中国创业板IPO定价效率研究——基于双边随机前沿模型

Study of IPO Pricing Efficiency in Chinese GEM Market Based on Two-tier Stochastic Frontier Model

在询价制下,创业板上市公司IPO发行价格由发行人、承销商、询价对象及投资者等多方共同决定。基于双边随机前沿模型考虑IPO定价过程中的折价效应和溢价效应,对创业板IPO定价效率进行度量,结果表明:在2009年10月30日～2012年6月30日期间,我国创业板上市公司IPO定价过程中存在折价效应和溢价效应,但折价效应大于溢价效应,即创业板IPO整体表现为发行折价。平均折价幅度为6.58%,折价幅度较小,表明国内创业板IPO定价效率较高;且平均折价水平呈下降趋势,即创业板IPO的定价效率不断提高。

Under an inquiry system,the IPO pricing of Chinese GEM Market is determined by the bargaining of issuers,underwriters,inquiry institutions,investors and other objects.The bargaining power of issuers and underwriters may make issuing prices below intrinsic value,and generate premium effects,while the pricing power of inquiry institutions and investors may let issuing prices over intrinsic value,and generate discount effects.This paper employs the two-tier stochastic frontier model to measure the IPO pricing efficiency of Chinese GEM Market.The results show that,both discount effect and premium effect exist in the IPO pricing of Chinese GEM Market,and the discount effect is larger than the premium effect,therefore,the whole GEM Market shows the discounting of issuing prices,with the average range of discount being 6.58%,which means the IPO pricing efficiency of Chinese GEM market is high,and remains on an upward trend.