效率和公平视角下的IPO询价制改革有效性研究——来自中国A股市场的经验证据

发布时间：2018-02-05 20:50

本文关键词： 随机前沿分析(SFA) 定价效率公平性询价制改革　出处：《南方经济》2014年10期 　论文类型：期刊论文

【摘要】：本文以2005年1月-2012年4月沪深A股市场依据累计投标结果确定发行价的899个IPO公司为样本,引入随机前沿模型和投资者公平性模型分别进行定价效率和投资者公平性分析,据此判别询价制期间两阶段改革的成效。研究表明,询价制第一阶段改革后新股定价效率显著提高,改革前的低效率与询价制度和市场冷热度相关,而且改革后机构投资者更倾向于利用信息优势进行"择股",中小投资者获取新股的难度有所降低,但面临更多新股"破发"风险,两类投资者间的不公平逐渐表现为风险分担不均衡;第二阶段改革后新股定价效率略微降低,中小投资者参与度的下降迫使发行人故意降低定价效率,同时机构投资者"择股"行为的增多使得两类投资者风险分担更加不均衡。
[Abstract]:This paper takes 899 IPO companies in the Shanghai and Shenzhen A-share market from January 2005 to April 2012 to determine the offering price according to the cumulative bidding results as a sample. The stochastic frontier model and the investor fairness model are introduced to analyze the pricing efficiency and investor fairness respectively, according to which the effectiveness of the two-stage reform during the inquiry system is judged. After the first stage of the reform of the inquiry system, the pricing efficiency of new shares has been improved significantly. The low efficiency before the reform is related to the inquiry system and the market heat and cold degree. After the reform, institutional investors are more inclined to make use of the advantage of information to "choose shares". The difficulty of obtaining new shares for small and medium investors is reduced, but they are faced with more risks of "breaking new shares", and the unfairness between the two types of investors is gradually shown as the imbalance of risk sharing; After the second stage of reform, the pricing efficiency of new shares is slightly reduced, and the decline of participation of small and medium-sized investors forces issuers to deliberately reduce pricing efficiency. At the same time, the increase of institutional investors'"stock selection" behavior makes the risk sharing between the two types of investors more uneven.
【作者单位】：中国矿业大学管理学院;
【基金】：江苏省高校哲学社会科学基金(2010SJD630071) 国家大学生创新性实验计划项目(101029026)的资助
【分类号】：F832.51

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