基于随机前沿生产模型的IPO抑价分解与滞后效应研究  

Study of IPO Under-pricing Decomposition Based on Stochastic Frontier Production Model and Its Lag Effect

作　　者：胡志强[1] 赵美娟[1] 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《北京工商大学学报（社会科学版）》2015年第4期70-77,共8页JOURNAL OF BEIJING TECHNOLOGY AND BUSINESS UNIVERSITY:SOCIAL SCIENCES

基　　金：国家自然科学基金项目"多主体交互作用下基于随机微分博弈的IPO决策机理研究"(71471142);教育部哲学社会科学研究重大攻关项目"欧美国家债务危机对我国的影响及对策研究"(12JZD029);武汉大学自主科研项目(人文社会科学)"人民币国际化及其风险管理研究"(09ZZKY003)

摘　　要：为了探究我国A股市场IPO抑价现象的原因,在随机前沿生产模型的基础上对IPO抑价进行了分解,得到IPO发行价格的边界值。实证结果表明,IPO定价效率为99.14%,证实了样本期间的发行人故意抑价行为,但并不显著。进一步对二级市场进行研究,构建得到GARCH(1,1)是IPO首日抑价率的最优拟合,证实了新股抑价滞后效应的存在性。最后,根据新股发行改革时间点划分样本区间,得到了滞后性逐渐减弱的实证结论,这对IPO发行制度向市场化的注册制改革方向提供了支持。In order to explore the reason for IPO under-priclng in China~ A share market, this paper decomposed IPO un- der-pricing on the basis of stochastic frontier production model and got the boundary value of the IPO price. The empirical re- search findings show that the IPO pricing efficiency is 99.14% , which proves the existenee of the deliberately under-pricing be- havior by issuer during the samples, but such behaviors are not obvious. Then the research studied the secondary market, and found that the GARCH（ 1,1 ） is the optimal fitting of the first day IPO underpricing rate, and proved the existence of the lag effect of new share under-pricing. Finally, this paper divided the sample intervals based on time for reforming the issue of new share and found the lag effect had become gradually weaker, which supports the reform of IPO issuing system in the direction of market-driven registration system.

关 键 词：IPO抑价 随机前沿生产模型 滞后效应 GARCH模型 

分 类 号：F224[经济管理—国民经济] F830.91