中国IPO市场周期:基于投资者情绪与政府择时发行的分析  

The IPO Market Cycles in China:the Analysis Based on the Investor Sentiment and Government's Market Timing

作　　者：邵新建[1] 巫和懋[2] 覃家琦[3] 王道平[4] 

机构地区：[1]对外经济贸易大学国际经贸学院,北京100029 [2]北京大学国家发展研究院,北京100871 [3]南开大学商学院,天津300071 [4]南开大学经济学院,天津300071

出　　处：《金融研究》2010年第11期123-143,共21页Journal of Financial Research

基　　金：教育部重大攻关项目(09JZD0016);国家自然科学基金项目(70902048);对外经贸大学新进教师科研启动项目(中国IPO市场周期研究)的支持

摘　　要：本文使用1993年至2008年数据证实中国IPO市场存在显著的周期性。在政府对企业发行上市具有控制能力的背景下,我们通过分析政府在过度乐观的投资者情绪约束条件下的优化行为来解释周期形成机制。由于政府"运动员"和"裁判员"的双重身份,它实际对新股上市初期的价格负有隐性担保责任,为了维护声誉,面对过度乐观的市场情绪,政府倾向于按其认定的价值核准新股定价,发行价格并不能充分反映基于情绪的市场需求,但这种需求将立即反映在上市初期的交易价格中,这意味着IPO上市初期收益率的波动主要反映的是市场情绪的周期性波动;但情绪对市场指数形成冲击,在市场缺乏自我平衡能力的条件下,政府又将IPO数量作为调控市场指数、平衡情绪冲击的工具之一,结果形成了IPO数量的周期性波动。进一步的实证分析支持上述理论假说。Using the data from 1993 to 2008,this paper verifies that there exists significant cycles in IPO market of China.In the circumstance that IPO process is under the control of government,we try to explain IPO cycles by solving the maximization problem constrained by over - optimistic investor sentiment faced by government. Subject to the dual characters of player and referee in market,government takes the implicit responsibility to support the initial trading prices of IPOs.To maintain its reputation and credibility,government inclines to price the IPOs according to their values in spite of the over - optimistic sentiment around the market As a result, the IPO issue price can not incorporate this sentiment - based demand,which will be reflected in the aftermarket price at once.So it implies that the variation of IPO initial return is mainly driven by the sentiment However,sentiment will shock the stock index,in the absence of market self- stabilization mechanism,government uses the IPO volume as one of the policy tools to offset the sentiment effect on stock index,which leads to the fluctuation of IPO volume.Further empirical study supports the above theoretical hypothesis.

关 键 词：IPO周期 投资者情绪 政府 

分 类 号：F832.51[经济管理—金融学] F224