摘要
本文考虑二级市场信息获利因素引发的询价机构在报价方面存在的道德风险,结合新股配给规则,通过理论和实证模型分析二级市场信息获利对询价机构报价行为的影响机制.理论模型表明二级市场信息获利使得询价机构存在未真实报价的道德风险,市场通过最大化高报价投资者申购份额的配售方式以减少未真实报价的道德风险,从而二级市场信息获利使得参与询价的机构投资者具有高报价倾向.在进一步的实证分析中,基于2010年10月到2018年6月在中国A股上市的1234家IPO公司的详细报价数据对理论模型进行检验,实证结论支持理论模型结论;进一步通过分类别、分行业、分阶段地研究,发现询价机构高报价倾向受二级市场信息获利的影响程度存在类别和行业差异.本文首次考虑二级市场信息获利这一诱发道德风险的因素对询价机构报价行为的影响,发现询价机构存在把信息留在桌子上的道德风险,同时为市场价高者得的配给规则提供了理论支撑,对政策改革具有重要启示.
This paper considers the moral hazard of the institutional investors caused by the informationbased profits in secondary market,and analyzes the mechanism of its influence on institutional investors’ quotes with the IPO allocation rules using theoretical and empirical models.The theoretical model shows that the information-based profits in secondary market make institutional investors bid inadequately.In order to reduce the moral hazard of the inadequate quotation,the market maxes the subscription share of institutional investors with high bidding price,resulting in a high tendency to overbid for institutional investors.In further empirical analysis,based on the detailed quotation data of 1234 IPO companies listed in China’s A-shares from October 2010 to June 2018,this paper analyzes the overbidding behavior of different type of institutional investors and the overbidding behavior in different industries and in different stages,showing that the tendency of overbidding is affected differently by the information-based profits in secondary market.This paper considers firstly the influence of the information-based profits in secondary market on the institutional investors’ quotes and finds that the institutional investors have the moral hazard of leave the information on the table.At the same time,this paper provides theoretical support for the highest principle.
作者
徐光鲁
马超群
蔡宗武
贾钰
XU Guanglu;MA Chaoqun;CAI Zongwu;JIA Yu(Business School,Hunan University,Changsha 410082,China;Department of Economics,University of Kansas,KS 66045,USA)
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2020年第4期817-830,共14页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(71431008,71850012.71631004)
国家社会科学基金(19AZD014)。
关键词
二级市场信息获利
知情交易概率
询价机构报价
高频数据
information-based profits in secondary market
the volume-synchronized probability of informed trading(VPIN)
institutional investors’bids
high frequency data
