券商声誉会影响科创板IPO抑价吗?——基于折价与溢价效应的实证研究  

Will the reputation of securities brokers affect the IPO underpricing of Sci-tech Innovation Board?——An empirical study based on discount or premium effect

作　　者：李攀艺 赵余声 曹奥臣 胡丹 LI Panyi;ZHAO Yusheng;CAO Aochen;HU Dan(School of Economics and Finance,Chongqing University of Technology,Chongqing 400054,China;School of Economics,Central University of Finance and Economics,Beijing 102206,China)

机构地区：[1]重庆理工大学经济金融学院,重庆400054 [2]中央财经大学经济学院,北京102206

出　　处：《重庆理工大学学报（社会科学）》2022年第11期85-96,共12页Journal of Chongqing University of Technology（Social Science）

基　　金：重庆市研究生科研创新项目“中介机构声誉对科创板IPO抑价的影响”(Szr19327)。

摘　　要：从券商声誉视角探索科创板公司IPO抑价的成因。采用分析师预测法将IPO抑价率分解成一级市场IPO折价率和二级市场IPO反应率,剖析券商声誉对IPO抑价的内在影响机制。结果显示,券商声誉对一级市场IPO折价率作用效果不显著,对二级市场IPO反应率则存在显著正向作用。剔除市场波动影响、增添C-M声誉排名指标、分时段估计分析师预测结果后,结论依然稳健。这表明券商声誉并未有效发挥信息披露和认证中介功能,反而激发了市场投资者的有限理性行为。建议构建券商声誉正向排名和逆向声誉损失测度相结合的双向测评机制;同时从强化科创板公司信息披露质量、理性投资者培育等方面构建噪声过滤机制。Sci-tech Innovation Board was officially opened for trading on July 22,2019,which became a symbol of a comprehensive deepening of reform in China’s capital market.It is worth noting that,with a more market-oriented pricing mechanism for new share issuance,the average excess return on the first day,the first week and the first month of the first year of the opening of Sci-tech Innovation Board reached 115.07%,102.97%and 108.10%respectively,with a high level of IPO discount rate.At the exploratory stage of the key system reform of Sci-tech Innovation Board,exploring the reasons for the IPO underpricing of Sci-tech Innovation Board is of great practical significance for further improving the market-oriented pricing mechanism and giving better play to the role of the“pilot field”of China’s capital market reform of Sci-tech Innovation Board.This paper explores the causes of the IPO underpricing of Sci-tech Innovation Board companies from the perspective of reputation of securities brokers.The IPO underpricing rate is composed of the IPO discount rate both in the primary market and the secondary market,and the internal influencing mechanism of securities firm reputation on discount rate and reaction rate are analyzed by applying information asymmetry theory and behavioral finance theory respectively.Theoretical analysis shows that the participation of securities firms in the primary market and the use of information disclosure and certification supervision can improve the IPO pricing efficiency,while the introduction of the registration system of Sci-tech Innovation Board further improves the external environment of the traditional reputation mechanism and the efficiency of the reputation mechanism on the IPO discount.At the same time,the investment tracking system of Sci-tech Innovation Board restricts the short-term opportunistic behaviors of securities companies by drafting incentive contracts for risk sharing.Therefore,on the whole,the reputation of securities companies has a significant negative effect on

关 键 词：券商声誉 科创板 IPO抑价 分析师预测法 

分 类 号：F832.5[经济管理—金融学]