基于Sai-GA-SVR的我国IPO制度与新股市场特征研究  

IPO policy and characteristics of China stock market using Sai-GA-SVR

作　　者：方匡南[1,2,3] 何纯[1] 王郁[1] 

机构地区：[1]厦门大学经济学院统计系,厦门361005 [2]教育部计量经济学重点实验室(厦门大学),厦门361005 [3]两岸关系和平发展协同创新中心,厦门361005

出　　处：《管理科学学报》2015年第4期98-110,共13页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71201139;71471152;71303200);国家社会科学基金资助项目(13CTJ001;13&ZD148)

摘　　要：针对"中国IPO高抑价之谜",提出了Sai-GA-SVR方法,从市场特征的角度来判断新股是抑价还是溢价,分析了我国1997年―2011年不同制度下的IPO市场特征.研究发现:审批制和价格管制导致了较为严重的抑价,但是随着市场化改革进程的不断推进,新股市场已表现出极大程度的溢价现象;询价制前的新股发行价格仅仅反映公司内在价值,不能反映IPO的市场供求关系与风险水平,同时过于依赖机构投资者的询价制扭曲了制度租金的公平分配.For the＂highly underpriced Chinese IPO puzzle＂,we propose Sai-GA-SVR method to judge whether the new issues are underpriced or overpriced from market characteristics. We analyze the IPO market characteristics under different policies in China,and the empirical results suggest that pricing regulations are the major cause of the underpricing,while the following reform brings severe IPO bubbles to the A-share market.Though the book-building system has alleviated the severity of underpricing,the overwhelming superiority of the institutional investors compels the private investors to speculate from hot issues,as a result of ineffective rent allocation.

关 键 词：新股首日收益率 支持向量机 IPO政策 

分 类 号：F832[经济管理—金融学]