基于随机边界定价模型的新股短期收益研究  

Empirical study of excess returns in Chinese initial public offerings: Stochastic frontier model

作　　者：白仲光[1] 张维[1] 

机构地区：[1]天津大学管理学院

出　　处：《管理科学学报》2003年第1期51-59,67,共10页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(79790130);天津自然科学基金资助项目(023600411).

摘　　要：应用随机边界模型实证检验了中国新股市场发行定价与新股上市后的市场定价是否存在定价过高或过低的现象.研究发现中国新股发行定价不存在类似于国外市场发现的随机上边界,相反从新股发行定价的统计分布上却可以得出存在着显著的下边界的现象;并且研究发现这种偏离程度对后市回报有一定的解释力;同时发现了新股上市后市场定价同样存在显著的下边界,显示有部分新股上市后被市场高估.Based on a stochastic frontier model, it is empirically examed in this paper whether there is deliberate underprising or overpricing in the Initial Public Offerings of Chinese stock markets. The results show that these IPOs are not underpriced as overseas. Contrarily, the lower frontier was found in Chinese IPOs pricing, showing that there is overpricing in Chinese stock market.By applying the stochastic frontier model and the first day's closing price of IPOs, we find that the IPOs is always overvalued by market in China. 

关 键 词：随机边界定价模型 短期收益 新股发行 发行抑价 股票市场 发行定价 市场定价 

分 类 号：F832.5[经济管理—金融学] F224.0