投资者情绪、承销商行为与IPO定价——基于网下机构询价数据的实证分析  

Investor Sentiment,Underwriters' Behaviour and IPO Pricing——Empirical Analysis from Off-line Institutional Investors' Bids

作　　者：宋顺林[1] 唐斯圆 

机构地区：[1]中央财经大学会计学院,100081 [2]清华大学经济与管理学院,100084

出　　处：《会计研究》2016年第2期66-72,96,共7页Accounting Research

基　　金：国家自然科学基金项目(71502183);教育部人文社会科学研究青年基金项目(14YJC790101);北京市教育委员会共建项目;北京市会计类专业群(改革试点)建设项目的资助

摘　　要：本文基于380家IPO公司机构投资者报价的详细数据,研究了投资者情绪及承销商在IPO定价过程中的作用。研究发现,投资者情绪越高,询价阶段的机构投资者报价越高。总体上,承销商在机构报价的基础上进一步上调了发行价,但其上调幅度与投资者情绪无显著关系,而与机构报价相对公司内在价值的高低显著负相关。此外,投资者情绪与IPO抑价(以内在价值减发行价度量)显著负相关、与IPO溢价和IPO首日回报率显著正相关。本文丰富了IPO定价的相关文献,并对市场化定价阶段的新股定价监管策略有重要启示。Using bid data of institutional investors from 380 Chinese IPO firms,this paper examines the roles of investor sentiment and underwriters in the IPO pricing process.The results show that the higher the investor sentiment,the higher the bids that institutional investors will offer.Underwriters will raise the issue price based on the bid price.Although the increased issue price is not related to investor sentiment,it has a significant negative correlation with the gap between the bids and the intrinsic value.We also find that investor sentiment is correlated with IPO underpricing negatively and IPO overvaluation and first-day returnspositively.These findings add to the IPO pricing literature and have important implications for reforms of IPO pricing.

关 键 词：投资者情绪 承销商行为 IPO定价 

分 类 号：F832.51[经济管理—金融学] F275