股权分置改革对IPO抑价影响研究

Study on Equity-reform to IPO Underpricing

股权分置改革后,A股市场IPO抑价率显著上升,这与大家的预期相违背,而目前的文献很少对这个现象进行理论解释。本文将IPO抑价分为市场抑价和规则抑价两部分,基于机会成本建立理论模型,试图解释股权分置改革前后对IPO抑价率的影响。同时选取2001年至2009年9月IPO上市的616只A股股票检验理论模型。通过实证经验数据测算,规则抑价部分大约占总体抑价的74%,而市场抑价部分仅占26%。研究表明,股改后IPO抑价率的上升是暂时的现象,全流通后规则抑价应降为0。

After the finishing of equtiy-separate reform,the IPO undrpricing rate of China stock market has risen,which is not consistent with what we estimate before.The paper divides IPO underpricing into market underpricing and ruling underpricing,and establishes a theoretical model based on opportunity cost.It attempts to explain the impact of IPO underpricing rate after equity-seperate reform.At the same time,it selectes 616 stocks which were issued during 2001 to 2009 to test the theroy model.Empirical study shows that 74% of overall underpricing can be explained by ruling underpricing,while the part of the market underpricing is only 26%.Study shows that-the rise of IPO underpricing rate is a temporary phenomenon,and the ruling underpricing rate will reduce to 0 after the totally circulation.