本文關(guān)鍵詞： 有意抑價(jià) 管制溢價(jià) 二級(jí)市場(chǎng)溢價(jià) 雙邊隨機(jī)邊界模型　出處：《山西財(cái)經(jīng)大學(xué)學(xué)報(bào)》2012年04期 　論文類(lèi)型：期刊論文

【摘要】：以IPO核準(zhǔn)—詢(xún)價(jià)制度為切入點(diǎn),構(gòu)建了IPO供需分析框架,并引入雙邊隨機(jī)邊界模型對(duì)IPO詢(xún)價(jià)效率進(jìn)行了定量估算,在此基礎(chǔ)上對(duì)影響中國(guó)IPO超額抑價(jià)的各種因素進(jìn)行了結(jié)構(gòu)分解與再檢驗(yàn)。結(jié)果表明,發(fā)行人、承銷(xiāo)商和機(jī)構(gòu)投資者等多方博弈的結(jié)果使得我國(guó)IPO整體上表現(xiàn)為發(fā)行抑價(jià),但實(shí)際抑價(jià)水平僅為12.9%,這一結(jié)果支持了定價(jià)效率觀,而并不符合租金分配觀。同時(shí),政府管制溢價(jià)和二級(jí)市場(chǎng)溢價(jià)分別使得IPO新股高出其發(fā)行價(jià)格的55.6%和2.6%。實(shí)證結(jié)果不僅支持了供給管制假說(shuō),還表明股票定價(jià)的市場(chǎng)化必須以供給市場(chǎng)化為前提,只有在此基礎(chǔ)上,供需雙方才能通過(guò)直接交易和博弈機(jī)制形成真正的市場(chǎng)化定價(jià)。
[Abstract]:Based on the system of IPO approval and inquiry, the IPO supply and demand analysis framework is constructed, and the bilateral stochastic boundary model is introduced to quantitatively estimate the efficiency of IPO inquiry. On this basis, the structural decomposition and re-examination of various factors affecting the excess underpricing of IPO in China are carried out. The results show that the issuers, underwriters and institutional investors have the result of multi-game games, which make our IPO underpricing as a whole. However, the actual underpricing level is only 12.9%, which supports the pricing efficiency view and does not conform to the rent distribution view. The government regulation premium and the secondary market premium make IPO new shares higher than their issuing prices by 55.6% and 2.6 respectively. The empirical results not only support the hypothesis of supply regulation, but also show that the marketization of stock pricing must be based on supply marketization. Only on this basis can the supply and demand sides form the real market-oriented pricing through direct transaction and game mechanism.
【作者單位】： 重慶大學(xué)經(jīng)濟(jì)與工商管理學(xué)院;
【基金】：教育部人文社會(huì)科學(xué)研究西部和邊疆地區(qū)規(guī)劃基金項(xiàng)目(10XJA630003) 中央高�；究蒲袠I(yè)務(wù)費(fèi)項(xiàng)目(CDJSK 100204)
【分類(lèi)號(hào)】：F224;F832.51
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本文編號(hào)：1540082