摘要
本文将“IPO抑价”分解为三个部分，分别为一级市场的刻意压价、二级市场的异常需求和供给刚性引起的定价偏差。基于双边随机前沿模型的实证分析结果显示，新股的发行价格和交易价格的确分别受到一级市场刻意压价和二级市场供给刚性的影响，并且长期市场氛围、行业周期性、发行制度和短期市场气氛等因素都在不同程度上影响价格决定中的抬价力量和压价力量。进一步计算影响IPO抑价三个因素的平均贡献比例发现，二级市场的异常需求是我国IPO抑价长期居高不下的最主要影响因素。
In this paper,we divided the "IPO underpricing"into three parts of pricing deviation which were respectively caused by underpricing in the issue market and abnormal demand as well as supply rigidity in the trading market.The subsequent empirical analysis using the Twotier Stochastic Model showed that the offering price and the trading price of new shares had been influenced respectively by the underpricing in the issue market and supply rigidity in the trading market.What’s more,the long-term market atmosphere,industry periodicity,issue system and short-term market sentiment would play some roles in the price determination.We further calculated the average contribution ratio of the three factors which influenced IPO underpricing.The result showed that the abnormal demand of the trading market was the most important factor to the IPO underpricing.
出处
《金融学季刊》
CSSCI
2018年第2期22-52,共31页
Quarterly Journal of Finance
基金
国家自然科学基金资助项目:利率市场化下的系统性风险与宏观审慎监管(71473092)
