首发新股的中签率、逆向选择和初始收益

Allocation Rate,Adverse Selection and Initial Return in IPOs

运用1999-2003年来自上海证券交易所的267只A股首次公开发行股票(IPOs)数据实证考察了Rock模型。与Rock(1986)的逆向选择理论一致,中签率与初始收益负相关。虽然平均初始收益为130.63%,但无信息投资者获得了接近于0的初始收益0.265%。无信息投资者获得的初始收益不仅受到发行前就已知的市场收益的影响,而且受到二级市场换手率的影响。文章发现:二级配售这种发行方式阻碍了逆向选择现象的出现。

We examine empirically Rock＇ s（1986） theory using data of 267 A- share initial public offerings（IPOs） in Shanghai from January 1,1999 through December 31,2003. Consistent with Rock＇ s（1986） theory of adverse selection, the allocation rate was negatively related to initial return. Uninformed investors earned an initial return of 0. 265 % that approachs to 0, although the average initial return is 130.63% .The initial return earned by uninformed iuvestors was affected not only by publicly known pre - IPO market return but also by the turnover rate of stock transactions in the first day of trading. We find that the way of allocating IPOs by secondary market vah, e of subser;bers is against occurrence of adverse selection.