询价制度第一阶段改革有效吗  

Is the First-stage Book-building Reform Effective

作　　者：刘志远[1] 郑凯[1] 何亚南[1] 

机构地区：[1]南开大学商学院,天津300071

出　　处：《金融研究》2011年第4期158-173,共16页Journal of Financial Research

基　　金：国家自然科学基金项目(71072099和70872052)的资助

摘　　要：询价制度第一阶段改革后,新股定价效率明显提高,证监会取消对发行价格的管制是新股定价效率提高的前提,询价对象竞争程度的增加是定价效率提高的根本动因;改革后,机构投资者"择股"效应显著,将定价效率提高所引发的部分投资风险转嫁给了中小投资者。中小投资者由改革前利益分配不公平转变为改革后风险分担不公平,定价效率进一步提高很可能引发中小投资者的"赢者诅咒"。发行制度未来改革应在注重提高定价效率的同时,限制机构投资者向中小投资者转嫁风险的能力。The empirical results of this paper suggest that, IPO pricing efficiency has been improved significantly after the first-stage book-building reform, and the abolition of SEC＇s window guidance sets preconditions of IPO pricing efficiency improving, furthermore the increasing of competition among inquired objects is essential motives of IPO pricing efficiency improving; the effect of stock selection of institutional investors is significant, thus the added investment risk incurred by pricing efficiency improvement has been transferred to retail investors partially. For retail investors, manifestation of inequity has been transformed from profit distribution inequity before reform into risk taking inequity after reform and further improving pricing efficiency is likely to generate ＂Winner＇s Curse＂ of retail investors. The future reform of issuance system should not only improve pricing efficiency but also pay more attention to restricting the ability of institutional investors to shift the risk to retail investors.

关 键 词：IPO抑价 机构投资者 中小投资者 

分 类 号：F832.51[经济管理—金融学]