我国询价制的信息揭示效率——基于询价簿记信息的实证研究  

The Information Revelation Efficiency of China's Inquiry System —An Empirical Study based on Inquiry Bookkeeping Information

作　　者：田业钧[1] 张永林[1] 

机构地区：[1]北京师范大学经济与工商管理学院,北京100875

出　　处：《上海金融》2013年第4期74-79,118,共6页Shanghai Finance

摘　　要：本文以2011-2012年8月沪市A股发售的57支新股为样本,通过提取发行人公布的簿记信息,从询价簿记信息与新股发行定价效率和首日超额收益两个角度实证分析询价的信息揭示效率。研究结果表明:(1)虽然我国的询价制尚在完善之中,但依然具有较强的信息揭示能力。(2)承销商选择性地利用相关信息,询价信息有助于预测新股后市变现。出现这一悖论的原因是,价格区间对发行价的硬约束和配售政策限制了询价信息揭示能力。研究结果不仅对监管层完善询价制度和投资者参与新股投资具有一定的指导意义,也为讨论新股首次公开发行的定价效率问题提供新的视角。The article uses the sample of 57 IPOs in Shanghai A-share market from 2011 to August 2012,by extracting the bookkeeping information published by the issuers,and analyzes the information revelation efficiency of inquiry system from two angles,which are the IPO pricing efficiency and the excess return on the first day.The results show that:(1) though China's inquiry system is yet to be perfected,it still has strong information revelation ability;(2) the underwriters selectively use relevant information and inquiry information help predict the IPO market outlook.The reason for this paradox is that the hard constraints on issuing price and the allocation policy limit the information revelation ability of the inquiry system.The results provide not only guidance for regulators to improve the inquiry system and for investors to participate in new shares investment,but also a new perspective for discussing the pricing efficiency of IPOs.

关 键 词：询价制 簿记信息 信息揭示 新股定价 首日超额收益 

分 类 号：G14[文化科学]