“赢者诅咒”及风险假说对中国A股市场IPO抑价有效性的实证研究

Empirical Tests of the “Winner's Curse”and Risk Hypotheses for IPO Underpricing in the Chinese A-Share Market

本文以中国市场2000年至2010年5月计859家IPO为样本,在控制IPO首日总体市场市盈率及总体市场回报率的条件下,以首日分笔回报率标准差作为企业IPO前市风险的代理变量,中签率为IPO一级市场供需失衡的代理变量,通过建立简约的多元回归实证模型,对Rock首次提出的"赢者诅咒"假说及Ritter、Beatty基于"赢者诅咒"假设提出的风险假说进行了实证检验。实证结果显示,"赢者诅咒"假说及风险假说整体上对解释中国A股市场数据期间的IPO抑价率有效。

With a sample of 859 IPOs in the Chinese A share market between 2000 and May 2010,this paper proposes parsimonious empirical models to test the validities of the'winner's curse'hypothesis first proposed by Rock and the risk hypothesis proposed by Ritter,and Beatty & Ritter by using the standard deviation derived from tick-by-tick returns of the first IPO trading day as a proxy for the ex ante risk of the IPO company,and the lottery winning ratio as an indication of imbalance between new share supply and demand in the primary IPO market,while controlling for overall market valuation level and overall market return of the IPO day. In general,both hypotheses are supported by the empirical results.