中国股票一级市场发行抑价的程度与原因

IPO UNDERPRICING IN THE CHINESE STOCK MARKETS

本文实证检验了我国A、B股一级市场的发行抑价问题。在借鉴西方大量研究的基础上 ,本文结合我国股票市场实际情况 ,着重分析了我国市场的特有因素是否及如何影响一级市场的发行抑价程度的。研究发现 ,A股市场的发行抑价率平均高达 335% ,而B股市场只有 2 6% ;A股市场上风险 (在此用发行与上市间的时间间隔衡量 )与近期配股计划和发行抑价率成显著正相关 ,但它们不能用来解释B股的情况 ;另外 ,发股公司采用每股市价 /每股帐面价值比和预期市盈率来向市场传递公司市场价值和发行抑价高低的信息。

This study investigates the underpricing of initial public offerings of A-share and B-share markets.Based on the research methods developed from the Western empirical studies,combined with the environment of the Chinese stock markets,we analyze the Chinese unique characteristics and how they take effects on the IPO underpricing.We find that initial returns on A share IPOs average 335 percent while the underpricing of B shares averages just 26 percent.Meanwhile,the risk,which in the form of the delay in listing after the issue of shares,and future equity offerings are strongly and positively associated with the underpricing of A shares.In contrast,we cannot explain the cross-sectional differences in B share underpricing.We find that two valuation multiples,price to book and price to earnings ratios,are used by companies to signal market value and hence underpricing of A shares.Our study gives some insights and some understanding of the pricing of new issues on the Shanghai and Shenzhen stock exchanges.