摘要
以2010年-2012年在中小板和创业板上市新股为样本,运用OLS法研究询价制改革后机构投资者报价策略。实证发现机构投资者为最大化申购新股收益,在询价时压低报价,并根据承销商潜在的拔高定价行为加大压低幅度。锁定期取消后,询价竞争加剧并抑制了机构投资者合谋压价行为,其报价策略对网下申购新股收益率及新股后市表现的影响减小。研究认为新股发行价格畸高主要源于核准制下新股的供不应求,使机构投资者估值在考虑市场的非理性后仍处于较高水平。
Based on the data of companies listed on small and medium enterprise board and growth enterprises Market, this paper studies the bidding strategies of institutional investors after the first and second phase of book-building reform by using the OLS method. The results show that institutional investors tend to hold down their bid prices in order to maximize revenues. Mean- while, since underwriters have the actual pricing power after the reform, institutional investors ad- just their bidding strategies according to underwriters＇ possible pricing behavior by analyzing their valuation. Besides, the cancellation of lock-up period increases the competition among institution- al investors and therefore reduces the level of bid-price depression as well as the influences that institutional investors exert on IPO returns. And what makes the IPO price level still remains high level is institutional investors＇ exorbitant valuation pushed up by the irrational enthusiasm in the market.
出处
《科学决策》
CSSCI
2016年第11期1-1,2-17,共17页
Scientific Decision Making
基金
国家自然科学基金项目"多主体交互作用下基于随机微分博弈的IPO决策机理研究"(项目编号:71471142)
国家自然科学基金项目"基于在线机器学习的组合算法交易策略研究"(项目编号:71401128)
教育部哲学社会科学重大课题攻关项目"欧美国家债务危机对我国的影响及对策研究"(项目编号:12JZD029)
武汉大学自主科研项目(人文社会科学)"人民币国际化及其风险管理"的阶段性成果
中央高校基本科研业务费专项资金资助
关键词
询价制
机构投资者
报价策略
book-building mechanism, institutional investors, bidding strategies
