公共信息与IPO询价制效率的关系研究

发布时间：2018-01-03 05:23

本文关键词：公共信息与IPO询价制效率的关系研究　出处：《管理科学》2011年01期 　论文类型：期刊论文

【摘要】：基于公共信息来评价IPO询价制效率是IPO领域的理论研究前沿。把IPO询价过程分为初步询价阶段和累计投标询价阶段,以2005年1月1日至2008年12月31日在沪深A股市场依据累计投标结果确定发行价的80只IPO为样本,通过考察询价前、询价期间和询价后的公共信息对询价各阶段生成的价格指标的影响,实证分析公共信息与IPO询价制效率的关系。研究结果表明,中国询价制具有较强的信息揭示能力,价格区间和价格调整反映公共信息的能力强,IPO询价制具有一定的效率;中国初步询价阶段的信息揭示能力强,而累计投标询价阶段信息揭示能力弱;中国IPO询价制效率并不完全有效,价格区间确定时已知的公共信息对价格调整产生显著影响,发行价确定时已知的公共信息对初始收益产生显著影响。
[Abstract]:To evaluate the efficiency of IPO inquiry system is IPO in the field of theoretical research based on public information. The IPO inquiry process is divided into initial stage inquiry and accumulated bidding inquiry stage, from January 1, 2005 to December 31, 2008 at 80 IPO on the basis of the Shanghai and Shenzhen A shares market accumulated bidding results to determine the issue price for the sample, through the investigation before the inquiry, affect the price index of public the information inquiry and the inquiry during each stage of the inquiry. The empirical analysis on the relationship between public information and efficiency of IPO inquiry system. The results show that the China inquiry system has strong ability to reveal information, price range and price adjustment reflects the ability of public information inquiry system, IPO has a certain efficiency; China preliminary inquiry the stage to reveal information ability, and bookbuilding phase information reveal weak; system efficiency Chinese IPO inquiry is not completely effective, the price of that area The time known public information has a significant impact on price adjustment, and the public information that is known at the time of the issue has a significant impact on the initial income.

【作者单位】：北京大学经济学院;对外经济贸易大学金融学院;
【基金】：教育部人文社会科学研究青年基金(09YJCZH015) 中国博士后基金(20100480154) 国家统计局全国统计科学研究计划项目(2008LY065)~~
【分类号】：F832.51
【正文快照】： 1引言2005年中国正式实施询价制,其实施效果的好坏通常用IPO询价制效率来衡量。目前中国学者大都采用IPO抑价率来评价IPO询价制效率[1-4],但IPO抑价率依赖于二级市场,不能作为衡量IPO询价制效率的唯一指标。近年来,一些学者依据Fam a的有效市场假设,考察IPO发行价反映信息的

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