中国特色IPO抑价的本质研究——发行制度

The Impact of China′s Issuing Policy on Measured IPO Initial Return

通过构建发行过程中的机会成本理论模型,提出机会成本与IPO抑价间存在正相关关系。利用统计和截面回归方法进行实证检验发现实证结果与理论相一致,进一步研究发现中签率是影响机会成本的最重要因素。原因分析发现我国与众不同的新股发行制度是造成机会成本的重要原因。该研究指出我国高IPO抑价的本质原因是发行制度,揭示出发行制度影响IPO抑价的作用机理,提出了新的IPO抑价计算模型。

A new theory model considering opportunity cost, which is fit to China＇s present situation, is set up in our study. It is found through the model that opportunity cost is directly related to IPO underpricing. The empirical study using statistic analysis and OLS shows its result is in accordance with the theory and the subscription rate is the most important factor influencing opportunity cost. Further analysis indicates that our issuing policy is the important cause that leads to the big opportunity cost. Our study demonstrates that the main cause of our high IPO underpricing is the issuing policy, and discloses the working process, by which the issuing policy influences the IPO underpricing. On the basis of that, a new model of calculating IPO is recommended.