再次发行信号模型的实证研究

An Empirical Test on the Model of Signaling through Seasoned Equity Offering

再次发行信号模型认为 ,IPO的定价偏低是为了吸引投资者参与发行人的再次发行 ,从再次发行中所得的利益足以弥补定价偏低的损失。以我国 1 992年～ 1 999年间有首次增发新股行为的IPOs为样本来验证再次发行信号模型。实证研究的结果表明 ,这一模型并不能解释我国IPO市场上的首日超常回报现象 :IPOs定价偏低度虽然与增发新股的数量呈正比 ,然而这种关系并不显著 ;定价偏低度与增发新股的发行价格以及新股发行和再次发行之间的时间间隔负相关 ,但这种相关关系也不显著。

This paper gives an empirical test on the model of signaling through seasoned equity offerings using a sample of IPOs that are issued during the years 1992-1999 and have their first activity of SEO within eight years. The results show that this model could not be an explanation for the initial abnormal returns in Chinese IPO market: Although the degree of underpricing is positively related to size of SEO, it is not statistically significant; The degree of underpricing is negatively related to the price of SEO and the intervals between IPO and SEO, it is not statistically significant either.