中国H股市场IPO抑价现象实证研究

An Empirical Study on the Initial Public Offering Underpricing in China H-Shares Market

文章通过多元回归模型考察了H股IPO抑价的影响因素。研究发现,H股IPO抑价程度受以下三个因素的显著影响:一级市场超额认购倍数、二级市场的市场收益率以及公司绩效。其中一级市场的超额认购倍数的影响力最大,体现了H股IPO市场化的特征。文章的结论还表明,逆向选择理论与信号传递模型在H股市场上有一定的适用性。

This paper uses multivariate regression model to investigate the IPO underpricing in the H-shares market. The research shows that the underpricing of H-shares significantly and positively relates to： the oversubscription rate in issuing market, the accumulative return of market index and the performances of the companies. Among them the first factor has the strongest influence on the initial ruturns. Our study also finds that adverse-selection theory and signal-transferring model can be used to explain IPO underpricing in H-shares market.