IPO首日超额收益:基于抑价和溢价的研究综述

IPO's Abnormal Initial Return: a Review of Under-pricing and Overvaluation

从一级市场抑价和二级市场溢价两个角度对IPO首日超额收益的相关研究进行了综述,并为我国IPO首日超额收益提供了新的解释。基于信息不对称,一级市场抑价解释认为IPO首日超额收益是发行抑价的结果,是对投资者面临的风险或者提供私有信息的补偿;在对称信息下,抑价是股权选择的一种均衡机制,也是发行人和投资者行为偏差的影响结果;基于行为金融,二级市场溢价解释认为噪声交易者的存在使IPO上市首日交易价格偏离了内在价值,产生了二级市场溢价。

This paper reviews the literature on IPO＇ s abnormal initial return （AIR） from the perspective of under-pricing in the primary market and overvaluation in the secondary market and gives a different explanation about China＇ s IPO＇ s AIR. Given asymmetric information, it is believed that China＇ s IPO＇ s AIR results from underpricing, which may compensate for the risk facing investors. Given symmetric information, under-pricing is a balanced mechanism for equity holding as well as the outcome of stock issuers and investors with behavior biases. Based on the theory of behavior finance, AIR also resuhs from overvaluation, believing that ＂ noise dealers＂ drive the first-day trading price high beyond the intrinsic value of IPO＇ s.