媒体信息对IPO询价机构的影响研究——基于机构私人信息视角的理论与实证

Impact of Media Information on Institutional Investors:Theory and Evidence Based on Institutional Investors’Private Information

将媒体公共信息与机构投资者私人信息联系起来,在我国新股发行询价制背景下建立基于贝叶斯信息准则的IPO定价模型,对媒体信息影响机构投资者私人信息、行为决策及其期望初始收益的微观机制给出了理论上的解释。模型分析表明:媒体公共信息与机构投资者私人信息是条件正相关的,私人信息的分布情况将取决于媒体信号的实现值;媒体信息具体通过两种路径影响机构投资者私人信息及其初始收益——激励效应和需求效应;这两种路径分别对期望初始收益产生负面和正面影响,而媒体信息的最终影响将取决于两种路径的相对强弱。采用2009—2014年在A股上市的874个IPO样本进行实证检验,分别验证了模型的两种路径以及两种路径的综合作用,为模型结论提供了较好的实证支持。

We link public media information with private information of institutional investors and build an IPO pricing model based on Bayes’rule under the background of Chinese IPO market.Our model gives a theoretical explanation for the micro mechanism of media information influencing institutional investors’private information and decision-making.The results of the model show that:media information and private information of institutional investors are positively correlated,and the distribution of private information will depend on the implementation value of the media signal.Media information influences institutional investors’decisions and their expected initial returns through two ways—incentive effect and demand effect.These two paths have negative and positive effects on the expected initial returns respectively,and the final impact of media information will depend on the relative strength of the two paths.We use 874 A-share IPO samples from 2009 to 2014 to conduct empirical tests.The empirical results respectively verify the two paths and their combined effects,which provides satisfactory support for the model conclusion.