金融管制、投资风险和新股发行的超额抑价  

On the Financial Regulation,Investment Risks and IPO Underpricing

作　　者：田利辉[1] 

机构地区：[1]北京大学光华管理学院,北京1000871

出　　处：《金融研究》2010年第4期85-100,共16页Journal of Financial Research

基　　金：国家自然科学基金"WTO与中国国有商业银行改革与创新"项目(编号70373012)和"企业业绩;公司重组和国家持股"项目(编号70373001)的支持

摘　　要：我国新股发行制度改革正在推进,其成功与否应该建立在对于历史问题的总结。我国股票发行上市首日回报率高达267%,显著高于世界其他各国。本文构建了新股发行的供求理论,实证检验了发行超额抑价的影响因素。我国证券监管部门设立了发行上市额度并且规定了发行定价方式,希望籍此稳健发展股市,但是实际上导致了发行市场的供给和需求出现了扭曲。同时,已发行的股票不一定能够及时上市流通。除信息不对称风险外,新股的认购者还要承担我国特有的投资锁定风险和财富转移风险。通过理论论证和实证检验,本文指出金融管制和投资风险导致了我国股票发行超额抑价。从根本上讲,我国以往的新股发行超额抑价现象是制度性抑价,是政府干预市场的结果。本文认为,当前的新股发行改革是必要和正确的。The Chinese average IPO underpricing is 267%, which is brought about by financial regulations and investment risks. The government regulator sets a cap on pricing IPO shares and stipulates the IPO quotas to control the supply of IPO shares. Regulatory underpricing is a unique feature of Cbina＇s primary market. Fur- thermore, besides the asymmetric information about the quality of IPO firms, there are some Chinese-specific＇ investment risks. There is a long time gap between going public and going for flotation. Loekup risks come with the illiquidity of IPO subscribers＇ investment. The investors in China＇s primary market further discount the IPO shares with tunneling risks and grabbing risks. These Chinese financial institutions rationalize the severe Chi- nese IPO underpricing.

关 键 词：发行上市 首日溢价 金融监管 投资风险 公司治理 

分 类 号：F832.51[经济管理—金融学]