markets Review 4, 225-247.
Reuter, Jonathan, 2006. Are IPO allocations for sale? Evidence from mutual funds, Journal of Finance, 61, 2289-2324.
Ritter, Jay. R., and Ivo Welch., 2002. A review of IPO activity, pricing, and allocations, Journal of Finance, 57(4), 1795-1828.
Ritter, Jay. R., 2011. Equilibrium in the initial public offerings market, Annual Review of Financial Economics, 3(1), 347-374.
Rock, K., 1986. Why new issues are underpriced, Journal of Financial Economics, 15, 187-212.
Shu, Pei-Gi, Yin-Hua Yeh, and Yu-Hui Su, 2009. Decisions of initial public offerings review committees: Causes and consequences, Emerging Markets Finance & Trade, 45(3), 67-82.
網路文獻
臺灣證券交易所(2015年1月)，臺灣資本市場概況-歡迎外資來台投資，查詢日期：2015年10月24日，檢自http://www.twse.com.tw/ch/investor/foreign_invest/TCMI_CH_1501.pdf