新股收益、长期表现与股票市场质量:不败新股的长期弱势现象研究  

New Stock Return,Long-term Performance and Stock Market Quality:An Analysis on the Long-term Underperformance of Unbeatable IPOs

作　　者：方先明[1] 张若璇 FANG Xian-ming;ZHANG Ruo-xuan(School of Economics of Nanjing University,Nanjing 210093,China)

机构地区：[1]南京大学经济学院

出　　处：《中国工业经济》2020年第12期64-82,共19页China Industrial Economics

基　　金：江苏省高校哲学社会科学研究重大项目“错配视角下江苏金融支持经济增长研究”(批准号2020SJZDA049)。

摘　　要：不败新股的长期弱势表现严重制约了资本市场的融资效率,已成为中国股票市场的顽疾。基于新股抑价发行的惯例和上市首日涨幅受限的政策背景,本文构建不败新股的“赢者”变量,分析“赢者”对长期弱势表现的贡献,并探究“赢者诅咒”现象的强化机制。研究发现:“赢者诅咒”现象确实存在于中国股票市场中,表现为新股一级市场发行抑价、二级市场上市未打开涨停板期间累积收益与开板后短期累积收益均对其长期弱势表现有显著贡献。进一步研究发现,“赢者诅咒”现象存在着由一级市场向二级市场传导、强化的机制:高抑价发行形成的收益强化了新股上市初期的连续涨停现象,当新股打开涨停板开始大量交易后,过度乐观投资者的交易行为引致股价进一步上涨,使得新股成色褪去时其“弱势”表现更为凸显。异质性分析表明,当公司上市后业绩下滑、投资者情绪较为乐观、投资者结构以中小投资者为主、发行受到定价管制和新股申购无需预缴款时,“赢者诅咒”现象更为显著。本文从深化新股发行制度、缓解市场供需失衡和完善新股上市交易规则三方面提出了相应的政策建议。The long-run underperformance of IPOs that always achieve high initial returns has severely restricted the financing efficiency of the capital market,and has become a chronic disease in the Chinese stock market.Based on the practice of underpricing and the first-day transaction price regulation policy in China,this article constructs the“winner”variables of IPOs,analyzes the contribution of“winners”to the long-run underperformance,and the strengthening mechanism of“winner’s curse”phenomenon.The results show that:the“winner’s curse”phenomenon does exist in China’s stock market.The“winner”variables of IPOs including the underpricing of new stocks in the primary market,the cumulative returns during the period when stock is listed without breaking the daily raising limit and the short-run cumulative returns after breaking the daily raising limit make a significant contribution to the long-run underperformance.Further research finds that the“winner’s curse”phenomenon has a strengthening mechanism which transmits from the primary market to the secondary market:The returns from high underpricing issuance of new stocks strengthen the phenomenon that the stock prices continuously reach the daily raising limit in the initial stage.When the new stocks break the daily raising limit and begin to be traded in large quantities,the excessive optimistic investors’trading behavior leads to the further rise of the stock prices,which makes the underperformance become more significant when the glories of the new stocks fade.The heterogeneity analysis shows that when the company’s performance declines after listing,investor sentiment is more optimistic,the investor structure is based on small and medium investors,the pricing procedure is controlled strictly,and the advance payment is cancelled,the“winner’s curse”is even more significant.This article puts forward policy recommendations from three aspects that including deepening the new stock issuance system,alleviating the imbalance in market

关 键 词：新股收益 长期表现 赢者诅咒 强化机制 

分 类 号：F124[经济管理—世界经济]