投资者情绪、承销商定价与IPO新股回报率

发布时间：2018-03-13 18:10

本文选题：询价制　切入点：新股分配权力　出处：《金融研究》2013年04期 　论文类型：期刊论文

【摘要】：在中国式IPO询价发行体制下,承销商没有新股分配权力,而定价市场化改革赋予了其定价权力。面对投资者的过度乐观情绪,承销商的理性选择是利用情绪抬高发行价格,通过收取与融资金额成正比例的承销费用实现其利益最大化。本文利用强制披露的询价机构网下全部报价数据,实证检验了中国式询价制的运作机理,结果发现:在机构报价形成的股票需求曲线上,承销商实际选择在相对高位定价,发行价格显著高于各类报价均值,而承销商声誉能够在一定程度上抑制这种定价拔高行为;定价拔高越大,IPO上市首日收益率越低;IPO上市后的交易价格呈现出显著的下降趋势,定价拔高越大,机构配售新股解禁后的累计异常收益率越低。
[Abstract]:Under the Chinese IPO inquiry issuing system, underwriters do not have the power to distribute new shares, while market-oriented pricing reform gives them pricing power. In the face of excessive optimism among investors, the rational choice of underwriters is to use emotion to raise the issue price. The benefit is maximized by charging an underwriting fee in proportion to the amount of financing. This paper empirically tests the operating mechanism of the Chinese inquiry system by using all the quoted price data from the forced inquiry institutions. The results show that in the stock demand curve formed by institutional quotation, the underwriter actually chooses to price at a relatively high price, and the issuing price is significantly higher than the average price, and the underwriter's reputation can restrain this kind of pricing to a certain extent. The higher the price, the lower the yield on the first day of IPO. The higher the price, the lower the cumulative abnormal yield.
【作者单位】：对外经济贸易大学国际经贸学院;深圳证券交易所综合研究所;
【基金】：国家自然科学基金项目(71102075,71101031,71101028) 教育部人文社科研究项目(11YJA790059) 国家社会科学基金重点项目(11AZD010) 对外经济贸易大学优秀青年学者培育计划(2012YQ02) 对外经济贸易大学学术创新团队项目对外经济贸易大学“211工程”三期建设项目的资助
【分类号】：F832.51;F224

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