IPO溢价与中签率——理论和证据
发布时间：2019-01-23 13:50
【摘要】：本文通过探讨首次公开发行(IPO)的溢价问题,我们从博弈论的角度,借助第一级密封价格拍卖模型对IPO首日溢价的微观机理进行考察,发现竞买者越多,也即中签率越低,那么IPO的溢价越低。我们进一步使用我国上市公司的IPO数据对理论的推导结果进行检验。我们控制了其他可能的影响因素、替换控制变量、检验子样本以及考虑到可能存在的内生性问题,验证了这一理论的结果。我们的研究对于我国证券市场效率的改善有一定的启示。
[Abstract]:In this paper, we discuss the premium of (IPO) in the initial public offering. From the perspective of game theory, we investigate the micro-mechanism of the first-day premium of IPO with the help of the first-stage sealed price auction model. It is found that the more bidders, the lower the winning rate. Then the IPO premium is lower. We further use the IPO data of listed companies in China to test the theoretical derivation. We control other possible factors, replace control variables, test subsamples and consider possible endogenetic problems to verify the results of this theory. Our research has some enlightenment to the improvement of the efficiency of China's securities market.
【作者单位】： 北京大学光华管理学院;
【分类号】：F224;F832.51
本文编号：2413839
[Abstract]:In this paper, we discuss the premium of (IPO) in the initial public offering. From the perspective of game theory, we investigate the micro-mechanism of the first-day premium of IPO with the help of the first-stage sealed price auction model. It is found that the more bidders, the lower the winning rate. Then the IPO premium is lower. We further use the IPO data of listed companies in China to test the theoretical derivation. We control other possible factors, replace control variables, test subsamples and consider possible endogenetic problems to verify the results of this theory. Our research has some enlightenment to the improvement of the efficiency of China's securities market.
【作者单位】： 北京大学光华管理学院;
【分类号】：F224;F832.51
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1 张锦莉;沪深股市IPO溢价现象的研究[D];暨南大学;2008年
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