此篇論文以賽局理論為架構，根據Rock(1986)首次提出對於股票初次公開市場發行(Initial Public Offerings) 擁有知情及不知情投資者的模型為假設，提出一承銷商與投資者間的互動模型並討論承銷商的訂價決策。模型仰賴承銷商與投資者間的資訊不對稱，因而造成IPOs發行抑價的可能。本文提出資訊結構參數的概念，並進一步得到不論承銷商對於發行公司或投資人的議價能力如何，在給定固定發行規模及發行失敗的沉沒成本下，只要在市場上不知情投資者人數上升或知情投資者的人數下降，該IPO抑價發行的機率將會越大。

This paper presents a game theory model between underwriters and investors in a IPOs (Initial public offerings) market and discusses pricing strategies by underwriters assuming there are two type of investors, informed and uninformed, in the market which first mentioned by Rock(1986). Depending on the asymmetric information problem between underwriters and investors, there is a possible under pricing equilibrium. We give an idea of how information structure parameters work. Furthermore, whether how the underwriter’s bargaining ability difference between investors and issuers is, we show that given the size of issue and the sink cost while the issue fails as the number of uninformed investors increase or decrease of informed investors, the possibility of IPOs under pricing will increase.

致謝 i
摘要 ii
Abstract iii
目錄 iv
圖次 v
第一章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的 3
第三節 研究流程與架構 4
第二章 文獻回顧與探討 5
第一節 不對稱訊息理論 5
2.1.1 發行公司與承銷商間之資訊不對稱 6
2.1.2 承銷商與投資人間之資訊不對稱 6
2.1.3 不同類型投資人間之資訊不對稱 8
第二節 對稱訊息理論 9
第三節 股票配置理論 9
第四節 賽局相關理論探討 10
第五節 章節小結 11
第三章 理論模型 12
第一節 模型架構及基本假設 12
第二節 償付策略說明 13
3.2.1 投資人償付報酬 13
3.2.2 投資人最適決策 15
3.2.3 承銷商償付報酬及最適決策 17
第三節 承銷商最適策略分析 19
第四節 章節小結 21
第四章 總結與建議 22
參考文獻 24

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