是一级市场抑价，还是二级市场溢价--关于我国新股高抑价的一种检验和一个解释

Primary Market Under-pricing or Secondary Market Over-pricing?—An Empirical Analysis and Explanation of IPO Puzzles in the Chinese Stock Market

本文采用随机前沿分析法验证IPO抑价是否造成中国新股上市首日超额收益的主要影响因素及其影响程度。我们把全部样本划分为若干热销和非热销时段的子样本,考察全样本及各子样本的新股发行是否存在发行价格被压低现象。研究结果表明,我国IPO定价总体上不存在发行价格被压低的现象,但其中一个非热销期子样本的发行价格较IPO潜在最大价格存在一定程度的系统性低估。由于中国特殊的制度环境,上市资源的稀缺性所造就的拟上市公司盈余粉饰行为,使得通过随机前沿分析得到的IPO潜在最大价格可能高于新股真实内在价值,因此不能保证实际发行价格必定低于反映其内在价值的真实前沿面,而只能说明该阶段可能存在发行价格被压低现象。本文对该阶段新股发行定价与IPO潜在最大价格相对偏离程度的进一步分析显示,IPO抑价仅能解释新股上市首日超额收益的12.7%,即一级市场抑价并非造成中国异常高的IPO首日超额收益的主要原因。中国股票市场的供给控制构成了IPO高抑价非理性解释的制度基础。

The paper examines the impacts of IPO underpricing on the premium of Initial Public Offering in the Chinese stock market with Stochastic Frontier Approach. The empirical results show that with one of the five sub-samples, the IPO pricing is systematically under-estimated. However, the intrinsic values of the IPO companies derived from Stochastic Frontier estimation could be systematically over-estimated due to the special institutional background in the Chinese stock market. Further analyses show that IPO underpriciug could explain only 12. 7% of the premium of Initial Public Offering, with the rest 83% be explained by the secondary market overpricing.