增发新股折价现象的实证研究  

A Empirical Study on the Underpricing of Season Equity Offerings of China

作　　者：邹海峰[1] 陈小悦[2] 

机构地区：[1]重庆大学经济管理学院,重庆400030 [2]清华大学经济管理学院,北京100084

出　　处：《清华大学学报（哲学社会科学版）》2006年第S1期98-106,共9页Journal of Tsinghua University(Philosophy and Social Sciences)

摘　　要：逆向选择假说对我国增发新股的折价现象没有解释能力,不确定性假说具有某种解释能力。我国增发新股的首日超额报酬率与投资者的配售比例、上市等待期的指数报酬率负相关,与承销商的声誉、事前不确定性程度正相关。上述发现表明,当前增发新股时,我国的机构投资者(包括基金和法人投资者)与其他公众投资者(去除老股东的公众投资者)之间的信息差异并不明显;我国的股票市场尚是一个参与各方未达到分离均衡的市场。Uncertainty theory has some explanation power for the underprcing of Chinese SEO,while adverse-selection theory has not.There are negative relations between initial abnormal return and allocation ratio,index return of waiting period,while positive relations between initial abnormal return and investment banker reputation,ante-uncertainty.The implications of this study are that the information asymmetry between institutional investors and ordinary investors is not significant for season equity offerings,and ...

关 键 词：增发 逆向选择 不确定性 

分 类 号：F832.51[经济管理—金融学] F224