券商跟投意愿、询价制调整与IPO定价偏误——来自中国科创板市场的经验证据  

Securities Traders Willingness to Follow-up Investment,Book-building Adjustment and IPO Pricing Errors:Empirical Evidences from STAR Market

作　　者：曹奥臣 张铁刚[1] CAO Ao-chen;ZHANG Tie-gang

机构地区：[1]中央财经大学经济学院

出　　处：《中央财经大学学报》2022年第12期27-43,共17页Journal of Central University of Finance & Economics

基　　金：中央财经大学第二期“科教融合研究生学术新星孵化计划”项目“券商跟投意愿与IPO系列问题:新股定价、中长期表现与解禁效应”(项目编号:202221)。

摘　　要：本文以科创板跟投制度和9.18询价新规为背景,选取2019年7月22日至2022年5月1日上市的420家科创板公司为研究样本,实证检验了券商跟投意愿、询价制调整与IPO定价偏误三者之间的关系。结果显示,券商跟投意愿对承销保荐公司的IPO定价偏误具有显著的抑制效果。科创板询价制调整同样起到了抑制IPO定价偏误的效果,并且对券商跟投意愿与IPO定价偏误的关系具有显著的调节作用,该调整强化了券商跟投意愿对IPO定价偏误的抑制效果。鉴于规定跟投数额对跟投意愿存在直接影响,本文按照规定跟投比例开展异质性分析,结果显示,5%的规定跟投组中券商跟投意愿的信号作用最佳。建议通过区间化跟投强化券商跟投意愿的信号作用,将询价制中最高报价剔除比例由“不超过3%”明确为“1%左右”。Based on the follow-up investment in STAT market and the new book-building regulation,this paper selects 420 companies listed on STAT market from July 22,2019 to May 1,2022 as the research sample,empirically tests the relationship between securities firms willingness to invest,Book-Building adjustment and IPO pricing errors.The results show that the willingness of securities traders to follow investment has significant restraining effect on IPO pricing errors of underwriting sponsor companies.The book-building adjustment of STAT market also plays an important role in restraining IPO pricing errors,and has a significant moderating effect on the relationship between securities dealers willingness to invest and IPO pricing errors.This adjustment strengthens the restraining effect of securities dealers willingness to invest on IPO pricing errors.In view of the direct influence of prescribed shadowing amount on shadowing intention,heterogeneity analysis is carried out according to the prescribed shadowing ratio in this paper.The results show that the signal of shadowing intention of brokers in the 5%shadowing group has the best effect.It is suggested to strengthen the signal function of securities firms willingness of follow-up investment through interval following investment,and to clear the proportion of the highest quotation in book-building system from“no more than 3%”to“about 1%”.

关 键 词：科创板市场 跟投制度 询价制调整 IPO定价偏误 

分 类 号：F832.5[经济管理—金融学]