中国IPO股价的信息含量及其上市首日收益研究

Empirical Study on IPO′s Price Information Content and First-Day Returns in China

新股上市首日收益为正的现象在世界范围内广泛存在,但是中国畸高的新股上市首日收益反映了新股定价效率的缺失,这也是中国监管层力促新股市场化定价改革的主要动因之一。与大多数主要从上市首日收益率的高低来讨论新股定价效率的研究不同,通过构建度量新股股价信息含量的指标,对新股股价的个股特质信息含量进行量化,对中国实施新股询价定价前后新股股价信息含量与新股定价效率的关系进行单变量检验和多元回归的实证分析。研究结果表明,目前中国的新股询价定价并未实现降低新股上市首日收益的政策目标,但是机构投资者参与的询价定价提高了个股特质信息在新股股价中的资本化程度,新股询价定价机制的实施提高了中国新股发行市场基于个股特质信息对新股进行价值发现的定价效率。研究结果不仅对监管层完善询价制度和投资者参与新股投资具有一定的指导意义,也为讨论新股首次公开发行的定价效率问题提供新的视角。

The positive first day return of IPOs is a widespread phenomenon in the world,but in China the return is abnormally higher than other countries,which impedes the capital market to price and allocates IPOs effectively,however,it is the key driver for regulators to promote market-oriented pricing reform of IPOs in China.Using the sample of 483 IPOs between 2001 and 2008,this study took the price information reflected in the IPO prices into consideration by constructing variables to valuate the price information content of IPOs from the information efficiency perspective.We use univariate analysis and multivariate regression methods in the empirical study and find that bookbuilding in pricing IPOs does not fulfill the policy objectives of reducing the degree of underpricing in IPOs,however,by measuring the price information content of IPOs,the results indicate that the participation of institutional investors in pricing the IPOs enhance the capitalization degree of firm-specific information into IPO prices.The market-oriented pricing mechanisms of bookbuilding also increase price discovery efficiency based on the IPO′s firm-specific characteristics and information.The result not only is advisable for IPO investors to make decisions and has guiding significance for regulators to improve the existing bookbuilding pricing mechanism,but also provides an alternative explanation on discussion of the underpricing and pricing efficiency in Chinese IPOs from the price information content perspective.