中国IPO抑价的构成及影响因素研究  

Factors affecting IPO underpricing and its composition in Chinese market

作　　者：邹高峰[1] 张维[1] 徐晓婉[2] 

机构地区：[1]天津大学管理与经济学部,天津300072 [2]天津财经大学,天津300222

出　　处：《管理科学学报》2012年第4期12-22,30,共12页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71131007;71001077);教育部高等学校博士学科点专项科研基金资助项目(20100032120033)

摘　　要：采用随机边界方法,系统研究了中国新股发行市场化改革以来不同定价方式下的IPO定价行为,以及相应时期内IPO抑价的成分构成及其影响因素.研究结果表明:2005年之前中国新股发行价格存在与成熟资本市场相反的显著下边界特征,其主要根源在于此期间中国采用的新股发行定价方式方法的制度化特征;实施询价发行后中国IPO定价开始出现与海外成熟资本市场相类似的显著上边界特征;与成熟市场不同,尽管中国新股发行抑价也与一级市场发行价格因素有关,但更主要地是受到二级市场投资者情绪和市场状况因素的影响.Based on stochastic frontier approach,this paper analyzes the pricing of initial public offerings（IPOs） in different periods during the issuance system reform,composition of IPOs＇ underpricing and factors affecting it.This paper finds that the pricing of IPOs in different periods has different characteristics,which are different from the developed capital markets.Because,before 2005,the offer price of IPOs shows the lower stochastic frontier,which is completely opposite to overseas market.After the Book-building mechanism has been adopted in 2005,the upper stochastic frontier characteristic in the pricing of IPOs begin to appear,which is similar to the developed capital market;The IPO underpricing in China is related not only to the pricing factors in the primary market,but also mainly to the investors＇ sentiment and the market environment factors in the secondary market.

关 键 词：新股发行 抑价 随机边界方法 询价 

分 类 号：F830[经济管理—金融学]