摘要
本文以价值不确定性理论解释IPO定价管制对投资者"炒新"行为的影响,并以2006年6月-2012年2月的样本进行实证检验。结果发现,相对于定价市场化阶段,定价管制期间的IPO溢价(以首日收盘价减去估计的内在价值度量)显著更高。并且,新股上市前价值不确定性越大,定价管制对IPO溢价的影响越大;上市时二级市场投资者情绪越高,定价管制对IPO溢价的影响越大。上述发现都支持了价值不确定性理论对投资者"炒新"行为的解释。为增强结果的可靠性,我们使用双重差分模型控制时间序列上其他可能因素的影响,结论保持不变。本文的发现有助于理解新股定价管制的经济后果,并对注册制改革有重要启示。
This paper refers to the uncertainty theory to explain the influence of IPO pricing regulation on investors' speculation for new shares,and empirically tests this interpretation by using the sample from June 2006 to February 2012. The results show that,in pricing control stage,IPO overvaluation is significantly higher,with respect to that in market-oriented pricing stage. Moreover,the impact of IPO pricing regulation on IPO overvaluation is greater when uncertainty before IPO or investor sentiment is higher. What we find supports of uncertainty theory to explain investors' speculation. To enhance the reliability of our results,we use DID model to control the time series effects of other possible events. And the conclusion remains unchanged. These findings are helpful to understand the economic consequences of the IPO pricing regulation,and have important implications for the registration reform in China.
出处
《会计研究》
CSSCI
北大核心
2017年第1期61-67,共7页
Accounting Research
基金
国家自然科学基金项目(71502183)
教育部人文社会科学研究青年基金项目(14YJC790101)
北京市会计类专业群(改革试点)建设项目
中央财经大学第三批青年科研创新团队支持的资助
