中国股市IPO抑价与上市公司内在价值关系——基于分位数回归的实证研究

The Relationship between IPO Underpricing in China's Stock Market and the Intrinsic Value of the Listed Companies——An Empirical Study based on Quantile Regression Techniques

本文使用基于分位数回归的技术,对中国股市IPO抑价与上市公司内在价值关系进行了实证研究。研究结果表明,对于公司价值,未来的盈利能力才是投资者所关心的,它是公司内在价值的核心;IPO抑价程度适中的水平,反映公司内在价值的几个方面大都对IPO抑价水平有显著影响,且这种影响有助于降低其抑价水平;在IPO抑价较低的分位点或者IPO抑价很高的分位点,其抑价现象与公司内在价值无关,市场上存在一定投机行为。

This paper studies empirically the relationship between IPO underpricing in China＇s stock market and the intrinsic value of the listed companies by quantile regression techniques. The result shows that, future profitability is the most concerned to investors, and it is the core of company＇s intrinsic value; In a moderate IPO underpricing level, the intrinsic value has a significant impact on IPO underpricing, and this will help reducing the level of underpricing; In a low or high-point of underpricing, the underpricing phenomenon has nothing to do with the intrinsic value of the company, and there are some market speculation.