IPO定价管制、价值不确定性与投资者“炒新”

发布时间：2018-03-21 20:33

本文选题：IPO定价管制　切入点：价值不确定性　出处：《会计研究》2017年01期 　论文类型：期刊论文

【摘要】：本文以价值不确定性理论解释IPO定价管制对投资者"炒新"行为的影响,并以2006年6月-2012年2月的样本进行实证检验。结果发现,相对于定价市场化阶段,定价管制期间的IPO溢价(以首日收盘价减去估计的内在价值度量)显著更高。并且,新股上市前价值不确定性越大,定价管制对IPO溢价的影响越大;上市时二级市场投资者情绪越高,定价管制对IPO溢价的影响越大。上述发现都支持了价值不确定性理论对投资者"炒新"行为的解释。为增强结果的可靠性,我们使用双重差分模型控制时间序列上其他可能因素的影响,结论保持不变。本文的发现有助于理解新股定价管制的经济后果,并对注册制改革有重要启示。
[Abstract]:In this paper, the value uncertainty theory is used to explain the influence of IPO pricing regulation on the "speculation" behavior of investors, and an empirical test is conducted with samples from June 2006 to February 2012. The results show that, relative to the stage of pricing marketization, The IPO premium (measured by the closing price of the first day minus the estimated intrinsic value) is significantly higher during the pricing control period. Moreover, the greater the uncertainty of the pre-IPO value of new shares, the greater the impact of pricing regulation on the IPO premium; The higher the investor sentiment in the secondary market, the greater the impact of pricing controls on the IPO premium. These findings support the value uncertainty theory's explanation of investor speculation. We use the double differential model to control the influence of other possible factors on the time series, and the conclusion remains unchanged. The findings of this paper are helpful to understand the economic consequences of the new share pricing regulation and have important implications for the reform of the registration system.
【作者单位】：中央财经大学会计学院;清华大学经济与管理学院;
【基金】：国家自然科学基金项目(71502183) 教育部人文社会科学研究青年基金项目(14YJC790101) 北京市会计类专业群(改革试点)建设项目中央财经大学第三批青年科研创新团队支持的资助
【分类号】：F832.51

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