IPO抑价与新股非系统风险研究——对市场反馈假说的检验  

Study on IPO Underpricing and New Stocks Non-systemic Risk: A Test for the Hypothesis of Market Feedback

作　　者：白彦壮[1] 杜俊涛[2] 

机构地区：[1]天津大学管理学院,天津300072 [2]广发证券博士后工作站,中山大学博士后流动站,广州510057

出　　处：《北京科技大学学报（社会科学版）》2005年第2期70-74,共5页Journal of University of Science and Technology Beijing(Social Sciences Edition)

摘　　要：IPO抑价是世界范围内普遍存在的现象,而且随着市场成熟度的提高,初始报酬率有逐渐下降的趋势。本文对我国IPO初始报酬率的变化趋势以及核准制实施所带来的影响进行了实证考察,并分析了初始报酬率对IPO股票非系统性风险的揭示作用。结果显示我国IPO初始报酬率没有表现出明显的变化趋势,但对IPO公司非系统性风险具有揭示作用,或者说市场反馈假说在我国是成立的。With the universal IPO underpricing in the world, and accompanying with the improved market maturity, the initial return tends to be reducing. This paper makes an empirical investigation on the tendency of IPO initial return movement in China and the effects of authorization system implementation. The indicational function of the initial return on the non-systemic risk is also analyzed in this paper. As the result shows that there is no distinct tendency in IPO initial return movement in China, the hypothesis of market feedback gets supported.

关 键 词：IPO 抑价 新股 初始报酬率 市场反馈 

分 类 号：F830.91[经济管理—金融学]