基于双边随机边界模型的IPO抑价分解研究——来自中国创业板的证据

发布时间：2018-05-16 02:07

本文选题：IPO抑价分解 + 双边随机边界模型　；参考：《中国管理科学》2017年02期

【摘要】：针对中国股票市场新股价格被普遍高估的特征,本文首次引入双边随机边界模型研究IPO抑价的形成原因,并创建了一个新的IPO抑价分解模型,成功地将IPO抑价分解为一级市场折价效应与二级市场溢价效应。接着,基于中国创业板样本进行了实证检验,结果表明:(1)样本股票的发行价格与首日交易价格均被显著高估,存在价格溢出;(2)二级市场溢价效应远远大于一级市场折价效应,前者是造成样本股票IPO高抑价的主要原因;(3)基于上市时间段、公司成长性以及行业分组的稳健性检验,则进一步证明了以上结论。本文的研究拓展了IPO抑价分解理论,且更符合中国股票市场的实际情况,为IPO抑价问题的后续研究提供了新的思路和方法。
[Abstract]:In view of the overvalued price of new shares in Chinese stock market, this paper first introduces the bilateral stochastic boundary model to study the formation of IPO underpricing, and establishes a new IPO underpricing decomposition model. IPO underpricing is successfully decomposed into first-order market discount effect and secondary market premium effect. Then, an empirical test is conducted based on the gem sample of China. The results show that both the issuing price and the first day trading price of the sample stock are significantly overvalued, and there is a premium effect in the secondary market which is much greater than the discount effect in the first-order market. The former is the main reason for the high IPO underpricing of the sample stock. Based on the listed period, the growth of the company and the robustness test of the industry group, the above conclusions are further proved. The research in this paper extends the theory of IPO underpricing decomposition, and it is more in line with the actual situation of Chinese stock market, and provides a new way of thinking and method for the further study of IPO underpricing problem.
【作者单位】：合肥工业大学经济学院;
【基金】：国家社会科学基金一般项目(14BJY181) 中央高校基本科研业务费专项基金项目(JS2015HGXJ0097)
【分类号】：F832.51

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