IPO定价的信号模型:信息披露机制有效性检验(1992-2002)

Signaling Models for the Valuation of IPOs: an Empirical Test in the Efficiency of Information Disclosure (1992—2002)

利用中国A股市场(1992 2002)不同时期信息披露规则条件的数据来检验Leland＆Pyle信号模型(资本结构信号模型),Bhattacharya信号模型(股利信号模型)和多变量信号模型,结果强化了前两种信号在定价过程中的稳健性,同时也显示出公司资产负债比率、市场风险等也对IPO定价产生影响.研究结果表明信息披露越彻底,IPO的定价越合理.

Besides the basic financial information disclosed by corporations, a few signals such as capital structure, dividends, operation risks and market risks might effect IPO pricing. It is reported the results of empirical tests of the retained ownership signal model and the dividends signal model using data from Chinese Ashare market (19922002). The results provide supports for the two signals. Moreover, a multivariables signals model for Chinese stock market is built and an empirical test of it is made. The evidence in support of the existence of several signaling variables suggests the need for further theoretical developments of multisignal models. Our works show more fully information is disclosed, more efficient IPO pricing will be done.