涨幅限制、投资者情绪与IPO抑价

Price Limits, Investor Sentiments and IPO Underpricing

我国证券市场中IPO抑价率长期居高不下问题,一直困扰着国内学者,新股首日涨幅限制遂成为降低IPO抑价率的重要手段。本文使用2009年7月至2019年5月期间的新股发行数据,对新股首日涨幅限制这一制度安排与IPO抑价率的关系进行了研究。实证结果表明,新股上市首日涨幅限制加剧了IPO抑价程度,并且会助长投资者的投机行为;此外,研究还发现,企业在上市时,有动机为获得更高的超额收益而选择在抑价率高的板块上市。

The problem of high IPO underpricing rate has always puzzled domestic scholars in our stock market.Price Limits on the first day's growth of new shares has been planned to be an important way to reduce the underpricing rate of IPOs.This paper selects the new share issuance data from July 2009 to May 2019 to research the relationship between the institutional arrangement of restricting the first day's rise of new shares and the underpricing rate of IPOs.Empirical results show that the restriction on the first day's growth of new shares aggravates the underpricing rate of IPOs.And it encourages investors'opportunistic behaviors.In addition,the study also found that when enterprises go public,they have the motivation to choose the plate with high underpricing rate in order to obtain higher excess return.