限制新股上市首日涨幅是否改变了IPO抑价的反应模式

Did the Price Limits Change the Reaction Pattern of the IPO Underpricing

使用2009年7月至2015年7月的新股发行数据，通过实证检验表明，限制新股上市首日涨幅会显著提高IPO抑价率。基于信息不对称理论的分析框架，本文进一步研究其他因素与限制涨幅政策的交互效应后发现，与不限制涨幅时相比，限制涨幅时的IPO抑价率对短期市场气氛、公司声誉和承销商声誉的反应模式都有明显变化。此外，研究还发现信息不对称问题的减弱不仅可以降低IPO抑价率，还会减小声誉对IPO抑价率的影响。

Using the data from July 2009 to July 2015 of the issuance of new shares, empirical analysis showed that the price limits on the ipos＇first day could significantly improve the IPO underpricing rate. Based on asymmetric information theory, further researches on the interaction effects of the price limits and the other factors showed that, compared with the situation without price limits, the price limits obviously changed the reaction patterns of the IPO underpricing rate responsing to the short-term market sentiment and the reputation of the corporates or underwriters. This paper also found that reducing the problem of information asymmetry could not only depress the IPO underpricing rate, but may also weaken the impact of reputation on the IPO underpricing rate.