中国IPO超额抑价的成因分解与再检验——来自沪深A股核准—询价发行的经验证据

发布时间：2018-02-26 23:11

  本文关键词： 有意抑价 管制溢价 二级市场溢价 双边随机边界模型　出处：《山西财经大学学报》2012年04期 　论文类型：期刊论文

【摘要】：以IPO核准—询价制度为切入点,构建了IPO供需分析框架,并引入双边随机边界模型对IPO询价效率进行了定量估算,在此基础上对影响中国IPO超额抑价的各种因素进行了结构分解与再检验。结果表明,发行人、承销商和机构投资者等多方博弈的结果使得我国IPO整体上表现为发行抑价,但实际抑价水平仅为12.9%,这一结果支持了定价效率观,而并不符合租金分配观。同时,政府管制溢价和二级市场溢价分别使得IPO新股高出其发行价格的55.6%和2.6%。实证结果不仅支持了供给管制假说,还表明股票定价的市场化必须以供给市场化为前提,只有在此基础上,供需双方才能通过直接交易和博弈机制形成真正的市场化定价。
[Abstract]:Based on the system of IPO approval and inquiry, the IPO supply and demand analysis framework is constructed, and the bilateral stochastic boundary model is introduced to quantitatively estimate the efficiency of IPO inquiry. On this basis, the structural decomposition and re-examination of various factors affecting the excess underpricing of IPO in China are carried out. The results show that the issuers, underwriters and institutional investors have the result of multi-game games, which make our IPO underpricing as a whole. However, the actual underpricing level is only 12.9%, which supports the pricing efficiency view and does not conform to the rent distribution view. The government regulation premium and the secondary market premium make IPO new shares higher than their issuing prices by 55.6% and 2.6 respectively. The empirical results not only support the hypothesis of supply regulation, but also show that the marketization of stock pricing must be based on supply marketization. Only on this basis can the supply and demand sides form the real market-oriented pricing through direct transaction and game mechanism.
【作者单位】： 重庆大学经济与工商管理学院;
【基金】：教育部人文社会科学研究西部和边疆地区规划基金项目(10XJA630003) 中央高校基本科研业务费项目(CDJSK 100204)
【分类号】：F224;F832.51
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本文编号：1540082