公共信息与IPO询价制效率的关系研究  

Relationship between Public Information and Efficiency of IPO Inquiry System

作　　者：贺炎林[1,2] 吕随启[1] 郭敏[2] 

机构地区：[1]北京大学经济学院,北京100871 [2]对外经济贸易大学金融学院,北京100029

出　　处：《管理科学》2011年第1期63-71,共9页Journal of Management Science

基　　金：教育部人文社会科学研究青年基金(09YJCZH015);中国博士后基金(20100480154);国家统计局全国统计科学研究计划项目(2008LY065)~~

摘　　要：基于公共信息来评价IPO询价制效率是IPO领域的理论研究前沿。把IPO询价过程分为初步询价阶段和累计投标询价阶段,以2005年1月1日至2008年12月31日在沪深A股市场依据累计投标结果确定发行价的80只IPO为样本,通过考察询价前、询价期间和询价后的公共信息对询价各阶段生成的价格指标的影响,实证分析公共信息与IPO询价制效率的关系。研究结果表明,中国询价制具有较强的信息揭示能力,价格区间和价格调整反映公共信息的能力强,IPO询价制具有一定的效率;中国初步询价阶段的信息揭示能力强,而累计投标询价阶段信息揭示能力弱;中国IPO询价制效率并不完全有效,价格区间确定时已知的公共信息对价格调整产生显著影响,发行价确定时已知的公共信息对初始收益产生显著影响。In the field of IPO,one of the theory research front is that the efficiency of IPO inquiry system was evaluated based on public information.IPO inquiry process was divided into preliminary inquiry stage and cumulative bidding inquiry stage.80 IPO were used as sample which were priced by the result of cumulative bidding inquiry in Shanghai and Shenzhen A-share market from January 1,2005 to December 31,2008.The impact of public information before inquiry,during inquiry and after inquiry on the price indeices during various stages in the IPO inquiry process were investigated.Relationship between public information and the efficiency of IPO inquiry system was empirically analyzed,and obtained some new empirical conclusions with Chinese characteristics which were different from foreign.These conclusions include that our inquiry system has strong ability to reveal information,and public information is strongly reflected by price range and price update,therefore IPO inquiry system has a certain efficiency.The information revelation ability during preliminary inquiry stage is stronger than during accumulated bidding inquiry stage.The efficiency of China′s IPO inquiry system is not fully effective,and public information has a significant effect on price update which is known when price range is determined,and public information has a significant effect on initial return which is known when offering price is determined.

关 键 词：公共信息 首次公开发行 询价制 效率 

分 类 号：F830.91[经济管理—金融学]