摘要
以中国新股发行制度为背景,在理性预期均衡框架下构建模型,从理论上阐述IPO发行价格相对于投资价值的调整机理,分析说明IPO发行价调整与私人信息和公共信息的关系。模型结论表明:IPO发行价格关于私人信息和公共信息进行了部分调整,并且进入发行价的部分与两种信息的精度正相关。以2010年11月1日至2013年12月13日在沪深交易所上市且披露网下具体报价情况的476家IPO公司为样本进行实证检验,实证检验结果支持了模型结论。
By developing a model under the framework of rational expectation equilibrium,the study attempts to investigate the mechanism of IPO offer price adjustment and analyze the impact that public and private information have on the adjustment. The model expects that the offer price is partially adjusted with respect to both private and public information. Moreover,the proportions of the private information and public information that are incorporated into the offer price increase with their respective precision. The model's expectations are tested and supported by the results of the empirical study,based on the data of476 IPOs which are listed in Shanghai and Shenzhen Stock Exchange and disclose bids of investors from Nov. 1 in 2010 to Dec. 13 in 2013.
出处
《金融经济学研究》
CSSCI
北大核心
2015年第1期86-95,共10页
Financial Economics Research
基金
国家自然科学基金项目(71373296)
关键词
私人信息
公共信息
发行价调整
理性预期均衡
信息精度
private information
public information
offer price adjustment
rational expectation equilibrium
information precision
