正向反馈申购者、市盈率管制与新股发行定价  

Positive Feedback Traders,the Offering Price-earnings Ratio Constraint and IPO Offer Pricing

作　　者：武龙[1] 

机构地区：[1]河南大学工商管理研究所,河南开封475004

出　　处：《经济管理》2010年第7期8-14,共7页Business and Management Journal ( BMJ )

基　　金：国家自然科学基金项目"噪声交易者参与下的IPO溢价研究"(70572031)

摘　　要：传统的新股发行定价偏低观点受到了一些定价偏高实证现象的质疑,且难以解释我国长期实行的发行市盈率管制政策。本文在原有信息不对称理论的基础上,从正向反馈的非理性角度研究发行定价,进而分析市盈率管制政策的作用,并实证检验。研究认为,新股发行市场中存在着大量的正向反馈申购者,他们受近期新股上市表现激发而参与申购,这种噪声需求的存在使得新股即使被高估也仍然能够成功发行。发行人和承销商意识到这种噪声需求的存在,为了使其利润最大化,他们会抬高发行定价,而机构投资者在近期新股上市表现较好的情况下也易于高估新股,因此也能接受较高的询价价格。实证结果验证了正向反馈申购者对发行定价的这一正向影响,并且发现市盈率管制政策能够对此起到一定的抑制作用。Traditional IPO underpricing theory is doubt by some empirical findings of IPO overpricing, and cannot explain well why there is the offer price-earnings ratio constraint for a long time in China. This paper insists that there are many positive feedback traders in the primary market, whose demands of the new stock mainly depend on recent IPO initial returns. The existing of the positive feedback traders makes the IPO a success even if the offer price is overpriced. The issuer and the underwriter realize it, and then they will improve the offer price to maximize their benefit. Institution investors usually overvalue the new stock when the recent IPO initial returns are high, so they can accept the higher offer price. The empirical results prove the positive effect of positive feedback traders in the primary market on offer price, and indicate that the offer PE ratio constraint can restrain the positive effect.

关 键 词：新股发行 正向反馈 市盈率管制 发行定价 

分 类 号：F830.91[经济管理—金融学]