1.彙整現行國外將網際網路應用到初級市場及次級市場的情況；深入介紹透過網際網路直接公開發行(direct public offering, DPO)的實際情況，包含其發行過程、銷售及配售過程等等，並分析利用此方式集資的公司之特性，探討何類公司適合利DPO以及何種投資人願意投資DPO股票。
2.由理論上探討在初級市場中，公司利用網路以IPO或DPO方式進行資金募集可能產生的問題與影響。並利用此一不同的發行方法做DPO定價之實証研究，期能看出資訊散佈方式及發行公司特質皆與傳統IPO不同的網路DPO，兩者之間的折價幅度會有何不同。
3.擬從價格發現過程與資訊不對稱角度，實証檢定網路下單對台灣證券次級市場的流動性、效率性與波動性的影響。
本研究經實証後的主要發現在於，將首日報酬區分為真實折價幅度與市場反應兩部份的確有其必要性，因為雖然網路DPO的首日報酬與真實折價幅度都比IPO小，但是網路DPO所造成的市場反應為正(過度反應)，IPO 所造成的市場反應為負(反應不足) ，若單單比較兩者的首日報酬則無法看出此一效果。DPO的真實折價幅度比IPO小，其原因在於DPO投資人多半是與公司有往來的客戶，投資人與公司之間資訊不對稱的程度較小，因此公司在訂價時不必大幅折價發行以補償投資人所遭受的逆選擇問題，且這些投資人了解公司，因而願意長期持有公司股票，故DPO公司所訂的發行價格能貼近真實價值，真實折價幅度比IPO小。且亦由於DPO投資人握有私人資訊，且對於其私人資訊過度自信，因此在DPO股票上市時會有過度反應的情況發生，而這樣的過度反應情況，會在長期修正回來。至於網路下單對次級市場績效的影響，則由於截至今年4月為止，網路下單的月成交金額占大盤成交金額的8.12%，仍然不足以顯著影響大盤的績效表現，因此只有對波動性影響顯著為正，對流動性及效率性的影響都不顯著。所以，就目前的樣本，我們得到的發現是，網路下單的確吸引了當沖或短線進出的投資者或雜訊交易者進入市場，因而會增加市場波動性。

The application of the internet technology on securities markets has been increasing over recent years, so is the influence it has caused on the way the stock market is operated. There is no doubt that internet technology is changing the access between investors and issuing firms, as well as the access between investors and exchanges. How would this affect the stock market microstructure? Little study has been done thus far in this regard, and, as far as we know, none has looked into the issue of IPOs on internet and its related impact on IPO returns. In addition to the impact on the primary market, internet tradings also have immense impact on the underlying performance of the secondary market. The purposes of this study are mainly twofold:(1) To explore the related issues in IPOs or DPOs on internet, e.g., the disclosure requirements, the restriction of investors, and the effect it has on IPO discounts,(2) To empirically test how the internet trading affects the daily and intraday performance (i.e., liquidity, volatility and efficiency) of the market.This is the first study attempting to examine the pricing issue of IPOs on the internet. We hope to compare the returns of initial public offerings on the internet with those of the traditional IPOs and analyze the differences, if any. In addition to provide useful analyses to the security authority on DPOs or IPOs on internet, the result of this study should contribute to our understanding of the market microstructure.

目錄
第1章 緒論……………………………………………………………………1
第2章 網際網路在證券市場的應用之做法及現況描述……………4
2.1網際網路在初級市場的應用—DPO……………………………………4
2.1.1 DPO的成長背景及定義……………………………………4
2.1.2 DPO的發展現況…………………………………………………5
2.1.3 DPO的過程……………………………………………………6
2.1.4 主管機關及相關法規…………………………………………………7
2.1.5 DPO透過網路直接行銷及發送公開說明書………………………11
2.1.6 DPO的配售方法…………………………………………………………14
2.1.7 DPO股票的次級市場………………………………………………15
2.1.8 DPO的專業諮詢機構……………………………………………………23
2.1.9 DPO發行公司與投資人…………………………………………………24
2.1.10 DPO與IPO的不同點分析……………………………………………25
2.1.11私募、創投與DPO之比較………………………………………………29
2.1.12 DPO的未來展望…………………………………………………………31
第3章 文獻探討………………………………………………………………………33
3.1初級市場—造成IPO折價因素的探討…………………………………………33
3.1.1 承銷配售機制……………………………………………………………33
3.1.2公司特質對IPO折價的影響……………………………………………37
3.1.3資訊不對稱的因素………………………………………………………39
3.1.4市場因素…………………………………………………………………42
3.1.4 小結………………………………………………………………………44
3.2 次級市場方面……………………………………………………………………45
3.2.1 網路下單對証券次級市場的影響………………………………………45
3.2.2 市場流動性……………………………………………………………46
3.2.3 市場波動性……………………………………………………………48
3.2.4 市場效率性………………………………………………………………49
3.2.5 小結……………………………………………………………………50
第4章 研究假說……………………………………………………………………51
4.1 初級市場方面…………………………………………………………………51
4.1.1 網路DPO與傳統IPO的折價幅度之比較………………………………51
4.1.2 DPO與IPO所造成的市場反應大小…………………………52
4.1.3 DPO與IPO的長期累積超額報酬………………………………52
4.2次級市場方面………………………………………………………………52
4.2.1 網路下單對市場流動性的影響……………………………………52
4.2.2 網路下單對市場效率性的影響……………………………………53
4.2.3 網路下單對市場波動性的影響…………………………………………53
第5章 實証研究方法………………………………………………………………54
5.1初級市場資料描述……………………………………………………………54
5.1.1資料來源 …………………………………………………………………54
5.1.2資料篩選………………………………………………………………54
5.2初級市場研究方法…………………………………………………………57
5.2.1 DPO與IPO折價幅度之比較……………………………………………57
5.2.2分析造成IPO與DPO的真實折價幅度不同之因素－迴歸模型之設定………………………………………………………………………59
5.2.3分析造成IPO與DPO的市場反應程度(Market reaction)不同之因素－迴歸模型之設定…………………………………………………………………61
5.2.4 影響累積超額報酬不同之因素—迴歸模型之設定………………………63
5.3 次級市場資料描述………………………………………………………………65
5.3.1資料來源…………………………………………………………………65
5.3.2 資料篩選…………………………………………………………………65
5.3.3市場績效衡量指標的選取………………………………………………65
5.4 次級市場研究方法—三階段最小平方法(three-stage least square)…………66
5.4.1模型架構…………………………………………………………………67
第6章 實証結果與分析…………………………………………………………70
6.1 初級市場……………………………………………………………………70
6.1.1 敘述統計結果比較………………………………………………………70
6.1.2 折價幅度比較……………………………………………………………72
6.1.3造成真實折價幅度不同的原因…………………………………………74
6.1.4造成市場反應幅度不同之因素…………………………………………78
6.1.5 過度反應或反應不足之進一步檢視—公開發行上市之後的長期股價績效表現…………………………………………………………………………79
6.1.6 小結………………………………………………………………………82
6.2次級市場………………………………………………………………………83
6.2.1三階段最小平方法(three-stage least square) …………………………83
第7章 結論……………………………………………………………………………86
參考文獻……………………………………………………………………………88
附錄 所選取樣本中DPO公司名稱及其網址……………………………………94

圖表目錄
圖2.1 1990-2000年每年第一季實際執行直接公開發行的公司家數…………………6
圖2.2 1990-2000年每年第一季申請直接公開發行的公司家數………………………6
圖2.3 Pioneer Railroad Company之DPO廣告………………………………………13
圖2.4 Nasdaq National Market與 Nasdaq Small Cap Market交易量比較……19
圖2.5 Nasdaq National Market與 Nasdaq Small Cap Market上市家數比較圖…20
圖2.6 ECN在Nasdaq中所扮演的角色…………………………………………………44
圖5.1 DPO公司股票目前在Trading Market交易情況統計圖……………………55
圖5.2 樣本中DPO公司產業分佈圖…………………………………………………56
圖5.3 樣本中DPO公司發行年份分佈圖……………………………………………57
圖5.4 整個樣本的AR及STDV(AR)之比較圖…………………………………………58
圖6.1 DPO與IPO平均真實折價幅度、市場反應及期初報酬比較圖………………72
圖6.2 資訊不對稱程度對真實折價幅度的影響………………………………………76
圖6.3資訊不對稱程度與真實折價幅度之間的關係圖…………………………………77
圖6.4 所有DPO公司上市後一年內的累積超額報酬…………………………………79
圖6.5所有IPO公司上市後一年內的累積超額報酬……………………………80
圖6.6 只取財務狀況良好的DPO公司所繪出的CAR………………………………81
圖6.7網路下單成交金額占大盤成交金額比率隨時間經過之變化圖…………85

表2.1 SCOR與Regulation A之比較…………………………………………..………10
表2.2太平洋交易所的SCOR Market上市標準…………………………………..……16
表2.3芝加哥股票交易所上市標準…………………………….……………..…….……16
表2.4 費城交易所上市標準…………………………………………………...…..….…17
表2.5 Nasdaq National Market與 Nasdaq Small Cap Market交易狀況比較表..…..18
表2.6 Nasdaq Small Cap Market上市要求………………..…………………….…..…18
表2.7 Nasdaq National Market System上市要求……………………………….…..…19
表2.8 DPO與IPO相比較之結果整理…………………………………..………………29
表2.9 DPO與私募的比較……………………………………………………………..…30
表5.1 DPO公司股票目前在Trading Market交易情況………………………..……..55
表5.2 整個樣本的AR與STDV(AR)之比較表…………………………………..……58
表5.3 以真實折價幅度為因變數的迴歸模型自變數之設定……………………..……61
表5.4以市場反應幅度為因變數的迴歸模型自變數之設定……………………………63
表5.5以CAR幅度為因變數的迴歸模型自變數之設定…………………………..……64
表6.1 敘述統計表…………………………………………………………………..……71
表6.2 DPO與IPO平均真實折價幅度、市場反應及期初報酬比較表……………….72
表6.3 以True Discount為因變數的迴歸分析結果……………………………………75
表6.4 資訊不對稱程度與真實折價幅度之間的關係表…………………………..……77
表6.5 以Market Reaction為因變數的迴歸分析結果…………………………..……..78
表6.6 以CAR為因變數得到的迴歸分析結果………………………………..………...81
表6.7 三階段最小平方法結果…………………………………………………..………83

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