中国股市新股破发的原因——基于随机成本边界模型的实证研究

The Reason of IPO's Overpricing in Chinese Stock Market——The Empirical Study Based on the Stochastic Cost Frontier Model

2010—2011年的新股集中破发是中国股市一个非常有趣的现象。实务界对该现象进行了诸多讨论,然而理论界却鲜有相关的实证研究。文章以此期间的破发样本为基础,对新股破发的原因进行了实证检验。利用随机成本边界模型,我们发现新股的发行定价不存在系统下边界,即新股发行并未过高定价。随后,对新股破发与投资者情绪的回归结果显示,投资者情绪变量对新股破发具有显著影响,可以有效地解释新股破发的原因。据此,文章认为,二级市场的投资者情绪才是新股破发唯一真正的根源,而并非实务界所说的"高发行价和投资者情绪共同作用的结果"。

IPO＇s overpricing serially has broken out from 2010 to 2011, which was a very interesting phenomenon and as discussed extensively by media and experts. However, there is few existing papers of relevant empirical study on this phenomenon. Thus based On overpricing Samples during this time,this paper made an empirical test on the reason of IPO＇s overpricing. According of the results of stochastic cost frontier model, we find that cost frontier of new share＇s publishing price doesn＇t exist, which indicates new shares don＇t be high priced in primary market. Then, this paper explored the effect of investor＇s sentiment on IPO＇s overpricing. The results of regression model suggest that investor＇s sentiment variables have significantly effect on IPO＇s overpricing, and can effectively explain the reason of IPO＇s overpricing. Accordingly, we believe that the real reason of IPO＇s overpricing is investor＇s sentiment in secondary market, rather than combined action of high publishing price and investor＇s sentiment as the pratical circle said.