中国IPO上市首日的超高换手率之谜  

The Puzzle of Extremely High Turnover of IPOs on the First Listing Day in China

作　　者：邵新建[1] 巫和懋[2] 李泽广[3] 唐丹[1] 

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]南开大学经济学院,天津300071

出　　处：《金融研究》2011年第9期122-137,共16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(71102075和70902048);国家社科基金项目(11CJY094)的支持

摘　　要：在IPO上市初期,个体投资者对新股估值呈现出过度乐观情绪,而在资金抽签的新股分配制度下,资金实力占优的机构投资者将成为新股的主要获配者,他们将利用个体的情绪向其抛售获配新股,个体越乐观,股价泡沫越大,机构的抛售数量越多,这是形成超高换手率的重要机制;但是在IPO上市后的两年内,个体的过度乐观情绪逐渐消退,新股初期交易价格中的泡沫逐渐萎缩,这使得IPO新股表现出长期弱势异象,并且机构抛售数量指标对于IPO长期收益率具有显著的反向预测能力:首日换手率越高,长期收益率相对越低。On the first day of IPO aftermarket trading in China, investors flip their allocated shares actively and the turnover（ flipped shares deflated by the tradable shares）is as high as 61% on average from 1995 to 2008. It is found that individual investors have shown over-optimistic sentiment about the IPO value in the initial aftermarket. However, under the institution of lottery by cash, rational institutional investors will get the majority of allocated IPO shares, who incline to exploit the over-optimistic sentiment of individual investors by flipping the allocated shares to them on high trading prices. The more optimistic, the larger IPO price bubble, the more shares are flipped by institutional investors. The extremely high turnover is formed in this way to some extent. However, in the two years after the IPO begins trading, the individual sentiment gradually weakens, the bubble in IPO trading price gradually disappears, which results in the IPO long-term underperformance in China. In addition, the institutions＇ flipping activity has the function of predicting the long-run return of IPO, in another words, higher flipping ratio means lower IPO long-term return.

关 键 词：IPO分配制度 IPO上市初期抛售行为 IPO长期表现不佳 

分 类 号：F832.51[经济管理—金融学]