投资者情绪、承销商定价与IPO新股回报率  

Investors Sentiment,Underwriter Pricing and the IPOs Return

作　　者：邵新建[1] 薛熠[1] 江萍[1] 赵映雪[1] 郑文才[2] 

机构地区：[1]对外经济贸易大学国际经贸学院,北京100029 [2]深圳证券交易所综合研究所,深圳518028

出　　处：《金融研究》2013年第4期127-141,共15页Journal of Financial Research

基　　金：国家自然科学基金项目(71102075,71101031,71101028);教育部人文社科研究项目(11YJA790059);国家社会科学基金重点项目(11AZD010);对外经济贸易大学优秀青年学者培育计划(2012YQ02);对外经济贸易大学学术创新团队项目;对外经济贸易大学“211工程”三期建设项目的资助

摘　　要：在中国式IPO询价发行体制下,承销商没有新股分配权力,而定价市场化改革赋予了其定价权力。面对投资者的过度乐观情绪,承销商的理性选择是利用情绪抬高发行价格,通过收取与融资金额成正比例的承销费用实现其利益最大化。本文利用强制披露的询价机构网下全部报价数据,实证检验了中国式询价制的运作机理,结果发现:在机构报价形成的股票需求曲线上,承销商实际选择在相对高位定价,发行价格显著高于各类报价均值,而承销商声誉能够在一定程度上抑制这种定价拔高行为;定价拔高越大,IPO上市首日收益率越低;IPO上市后的交易价格呈现出显著的下降趋势,定价拔高越大,机构配售新股解禁后的累计异常收益率越低。Under the book - building process in China, IPO underwriter has no discretion over new issue shares. When the underwriter is endowed with the pricing power after the market - oriented reform for IPO, it intends to make use of the over - optimistic sentiment to enhance offering price, which is positively related with his under- writing income. This paper uses the institutional bidding data in detail during pricing period to study the Chi- nese book - building mechanism empirically. We find that IPO underwriter has chosen to price at the relatively high position in the demand curves for new issue shares, in other words, the offer price is significantly higher than various average statistics of institutional bids. However, underwriter reputation can restrain its impulse to inflate IPO offering price. In addition, the more offer price is inflated; the lower is the initial return on the first listing day. The trading price will decrease dramatically relative to market index after the first trading day, and the more issue price is inflated, the lower cumulative abnormal retum for the regular institutional investors after the expiration of lockup on their allocated shares.

关 键 词：询价制 新股分配权力 新股需求曲线 承销商声誉 

分 类 号：F832.51[经济管理—金融学] F224