对我国股票首次公开发行抑价的实证分析

Uoderpricing of IPO in China:An Empirical Analysis

本文通过考察中国股市 2 0 0 1～ 2 0 0 3年上半年的数据发现 ,中国IPO抑价现象非常严重。实际数据和统计分析都表明新股发行市盈率的行政限制不是中国IPO严重抑价的原因 ,抑价问题应从新股上市中寻找原因。为此 ,本文给出了中国新股上市过程中投资者、上市公司、政府与中介机构的四方博弈 ,并着重构建了政府和中介机构的信号博弈模型。

Data collected from years 2001 to June of 2003 show an evidence that the degree of the underpricing of Initial Public Offerings (IPO)is serious in the stock market of China. However, both data and statistic analysis prove that the restriction of P/E is not the main reason. We give the four-sides games to describe the activity of investors, government, listed company and agency in the process of IPO's coming into the market.