基于非有效市场的A股IPO价格行为分析

The Pricing Behavior of A-share IPO in Inefficient Market

IPO抑价和长期弱势表现一直有争议,而关于A股IPO价格行为的观点也众说纷纭,其原因在于研究框架、实证模型和样本选择上的局限。本文通过克服这些局限,对A股IPO价格行为做出系统描述和基于非有效市场的解释。本文发现,A股IPO后市异常收益确实存在,IPO上市时二级市场并非有效,二级市场的乐观情绪和新股投机成为决定IPO抑价和整个价格行为的主要因素,而有效市场假说和非对称信息理论基本上不适合用来解释A股IPO价格行为。

While underpricing and long-run underperformance are long argued anomalies within the price behavior of IPOs, the conclusions about A-share IPOs are especially mixed, which is mainly due to limitations with the research framework, empirical modeling and sample selection. By avoiding those limitations, the paper makes a systematic description and an inefficient-market-based explanation of the price behavior of A-share IPOs. The findings suggest that abnormal after-market returns exist and the secondary market is inefficient when IPOs are listed, and that the investors＇ optimism and speculations on new issues are main drivers of A-share IPOs＇ underpricing and the whole price behavior. Those theories based on EMH and information asymmetry can hardly be applied to explain the price behavior of A-share IPOs.