中国资本市场新股IPO折价程度及原因探究

IPO Underpricing in China's Security Market:Degrees and Main Reasons

本文主要有两个目的:一是全面、细致刻画中国资本市场新股首次公开发行(Initial Public Offering,IPO)的折价程度;二是试图在中国特殊的制度背景下,对新股IPO首日超额收益产生的原因进行解释。为此,本文分别按照年度、行业、上市地点、上市周期对样本进行了分类,计算不同分类下的新股首日超额收益;同时本文认为,新股发行过程中监管部门对发行价格的限制,是导致中国资本市场新股首日超额收益产生的主要原因。

There are two objectives of this paper, the first is to describe thoroughly and deeply the degree of IPO Underpricing in Chinese security market, the second is to give correct reasons of this phenomenon, referring to the particular institutional background of China. To achieve these, we divide the sample according to issuing years, industries, locations, listing cycles, and calculate the abnormal return of each sub-sample. We believe that the primary reason of IPO Underpricing in China is the restriction of issuing price during listing process from the government.