发行频率影响新股定价吗?

Does the Issuance Frequency Affect the Pricing of New Stocks?

研究发行频率对新股价格变动和股票博彩特征的影响,结果表明,新股发行频率与新股开板前的收益率负相关,与新股开板后的收益率正相关。同时期新股发行越少,开板价格被高估的程度就越大,开板后的价格调整幅度也越大。以高特质波动率、高特质偏度、高换手率作为博彩型股票的特征,新股发行频率与新股的博彩型特征负相关。投机炒作导致新股价格的反应过度加剧了新股的价格波动。

The impact of issuance frequency on the pricing process of new stocks and the characteristics of lottery-like stocks are studied in this paper. The empirical results show that the issuance frequency of new shares is negatively correlated with the returns before opening the limit and positively correlated with the returns after opening the limit. The fewer issuance in the same period, the greater the overvaluation degree of new stock prices and the greater the price decline subsequently.With high volatility,high idiosyncrasy skewness and high turnover as the characteristics of lottery-like stocks,the issuance frequency is negatively correlated with lottery-like characteristics of new stocks. Speculative trading leads to over-reaction of new stock prices,which aggravates the price fluctuation of new stocks.