机构投资者报价行为、承销商定价策略与IPO市场表现研究

The Empirical Study on Institutional Investors' Bidding Informativeness,Underwriter Pricing Behavior and IPO Performance in the Chinese Book-building System

本文研究在我国询价制下,承销商如何依据机构投资者报价行为提供的信息对新股进行定价,及其对IPO抑价率和长期市场表现的影响。通过对我国296次IPO发行中约3万次机构投资者报价数据的研究,本文发现在超额承销费激励和声誉风险制约的情况下,机构投资者报价行为反映的有信息程度越低,承销商最优选择下的新股定价超过公司合理价值预期的程度越高,同时新股上市后表现越差,投资者遭受"赢者诅咒"的可能性越大。基于此,本文提出在我国新股发行制度市场化改革中,应采取延长新股路演和询价时间、提高网下配售比例等措施,以降低IPO过程中投资者的信息不对称程度,强化对有信息投资者的激励,提高新股定价效率。

Using a unique dataset of more than 30,000 observations of institutional investors＇ bids in 296 initial public offerings （IPOs） in China during Nov 2010-Nov 2031, we examine how the informativeness of investors＇ bidding behavior affects the IPO pricing strategy of underwriters, and how the bidding informativeness and underwriters＇ pricing strategy affect IPO underpricing and long - run performance under current book - building system in China. We find that with the underwriters optimizing the IPO price to trade - off the benefit of higher proceeds and the cost of larger reputation loss from higher IPO offer price, the lower the informativeness of investors＇ bids for an IPO, the higher the overvaluation of IPO offer price relative to its expected fair value, and thus the higher the long - run underperformance and the risk of ＂winner＇s curse＂ for the IPO. The results suggest alleviating information asymmetry and encouraging the participation of informed institutional investors in IPO through longer road show period and higher offline issuance quota, and thus promoting China＇s IPO system reform,