投资者关注与IPO首日超额收益——基于双边随机前沿分析的新视角

发布时间：2018-01-01 03:00

本文关键词：投资者关注与IPO首日超额收益——基于双边随机前沿分析的新视角　出处：《管理科学学报》2017年09期 　论文类型：期刊论文

【摘要】：细分IPO一级市场和二级市场投资者关注指标,从一、二级市场两个维度考察投资者关注对IPO首日超额收益的影响.基于2012年~2015年间138只创业板IPO新股样本进行研究,采用双边随机前沿模型的检验结果表明,一级市场上股票发行定价明显偏高,新股定价前一级市场投资者关注加剧了发行价格超出内在价值的程度,由此导致较低的定价效率.隐性市盈率上限的窗口指导抑制了一级市场定价泡沫,从而在一定程度上提高了我国新股发行定价效率.进一步研究发现,一级市场定价泡沫越大的新股在上市首日产生的超额收益越高,同时二级市场投资者关注对IPO首日超额收益也具有显著的正向影响.
[Abstract]:Subdivision of IPO primary market and secondary market investors concerned about indicators from one. Two dimensions of the secondary market to examine the impact of investor concern on the first day of IPO excess return. Based on the 2012 to 2015, 138 gem IPO new stock samples were studied. The test results using the bilateral stochastic frontier model show that the pricing of stock issuance is obviously high in the primary market, and the investors' concern about the issue price increases the degree of the price exceeding the intrinsic value before the pricing of new shares. This leads to lower pricing efficiency. The window guidance of the hidden price-earnings ratio upper limit suppresses the pricing bubble in the primary market, thus improving the pricing efficiency of new issues in China to a certain extent. The higher the pricing bubble of primary market is, the higher the excess return is on the first day of listing. Meanwhile, investors in the secondary market also have a significant positive impact on the first day excess return of IPO.
【作者单位】：武汉大学经济与管理学院;
【基金】：国家自然科学基金资助项目(71272230) 教育部新世纪优秀人才支持计划资助项目(NCET-13-0437)
【分类号】：F832.51
【正文快照】： 0引言首次公开发行的新股在上市首日出现高额回报的异象广泛存在于各国资本市场上,学者们对这一异象进行了不懈探索.早期关于IPO首日超额收益异象的研究汇集成一系列基于一级市场抑价的理论,包括信号理论[1]、“赢者诅咒”假说[2]、市场反馈假说[3]以及代理理论[4]等.一级市场

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