创业板IPO破发定价问题  

Research on the Pricing Problem of the Gem IPO Breaks

作　　者：曹文彬 史凌云 

机构地区：[1]江南大学商学院,江苏无锡214122

出　　处：《江南大学学报（自然科学版）》2014年第5期616-620,共5页Joural of Jiangnan University (Natural Science Edition)　

基　　金：国家自然科学基金项目(70901034);教育部人文社会科学规划项目(12YJA630007);中央高校基本科研业务费专项基金项目(JUSRP21101)

摘　　要：2010年和2012年的新股发行体制改革推动了新股市场化进程,使抑价率显著下降,但是创业板新股却频现破发现象。对价值变量中提取的主成分进行多元回归,以其拟合优度指标检验样本IPO发行价和首日收盘价对创业板新股内在价值的体现程度。在此基础上,引入以风险价值VaR为代表的市场风险变量。实证结果表明,市场风险应当纳入新股IPO的定价机制,以提高定价效率。A market-oriented process is promoted by the IPO reform carried out in 2010 and 2012,making the under pricing rate dropped,however,the Chinext IPOs break phenomenon began to occur. Does this mean the enhancement of the efficiency of the GEM IPO pricing？ Examine whether the IPO issue price and the market price reflect the intrinsic value through goodness of fit ,which results from variables of the value principal components regression model. Further more,for the first time apply market risk represented by VaR to the GEM IPO pricing. The empirical results show that VaR should be incorporated in the new IPO pricing mechanism in order to improve the pricing efficiency.

关 键 词：创业板 IPO首日破发 内在价值 市场风险 定价效率 

分 类 号：F830[经济管理—金融学]