我国A股市场破发新股定价效率的测度——基于随机前沿分析的研究  

The Measure of Pricing Efficiency of IPO in Chinese A Stock Market——Based on Stochastic Frontier Analysis

作　　者：李文静[1] 干胜道 LI Wenjing;GAN Shengdao(School of Business,Gannan Normal University,Ganzhou 341000,China;School of Business,Sichuan University,Chengdu 610065,China)

机构地区：[1]赣南师范大学商学院,江西赣州341000 [2]四川大学商学院,成都610065

出　　处：《赣南师范大学学报》2020年第1期135-140,共6页Journal of Gannan Normal University

基　　金：国家社科基金(13BJY015)。

摘　　要：自2009年以来中国A股市场新股不断遭遇破发,严重影响了资本的有效配置。运用随机前沿分析和相对权重法,分析了A股市场新股的定价效率及其影响因素,并对影响定价效率损失的各因素的贡献度进行了估计。结果表明,新股定价中均存在一定程度的故意压价,那么仅从一级市场上看,破发新股并不存在定价过高的现象,甚至存在一定的效率损失。在导致效率损失的各影响因素中,发行市盈率、每股收益、中签率以及首日流通股比例对新股定价效率损失的影响最大。Constant breaking occurs on the new shares issued in Chinese A stock market since 2009,which affected the effective allocation of capital seriously.By the stochastic frontier analysis and relative weight method,we analyze the pricing efficiency and the influencing factors of IPO and estimate the relative importance of those factors that affect the efficiency losses of IPO pricing.The empirical results show that there is a certain degree of deliberate price reduction in the pricing of new shares,so only in the primary market,there is no over-pricing phenomenon in the initial issue of new shares,and even there is a certain loss of efficiency.Among the factors that lead to the loss of efficiency,the issue price-earnings ratio,earnings per share,winning rate and the proportion of tradable shares on the first day account most for the pricing losses.

关 键 词：破发新股 定价效率 随机前沿分析 相对权重法 

分 类 号：F832.5[经济管理—金融学]