中国老股转让制度提高还是降低了IPO定价效率?——基于投资者行为下的理论与实证分析框架  

China's old stock transfer system to improve or reduce the IPO pricing efficiency?——Based on theoretical and empirical analysis framework under the investors’behavior

作　　者：张小成 袁桥桥 邹勇 邓杨 ZHANG Xiaocheng;YUAN Qiaoqiao;ZOU yong;DENG yang(School of Business,Guilin University of Technology,Guilin 541004,China)

机构地区：[1]桂林理工大学商学院,广西桂林541004

出　　处：《管理工程学报》2020年第2期95-104,共10页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71361005)。

摘　　要：在假定投资者存在私人信息的情况下,以投资者行为为研究视角,构建了老股转让前后IPO定、抑价模型,研究了老股转让前后投资者行为对IPO定价效率的影响,并进行了比较分析。理论模型和数值分析表明:在两种不同的制度下,散户投资者越乐观,IPO定价效率越低,且散户和机构投资者之间的分歧越大,IPO定价效率也越低;在投资者情绪相同的情况下,老股转让制度降低了IPO抑价,具有更高的定价效率;然而,当老股转让后投资者之间的分歧大于老股转让前分歧时,则可能导致老股转让后的IPO抑价高于老股转让前的IPO抑价,即老股转让后的IPO抑价更高,IPO定价效率更低。论文以我国2009-2012以及2014年IPO数据进行实证研究,初步统计发现,老股转让后的IPO抑价明显高于老股转让前IPO抑价,得到与理论模型恰好相反的结论;实证分析结果表明,老股转让后投资者情绪对IPO抑价影响明显大于老股转让前的,也就是说,由于老股转让制度反而提高了我国投资者的乐观情绪,从而导致了与理论模型预期恰好相反的结果。因此,加强投资者理性培养对于我国IPO市场化改革的成败至关重要。In recent years,based on the experience of mature capital markets such as Hong Kong and the United States,China's supervisory authorities have successively introduced policies such as IPO super-financing and transfer of old stocks,with a view to further improving China's IPO inquiry issuance mechanism.However,in the practice of IPOs in China,there have been IPO phenomena such as“three-highs”,“cashing-in old stock”,“skyrocketing and plummeting”and“high underpricing”.Not only are these phenomena far beyond the expectations of stock regulatory authorities,they have also led many parties to question the direction of China's IPO inquiry marketization reform.Doubts from external sources have also made China's IPO reform a major issue for academic research and discussion.At present,scholars have yet to explore the effectiveness of China's old stock transfer system from the perspective of theory and evidence.Theoretical and empirical interpretation of IPO pricing efficiency under China's old system will not only help in identifying the existing problems of China's market-oriented reforms,but will also bear important guiding significance for China's next IPO marketization reform.Combining the research methods of behavioral finance and information asymmetry,this paper constructs the IPO pricing and underpricing models before and after the transfer of old stocks,and uses Matlab software to carry out numerical analysis.Based on the empirical analysis of China's 2009-2012 and 2014 IPO data,this paper analyzes the influence of investor behavior on IPO pricing efficiency before and after the transfer of old stocks,and discusses the mechanism of action between investor behaviors,changes in the old stock transfer system,and IPO pricing efficiency.First,based on the assumption that there is private information not disclosed among investors,the CARA model is used to construct the investor expectation utility function,and in combination with changes in the mechanism before and after the transfer of old stocks in Chin

关 键 词：老股转让 制度变迁 IPO 定价效率 

分 类 号：F830[经济管理—金融学]