中国首发新股超高抑价现象研究——基于市场化程度的视角  

Study on the Extra High Initial Public Offerings Underpricing in China:Perspective of the Degree of Marketization

作　　者：贺炎林[1] 王一鸣[2] 吴卫星[1] 

机构地区：[1]对外经济贸易大学应用金融研究中心,北京100029 [2]北京大学经济学院,北京100871

出　　处：《中国软科学》2012年第10期33-47,共15页China Soft Science

基　　金：国家社会科学基金重点项目(项目批准号:11AZD010);国家自然科学基金一般项目(71073020);北京市哲学社会科学规划项目(10BaJG344)

摘　　要：中国存在IPO(首发新股)超高抑价现象,目前学者大多把该现象归于投资者情绪,本文从市场化程度这样一个新角度来研究该现象的成因。依据1998-2007年东部和西部地区的580个IPO样本,实证分析了市场化程度在IPO抑价率形成过程中的作用。与以往研究不同,在度量市场化程度时,本文基于地区属性和市场化指数两个维度。研究发现,市场化程度对IPO抑价率产生了负向显著影响;从地区属性和市场化指数两个维度来看,东部地区的IPO抑价率显著低于西部地区,市场化指数的提高降低了IPO抑价率;进一步考虑地区属性和市场化指数的交互影响,我们发现地区属性和市场化指数交互地作用于IPO抑价,东部地区市场化指数的提高对IPO抑价率的影响程度大于西部地区,东部地区市场化指数高的新股的IPO抑价率显著低于西部地区市场化指数低的新股。Reform and openingup improve China＇s degree of marketization, and how does the improvement affect IPO （Initial Public Offerings） underpricing？ 580 IPO are used as sample, which are from China＇s eastern and western regions from 1998 through 2007. The article analyzes empirically the role of the degree of marketization in the process of IPO underpricing formation. Different from previous studies, we use district attribute and marketization index to measure the degree of marketization. The empirical results show that the degree of marketization had a negative impact on IPO underpricing rate. IPO underpricing rate in the eastern region was lower than the western region. The improvement of the marketization index lowered IPO underpricing rate. District attribute and marketization index affected interactively IPO underpricing. The influence degree of the improvement of marketization index of eastern district on IPO underpricing is more than western district. IPO underpricing rate of eastern new issues with high marketization index was significantly lower than western new issues with low marketization index.

关 键 词：IPO抑价 市场环境 市场化程度 市场化指数 地区属性 

分 类 号：F830.91[经济管理—金融学]