不同发行定价机制下IPO抑价的实证研究.doc

文档介绍：
不同发行定价机制下 IPO 抑价的实证研究#
周翠玲1,邹高峰2**
(1. 深圳农村商业银行,深圳,518106;
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2. 天津大学管理与经济学部,天津,300072)
摘要:采用 1996—2011 年的新股发行数据,对不同发行定价机制下的沪市主板、深市主板、
中小板和创业板等新股发行市场的抑价特点进行系统研究,实证检验西方经典 IPO 理论在
我国证券市场的适用性。结果表明,我国新股发行市场存在显著的 IPO 抑价现象,但随着
市场化程度的不断提高,抑价程度逐渐降低;不同市场间的新股抑价水平呈现一定的差异性;
公司价值可以很好地传递公司信息;管理层持股比例、主承销商声誉假说不适用于我国,发
行定价机制、投资者情绪在我国新股市场中得到了很好的验证。
关键词:金融工程;新股发行;信息不对称;定价;投资者情绪
中图分类号:
15
Empirical study of IPO underpricing on different pricing
mechanism
ZHOU Cuiling1, ZOU Gaofeng2
(1. Shenzhen mercial Bank,深圳,518106;
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25
30
35
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2. College of Management and Economics, Tianjin University, Tianjin, 300072)
Abstract: The IPO panel data of ShangHai and Shen zhen Stock Market from 1996 to 2011 was
analyzed to study the IPO underpricing of China stock market based on different pricing mechanisms
and validate the applicability of Western classical theories in China. The results show that there exists
significant IPO underpricing. However, the extent of IPO underpricing is decreasing with the
improving of marketization. It’s also found that IPO underpricing in different stock markets was
different and pany value embodied its information. The results suggested that the theory of
Management stock ownership and Underwriters reputation would not apply to China Stock Markets,
while pricing mechanisms and investor sentiment theory were well verified in China Stoc