IPO定价市场化时期的询价对象报价行为研究——基于中小板IPO询价簿记信息的证据  

The Study on Off-line Investors,Bidding Behavior in the Market-oriented IPO Pricing Period——Evidences Based on Small and Medium-size Board IPO Inquiry Bookkeeping Information

作　　者：尹自永[1,2] 王新宇[1] 崔益嘉[1] 

机构地区：[1]中国矿业大学管理学院,江苏徐州221116 [2]江苏建筑职业技术学院基础部,江苏徐州221116

出　　处：《山西财经大学学报》2015年第7期11-22,共12页Journal of Shanxi University of Finance and Economics

基　　金：国家自然科学基金项目(71071153);教育部新世纪优秀人才支持计划(NCET-12-0955);江苏省333高层次人才培养工程专项项目

摘　　要：基于中小板IPO询价薄记数据,从公开信息角度和询价对象整体层面,分多个维度研究了它们在IPO定价市场化时期的报价行为,并检验了其报价策略的合理性。结果表明,询价对象的报价水平、需求量、参与度、"搭便车"报价意愿显著与公司规模负相关,与询价前二级市场指数回报和前期已上市IPOs短期后市回报正相关,询价对象表现出小公司偏好和回报追逐行为;同时,它们也加强报价串谋以规避非理性竞价风险,但作用有限,受乐观情绪驱动的报价仍预示着IPO短期后市回报弱势。此外,当二级市场风险较大时,询价对象更热衷于"打新"。Based on the Inquiry Bookkeeping data of the Small and Medium-sized Board IPOs, the paper studies the bidding behavior of off-line Investors as a whole in the market - oriented IPO pricing period from the perspective of public information and five dimensions, and investigates the rationality of their bidding strategies . The results show that the off-line Investors＇ bidding price, demand,entry and willingness to free riding are negatively correlated with the IPO company size, but positively correlated with the stock index return and the short-term aftermarket return of listed IPOs before the offering. They exhibit small company preference and return-chasing behavior. Meanwhile, they strengthen bidding collusion to reduce the risk generated by irrational competition, but which offers limited protection, the bidding generated by optimism still predicts the IPO underperformance in the aftermarket. In addition, the off-line investors go in more for participating in the IPO book-build when the secondary stock market is extremely volatile.

关 键 词：IPO 询价对象 搭便车 竞价 串谋 

分 类 号：F830[经济管理—金融学]