询价机构报价中的意见分歧与IPO定价机制研究  

Disagreement of Institutional Investors' Bids and IPO Pricing Mechanism

作　　者：李冬昕[1] 李心丹[1] 俞红海[1] 朱伟骅[2] 

机构地区：[1]南京大学工程管理学院 [2]上海证券交易所

出　　处：《经济研究》2014年第7期151-164,共14页Economic Research Journal

基　　金：国家自然科学基金重点项目(70932003);国家自然科学基金项目(71203144;71102036;71303158);教育部人文社科青年项目(10YJC790352)资助

摘　　要：机构投资者报价是询价制度下IPO定价的核心环节,本文从机构报价中的意见分歧角度研究中国股票一级市场IPO"三高"问题,以及二级市场新股上市首日及长期表现。研究发现,我国询价机构的报价存在较大差异性,表明机构报价过程中意见分歧较为严重。进一步研究表明,询价机构报价差异性越大、意见分歧越严重,一级市场IPO定价过高问题就越突出,并导致"三高"问题的出现;同时,机构报价差异性与IPO首日收益呈显著负相关,表明二级市场投资者意见分歧已通过询价机构报价的方式提前反映到IPO定价中;而长期来看,机构报价差异性越大,未来股价下跌幅度越大,市场低迷问题也越突出。本文的研究对于理解中国市场IPO现象、改革与完善IPO定价机制,以及加强中小投资者保护具有重要意义。The bids from institutional investors are the core of the IPO pricing process under bookbuilding mechanism. This paper studies the disagreement of institutional investors to explain Chinese IPO ＂Three Highs＂ problem in the primary market and the first-day and long-term performance in the secondary market. The results show that bids of the institutional investors have big divergence, which means great disagreement during the bidding process. The higher dispersion in the bids is, the greater overpricing in the primary market is, and the more serious ＂Three Highs＂ problem is. Meanwhile, the dispersion of bids has significant negative relationship to the initial return, which means that the disagreement of investors in the secondary market has get into IPO pricing in advance through bidding. From the perspective of long term, the higher dispersion in the bids is, the lower the return is. This study is helpful to understand the IPO market phenomena, to improve the IPO pricing mechanism, and to strengthen the protection to small investors.

关 键 词：询价机构报价 意见分歧 IPO“三高” IPO首日收益 长期表现 

分 类 号：F832.51[经济管理—金融学]