本研究主要探討2002年台灣興櫃市場建立後的價格行為，我們檢視興櫃股票在初次申請上市（櫃）之送件日、審議委員會通過日與董事會通過日附近的股價變化，發現當上市（櫃）的不確定性減少或消失時，平均而言股票價格都會上升，這與古典不確定性下的評價理論一致。我們也發現公司的風險與不確定性呈現正相關，並且會減低股票價值，意味風險趨避者會要求風險貼水。另外，新股上市（櫃）前的收盤價格一般都高於上市（櫃）當天的收盤價格，表示投資人對上市（櫃）前的股票價格傾向過分樂觀。 This study investigates the price behavior of the pre-IPO market of Taiwan established in 2002. We examines changes in price around the IPO filing and permission days, in which uncertainty decreases and vanishes around these two days, respectively. We show that, on average, prices increase following these two days, which is consistent with the classic theory of pricing under uncertainty. We also find that company risk is positive associated with uncertainty and mitigates stock value, implying that risk aversion generates price premium. In addition, we find that pre-IPO prices are generally higher than post-IPO prices, indicating that investors tend to be overoptimistic about prices prior to the IPOs.