机构投资者报价行为、承销商定价策略与IPO市场表现研究

发布时间：2018-08-13 18:30

【摘要】：本文研究在我国询价制下,承销商如何依据机构投资者报价行为提供的信息对新股进行定价,及其对IPO抑价率和长期市场表现的影响。通过对我国296次IPO发行中约3万次机构投资者报价数据的研究,本文发现在超额承销费激励和声誉风险制约的情况下,机构投资者报价行为反映的有信息程度越低,承销商最优选择下的新股定价超过公司合理价值预期的程度越高,同时新股上市后表现越差,投资者遭受"赢者诅咒"的可能性越大。基于此,本文提出在我国新股发行制度市场化改革中,应采取延长新股路演和询价时间、提高网下配售比例等措施,以降低IPO过程中投资者的信息不对称程度,强化对有信息投资者的激励,提高新股定价效率。
[Abstract]:This paper studies how underwriters price new shares according to the information provided by institutional investors under the inquiry system in China and their influence on IPO underpricing rate and long-term market performance. Based on the study of the data of about 30 000 institutional investors quoted by IPO in China, this paper finds that the lower the level of information reflected by the behavior of institutional investors is, the lower the incentive of excess underwriting fee and the restriction of reputation risk are. The higher the underwriter's optimal pricing of new shares exceeds the company's reasonable value expectations, and the worse the performance of new shares after listing, the more likely investors are to suffer a "winner's curse". In order to reduce the information asymmetry of investors in the process of IPO, this paper puts forward that in the market-oriented reform of new stock issuance system, we should take measures such as prolonging the time of new stock roadshow and inquiry, increasing the proportion of off-net placing, and so on, in order to reduce the degree of information asymmetry in the process of IPO. Strengthen the incentive to investors with information, improve the pricing efficiency of new shares.
【作者单位】：中央财经大学金融学院;对外经济贸易大学国际经济贸易学院;对外经济贸易大学金融学院和应用金融研究中心;
【基金】：国家自然科学基金资助项目(71203246、71003021) “中央财经大学青年科研创新团队支持计划” “对外经贸大学教师学术创新团队资助项目” “对外经济贸易大学优秀青年学者培育计划”(项目号:12YQ05)资助
【分类号】：F832.51

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