文档介绍：机构投资者对IPO定价效率的影响分析
毕子男1 孙珏2
( 200002; ,上海 200234)
摘要:本文通过对沪深两地1996年至2006年A股市场IPO样本的研究发现: IPO抑价率与IPO政策变量及机构投资者参与程度显著负相关。机构投资者参与询价和发行配售,对IPO抑价率的降低起到了显著的作用,有利于提高市场发行定价效率。总体上看,现阶段中国A股发行市场定价效率仍然偏低。高抑价率的主要原因在于行政管制使股票发行人和承销商的议价能力发挥不足,根本原因还在于发行制度市场化程度不高。
关键词: 机构投资者; 定价效率; IPO抑价
作者简介:毕子男,经济学博士、高级经济师,东北证券金融与产业研究所常务副所长。孙珏,上海师范大学硕士生。
中图分类号: 文献标识码:A
An Empirical Study on the Effect of Institutional Investors in the IPO
Pricing Efficiency
Abstract: Based on the IPO samples of A share markets of both Shanghai and Shenzhen from 1996 to 2006, the study draws the conclusion that IPO underpricing rate has a significant negative correlation with both the IPO policy factor and the degree of participation of institutional investors. So, the institutional investors participating on inquiry and placing issue decrease the IPO underpricing rate significantly and promotes the IPO pricing efficiency. However, the IPO pricing efficiency of A share market of China is still low at present. The main reason of high underpricing rate is that panies lack strong bargaining power with the sale agents under administrative control. However, the basic reason is due to lower marketization of issue system.
Key words: Institutional investors, Pricing efficiency, IPO Underpricing
引言
证券市场定价功能的合理发挥是市场资源优化配置和发挥交易功能的前提基础。证券市场的制度体系、竞争开放程度、投资者的成熟度及其对信息的反映程度直接影响着定价效率的高低。IPO抑价率注释: