IPO抑价之谜:机构投资者报价策略的视角  

Book-building Mechanism Reform and Bidding Strategy of Institution Investors

作　　者：袁渊[1] 张雅婕[2] 

机构地区：[1]上海财经大学 [2]华能集团

出　　处：《中国会计评论》2011年第4期423-444,共22页China Accounting Review

基　　金：国家自然科学基金资助项目(批准号:70972060,71072036);上海市教育委员会科研创新项目(编号:12YS121)的阶段性成果;“上海财经大学研究生创新研究基金(项目号:CXJJ-2010-326)”;国家留学基金委“国家建设高水平大学公派研究生项目”的资助

摘　　要：本文以我国2005—2010年在主板IPO的所有公司和2005年、2006年在中小板IPO的公司为样本,从理论和实证角度考察我国IPO询价制度下机构投资者报价策略。本文发现机构投资者在IPO询价过程中倾向于在初步询价阶段压低报价,而在累计投标询价阶段以价格区间上限报价,而机构投资者执行这种报价策略的原因在于我国现行的IPO询价机制不能有效激励机构投资者在询价过程中尽可能披露其私人信息。This study is the first empirical research on the effect of the book-building mechanism and the bidding strategy of institution investors. Based on the difference between Chinese book-building mechanism and mainstream book-building mechanism-fixed supply and no IPO distribution right for underwriters, we find the institution investors has no incentive to publish their private information, which will lead to the result that the institution investors tend to bid a lower price in the first stage of book-building and bid a highest price in the second stage of book-building. It can rich the related literatures, and provide reference for Chinese IPO book-building mechanism reform.

关 键 词：IPO配售制度 询价机制 机构投资者 报价策略 

分 类 号：F832.51[经济管理—金融学]