机构投资者认购网络结构对公司IPO抑价的影响  

The Impact of Institutional Investors‘Subscription Network Structure on the Company’s IPO Underpricing

作　　者：杨慧[1] 顾云峰 樊雪迎 Yang Hui;Gu Yunfeng;Fan Xueying

机构地区：[1]西南财经大学金融学院,四川省成都市611130

出　　处：《南方经济》2023年第3期130-154,共25页South China Journal of Economics

摘　　要：文章选取2005—2020年沪深主板市场IPO网下配售数据,以共同获配的方式连接构建机构投资者网络和拟上市公司的认购网络,探索网络结构对IPO定价的影响。实证分析发现:认购网络密度对公司IPO抑价率存在显著负向影响;认购网络的平均中心性与偏差中心性均与IPO抑价率显著正相关。进一步分析影响机制发现:各机构投资者之间沟通交流越密切,报价的公允性越高,降低了IPO抑价程度;网络的平均中心性对机构投资者群体的议价能力有强解释力,平均中心性越高则议价能力越强,导致IPO抑价水平提升;在信息交流充分的情况下,网络的偏差中心性与响机构投资者内部的合谋压价行为显著正相关,进而对抑价水平产生正向影响。此外,当IPO市场热度较高时,机构投资者合谋压价动机减弱,中心性对IPO抑价的影响机制失去发挥作用的基础;在发行定价管制阶段存在高价剔除比例限制,中心性的机制发生改变;询价对象中QFII的比例越高,网络密度对IPO抑价率的抑制作用越强。Using the IPO offline allotment data of companies listed on the main board markets from 2005 to 2020,we build the network of institutional investors and the subscription network of the IPO company based on the common allocation.Then from the perspective of the inner structure,we explore how the structure characteristics of IPO company’s subscription net‐work affects the efficiency of IPO pricing.Particularly,we find that the density of subscription network is negatively and sig‐nificantly related to IPO underpricing,on which the centrality of the network has a significantly positive effect.Further empir‐ical analysis shows the specific mechanism:the closer the communication among institutional investors,the higher the fair‐ness of quotes,contributing the lower IPO underpricing;the average centrality has strong explanatory power on the bargain‐ing power of the institutional investors,and the higher average centrality leads to the stronger bargaining power,resulting in the higher underpricing;under the condition of sufficient information exchange,the deviant centrality is significantly and positively related to the possibility of collusion within institutional investors.Besides,in IPO hot issue markets,the incentive for institutional investors to collude in pushing down IPO prices diminishes and the function of centrality on IPO underpricing fails;the mechanism of centrality on IPO price suppression also changes when there is a restriction on the high price exclu‐sion ratio at the issue pricing control stage;participation of QDIIs strengthens the inhibition of network density on underpric‐ing rate.

关 键 词：IPO抑价 机构投资者 网络结构 

分 类 号：F832[经济管理—金融学]