询价制下股价信息含量对IPO定价效率的影响  

Effect of Stock Price Informativeness on IPO Pricing Efficiency Based on Book-building

作　　者：陶华飞[1] 

机构地区：[1]合肥工业大学经济学院,合肥230601

出　　处：《合肥工业大学学报（社会科学版）》2016年第5期34-40,共7页Journal of Hefei University of Technology(Social Sciences)

基　　金：国家社科基金年度项目(14BJY181)

摘　　要：文章对有询价对象参与询价制度下新股股价信息含量与新股定价效率的关系进行了实证分析。研究结果表明,股价信息含量与首日抑价率显著负相关,询价对象参与询价显著加强了两者之间的负向关系;对参与询价对象数目进行分组,发现股价信息含量与抑价率存在显著负相关关系,询价对象对两者之间的显著加强作用只有在高关注度组里才能体现,在低关注度组里关系并不显著。研究结论不仅对完善我国新股定价制度和询价机构制度具有一定的参考价值,也为讨论IPO定价效率提供了新的视角。An empirical analysis of the relationship between the stock price informativeness of new shares and IPO pricing efficiency under the inquiry system of the inquiry object is conducted. The re- suits show that the stock price informativeness and first-day underpricing rate is negatively related; inquiry object participating in the inquiry strengthens the negative relationship significantly. Through grouping the number of inquiry institutions, the significant negative relationship between the stock price informativeness and underpricing rate is found and the significant enhancement effect of inquiry object only can be reflected at high attention group. The study is valuable for the perfection of China＇s IPO pricing system and institutional investor system, and it also provides a new perspective for the re- search on IPO pricing efficiency.

关 键 词：股价信息含量 机构投资者 抑价率 

分 类 号：F832.5[经济管理—金融学]