效率和公平视角下的IPO询价制改革有效性研究——来自中国A股市场的经验证据

The effectiveness research about the IPO inquiry system reform under the perspective of efficiency and fairness:The empirical evidence from China' s A- share market

本文以2005年1月-2012年4月沪深A股市场依据累计投标结果确定发行价的899个IPO公司为样本,引入随机前沿模型和投资者公平性模型分别进行定价效率和投资者公平性分析,据此判别询价制期间两阶段改革的成效。研究表明,询价制第一阶段改革后新股定价效率显著提高,改革前的低效率与询价制度和市场冷热度相关,而且改革后机构投资者更倾向于利用信息优势进行"择股",中小投资者获取新股的难度有所降低,但面临更多新股"破发"风险,两类投资者间的不公平逐渐表现为风险分担不均衡;第二阶段改革后新股定价效率略微降低,中小投资者参与度的下降迫使发行人故意降低定价效率,同时机构投资者"择股"行为的增多使得两类投资者风险分担更加不均衡。

899 IPOs are used as samples which were priced by the results of cumulative bidding inquiry in Shanghai and Shenzhen A - share market from 2005 to 2012. 4. This paper uses the Stochastic frontier model and the Fairness model to analyze the pricing efficiency and fairness of investors respectively, then discriminates the effectiveness of the two stages reform. The results prove that the IPO pricing efficiency is improved significantly after the first stage reform about China＇s Inquiry system, the pre- reform＇s low efficiency is associated with the system and the Market＇s cold and hot degrees, at the same time, the institutional investors tend to use the information advantage to select stock, although the difficulty for the retail investors to get new shares is reduced, the retail investors will face more risk, the unfairness between the two categories investors has been changed into the unbalanced sharing about the risk of investment. The efficiency is decreased slightly after the second stage reform, the decline in participation of the retail investors forced the issuers to reduce the pricing efficiency deliberately, and the increasing institutional investors＇ ＂stock selection＂ behavior makes the risk- sharing between the two categories investors more unbalanced.