噪声申购者、市盈率管制与投资者收益  

Noise Traders,the Offer PE Ratio Constraint and the Initial Return of IPOs

作　　者：武龙[1] 夏新平[1] 

机构地区：[1]华中科技大学管理学院,武汉430074

出　　处：《管理科学》2009年第3期96-103,共8页Journal of Management Science

基　　金：国家自然科学基金(70572031)~~

摘　　要：基于信息不对称的IPO抑价理论认为一级市场因定价偏低而给投资者带来了正向超额收益,但近年来基于噪声交易者参与的行为金融研究对此提出了异议。从套利的角度将新股申购者分为套利投资者和噪声申购者,采用供需分析方法,以新股上市首日的基础价值为基准,重点探讨中国现金配售制度下投资者在一级市场定价和申购过程中的收益问题,并分析市盈率管制对收益的影响。研究表明,现金配售制度下,新股投资者收益与中签率有关,在新股申购过程中,套利投资者可以通过申购数量的调整进行套利活动,但此套利受噪声申购者影响而存在约束。当噪声申购量小于发行量时,数量套利有效,新股抑价发行,但投资者只能获得合理收益,此时市盈率管制对投资者收益没有影响;当噪声申购量大于发行量时,数量套利受限,新股存在定价偏高的可能,且当定价高于某一特定值(小于基础价值)时,投资者即获得负向异常收益,此时适当的市盈率管制可以起到保护投资者的作用。The theories of IPO under-pricing based on the information asymmetry insist that there is a positive abnormal return for investors in the primary market for the under-pricing of IPOs, but it is doubted by the behavioral finance considering of noise traders recently. This paper classed the investors in the primary market to arbitragers and noise traders from the arbitraging per- spective, then analyzed the return of the investors from the primary market under the system of cash rationing in China and the effect of the rule of restricted offering price. The results suggest that under the cash rationing system, the benefits of new stock investors are related to the arbitragers can work with changing their demand, but the effect of the arbitragers is limited by the demand of the noise traders. When the noise demand is less than the issue volume, the quantity arbitrage is perfect and the offering price is underpriced, but the investors can just earn the normal return and the rule of restricted price has no effect on the benefit. When the noise demand is more than the issue volume, the quantity arbitrage is limited and the offering price may be overpriced, and the investors will get a negative abnormal return if the offering price is lower than the given value which is lower than the intrinsic value. Under this circumstance the rule of the restricted offering price is useful to protect the investors.

关 键 词：首日收益 噪声申购者 市盈率管制 现金配售 

分 类 号：F830.91[经济管理—金融学]