交叉上市、知情交易与IPO定价效率  

Cross-listings, Informed Trading and IPO Pricing Efficiency

作　　者：胡志强[1] 庞一帆 HU Zhi-qiang;PANG Yi-fan(Economics and Management School, Wuhan University,Wuhan 430072,China)

机构地区：[1]武汉大学经济与管理学院

出　　处：《系统工程》2019年第5期117-129,共13页Systems Engineering

基　　金：国家自然科学基金资助项目(71471142)

摘　　要：本文以1993~2017年在沪深A股市场首发上市的公司为研究样本,实证检验了H+A双重上市与公司IPO定价之间的关系。文章以股价信息含量作为A股市场知情交易的测度,并用双边随机前沿模型对IPO定价效率加以分析,研究发现:H+A双重上市与IPO股价信息含量显著负相关,这表明H+A双重上市虽能促使公司信息披露质量提高,但该效应并不能完全抵消其所带来的"噪声信号"对IPO股价信息含量的负面影响;伴随H+A双重上市的较低股价信息含量进一步导致了IPO定价的低效率,即更严重的IPO价格泡沫。本文的研究对理解境外上市公司回归A股市场时的"炒新"、"打新"现象具有一定的启示。This paper investigates the impact of H+A cross-listing on IPO pricing using a sample of Chinese A-share market firms listed between 1993 and 2017. Taking stock price informativeness as a measure of informed trading, while analyzing IPO pricing efficiency by two-tier stochastic frontier analysis, the results show that IPO price informativeness correlates with H+A cross-listing negatively. Although H+A cross-listing can promote company to improve their disclosure of information, this positive affection can not completely offset its "noise" effect. The reduction of informativeness further leads to poorer IPO pricing efficiency, which means severer bubbles. Our study to some extent provides better understanding on the hot market when overseas listed firms choose to go public in the domestic market.

关 键 词：交叉上市 股价信息含量 IPO定价效率 双边随机前沿模型 

分 类 号：F832[经济管理—金融学]