摘要
IPO抑价来源于承销商托市的假说在成熟资本市场上得到了实证检验的支持,部分学者的研究表明,在中国IPO市场上同样存在承销商托市行为。本文通过对沪市1996—2004年间发行的651只A股IPO进行收益分布检验,发现IPO上市后前6日的收益分布出现了显著负偏现象,从而否定了中国IPO市场上存在承销商托市行为。进一步对锁定和非锁定样本的对比分析表明,负偏现象是由机构投资者的抛售行为引起的,锁定期限制减轻了IPO上市之初的价格波动。
The theory that IPO underpricing is due to the underwriters＇ price support was supported by some empirical tests in maturity security markets, Some Researchers believe that the same theory adapts to Chinese market too, By testing the revenue distribution of 651 IPOs listed in Shanghai A share markets from 1996 to 2004, we find that the distribution skews to Deft significantly during the first six trading days. So the underwriters＇ price support is denied, Furthermore, by comparing the lockup and non- lookup samples, we believe that the left - skewness is conducted by institutional investors＇ flipper and the regulation ＇about lookup easing the fluctuation of IPO trading price.
出处
《财经科学》
CSSCI
北大核心
2007年第1期105-111,共7页
Finance & Economics
基金
国家自然科学基金:<基于核准制下的IPOs抑价
长期弱势与定价研究>(70473107)
