A股市场IPO高抑价现象──基于行为金融理论的解释

Extreme IPO Under-pricing in A-Stock Market──An Explanation Based on the Theory of Behavioral Finance

基于1993-2008年初的样本数据,研究发现A股市场的IPO平均抑价幅度高达117%,远远高于全球资本市场的IPO平均抑价水平。从信息不对称以及行为金融理论角度出发,本文对造成我国股票市场IPO高抑价现象的各种可能因素进行了分析。实证检验发现,基于有效市场假说及信息不对称理论的传统假说无法解释A股市场存在的IPO高抑价现象。而二级市场的火爆程度、投资者的乐观情绪和他们对新股的投机行为是导致我国IPO高抑价现象的主要因素。

Based on the sample data from 1993 to 2008,this paper finds that the average IPO initial return is 117% in A- stock market which substantially exceeds those of other stock markets around the world. From the perspectives of informa- tional asymmetry and behavioral finance,this paper investigates possible determinants of China’s extraordinary IPO under- pricing,and finds that traditional theories which derives from EMH and informational asymmetry theory can not explain China’s surprising IPO initial return. Empirical analysis proves that inefficient secondary market,overconfident investors and speculations on new shares should be blamed for the high IPO initial return.