中国询价制度下询价对象的报价行为——基于IPO网下申购报价特征的实证分析  

Bidding Behavior of Inquiry Object under Bookbuilding System of IPO in China:Empirical Analysis Based on Characteristics of Bidding in Offline Application

作　　者：张剑[1] 

机构地区：[1]西南财经大学经济学院,成都610074

出　　处：《技术经济》2014年第2期104-111,共8页Journal of Technology Economics

摘　　要：利用2010—2012年中国A股443家询价对象的45630组详细报价的微观数据,构建了"信息优势"询价对象与"信息劣势"询价对象的平均报价之差的代理变量,使用Ordered-probit模型,对中国询价制度下A股市场中是否存在"赢者诅咒"假说进行了检验。进而利用询价阶段的详细报价数据,构建了3个衡量机构投资者审慎报价的代理变量,实证检验了中国第三阶段新股发行制度改革对询价对象报价行为的影响。研究结果表明:"信息优势"投资者与"信息劣势"投资者的平均报价之差与IPO首日抑价率成正比;中国证监会于2012年5月实施新股发行制度改革,显著提高了询价对象报价的审慎程度;导致新股发行抑价率高的主要因素仍是二级市场炒作。By using the 45630 groups of bidding data involving 443 inquiry objects in China A-share stock market from November 2010 to Octo- ber 2012,this paper constructs a proxy variable for the average quoted price difference between inquiry object with information advantage and that with information disadvantage,and tests the existence of the hypothesis of ＂winner＇s curse＂ in China＇s A-share stock market under China＇s bookbuilding system by ordered-probit model. Then by using the detailed quotation data in bidding stage,it constructs three proxy variables measuring the prudence of inquiry object, and empirically tests the influence of the third stage IPO reform in China on bidding behavior of inquiry object. The results show as follows： the average quoted price difference between inquiry object with information advantage and that with information disadvantage is positively correlated with the underpricing rate on first day of IPO; the IPO reform enhances the prudential degree of inquiry object obviously;the high IPO underpricing rate is due to the hype in secondary market

关 键 词：询价对象 新股发行制度 审慎报价 机构投资者 报价行为 

分 类 号：F832.51[经济管理—金融学]