中国IPO股价的信息含量及其上市首日收益研究

发布时间：2018-05-28 18:14

本文选题：首次公开发行 + 询价制　；参考：《管理科学》2010年03期

【摘要】：新股上市首日收益为正的现象在世界范围内广泛存在,但是中国畸高的新股上市首日收益反映了新股定价效率的缺失,这也是中国监管层力促新股市场化定价改革的主要动因之一。与大多数主要从上市首日收益率的高低来讨论新股定价效率的研究不同,通过构建度量新股股价信息含量的指标,对新股股价的个股特质信息含量进行量化,对中国实施新股询价定价前后新股股价信息含量与新股定价效率的关系进行单变量检验和多元回归的实证分析。研究结果表明,目前中国的新股询价定价并未实现降低新股上市首日收益的政策目标,但是机构投资者参与的询价定价提高了个股特质信息在新股股价中的资本化程度,新股询价定价机制的实施提高了中国新股发行市场基于个股特质信息对新股进行价值发现的定价效率。研究结果不仅对监管层完善询价制度和投资者参与新股投资具有一定的指导意义,也为讨论新股首次公开发行的定价效率问题提供新的视角。
[Abstract]:The phenomenon of positive first-day earnings of new shares is widespread in the world, but the unusually high first-day returns of new shares in China reflect the lack of pricing efficiency of new shares. This is also China's regulatory layer to promote the reform of market pricing of new shares one of the main drivers. Different from most studies on the pricing efficiency of new shares from the perspective of the yield on the first day of the stock market, this paper quantifies the information content of individual shares by constructing an index to measure the information content of the new stock price. The relationship between the information content of new shares and the pricing efficiency of new shares before and after IPO inquiry pricing in China is analyzed by univariate test and multivariate regression. The results show that the current IPO inquiry pricing in China has not achieved the policy goal of reducing the first-day return of new shares, but the participation of institutional investors in the inquiry pricing has increased the degree of capitalization of the specific information of individual shares in the stock price of new shares. The implementation of the new share inquiry pricing mechanism improves the pricing efficiency of the value discovery of new shares based on the characteristics of individual shares in China's new issue market. The results not only have certain guiding significance for regulators to perfect the inquiry system and investors' participation in new stock investment, but also provide a new perspective for discussing the pricing efficiency of IPOs.
【作者单位】：华中科技大学管理学院;
【基金】：国家自然科学基金(70572031)~~
【分类号】：F832.51

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