核准制下投资者行为偏差和中国IPO抑价实证研究

Investor Behavior Bias and an Empirical Study of the Chinese IPO Underpricing under the Checking System

利用行为金融学中投资者行为偏差的观点,对核准制下中国的IPO抑价进行了实证研究。以实行该制度后到股权分置改革前发行并上市的股票为样本,使用Newey—West提出的异方差和自相关一致协方差回归方法,对影响IPO抑价的行为偏差因素进行了实证分析,得出投资者行为偏差是引起中国IPO抑价的结论。

This paper makes an empirical study of the Chinese IPO underpricing under the checking system by employing the viewpoint of the investor behavior bias in the behavior finance. The sample of the new shares in both Shanghai and Shenzhen stock market is from the checking system implemented to the equity separate being reformed before and analyzes empirically the behavior bias factors in IPO underpricing by using OLS and adjusts for serial correlation of the error term using the heteroskedasticity and autocorrelation consistent covariances developed by Newey and West. And we conclude that the investor behavior bias leads to the Chinese IPO underpricing.