新股询价区间、价格调整与上市首日收益  

Book-building Pricing Range,Price Adjustment and the First-day Returns of Initial Public Offering in China

作　　者：邹斌[1] 夏新平[1] 

机构地区：[1]华中科技大学管理学院,湖北武汉430074

出　　处：《武汉理工大学学报（信息与管理工程版）》2010年第4期640-644,共5页Journal of Wuhan University of Technology：Information & Management Engineering

基　　金：国家自然科学基金资助项目(70572031)

摘　　要：我国自2005年起在新股发行中采用了询价制。用询价的价格区间和价格调整信息来度量新股发行的不确定性风险大小,研究发现其与新股上市首日收益存在正相关关系,实证结果支持了新股发行折价的风险-收益对等原则。虽然询价体现了新股定价的市场化,但是机构投资者参与的询价并没有提高新股的定价效率,新股上市首日收益仍然较高,说明机构投资者参与询价的能力还有待提高。To promote market-based pricing mechanism to reduce the high initial return of IPOs,China′s regulators enact the book-building method in pricing IPOs.Using inquiry price range and the price adjustment as the measurement of uncertainty of the risk,the study found a positive relation between the first day return and the uncertainty risk of IPOs.The results supported the IPO discount ＂risk-return＂ reciprocity hypothesis.Although inquiry mechanism demonstrated marketization of IPOs,the institutional investor participated inquiry mechanism did not increase the efficiency of pricing IPOs from the perspective of a lower initial return.This indicated that the capacity of institutional investors to participate in inquiry has to be improved.

关 键 词：新股首次公开发行 不确定性风险 询价区间 上市首日收益 

分 类 号：F830.91[经济管理—金融学]