基于“簿记”理论的我国IPO抑价实证研究

The Empirical Study on IPO Underpricing of China Using Book-Building Theory

利用我国询价发行的新股数据,从新股的价格行为特征入手,借助“簿记”理论,可研究我国累积投标询价方式发行新股的IPO抑价现象。研究结果表明:我国询价制度在收集发行前新股信息方面是有效的,但有效性受制度限制而低于国外;IPO抑价是对揭示真实信息投资者的一种价格补偿;由于数量补偿机制受限,导致IPO抑价高于国外。

Using the data of newly - issued stocks in the Chinese security market, the phenomenon of IPO underpricing of newly - issued stocks is analyzed according to book - building theory. The findings show that： first, book - building method of new issues in our country can collect ex - ante information efficiently, but because of the limits of the related statute, its efficiency is lower than that of foreign advanced security markets; second, IPO underpricing is a kind of compensation, in the form of low offer price, for investors who disclose their private information in the pre - issue market, but because are amount compensation can not work well, the rate of IPO underpricing is much more higher than that of foreign advanced security market.