信息融入与IPO询价制有效性研究

商业研究

信息融入与IPO询价制有效性研究

黄顺武，汪宁，俞凯

（合肥工业大学经济学院，合肥 230601）

收稿日期:2018-02-04 出版日期:2018-05-22
作者简介:黄顺武（1973-），男，合肥人，合肥工业大学经济学院副教授，经济学博士，研究方向：行为金融与新股定价；汪宁（1994-），本文通讯作者，女，山东济宁人，合肥工业大学经济学院研究生，研究方向：资本市场与证券投资；俞凯（1995-），男，安徽六安人，合肥工业大学经济学院研究生，研究方向：金融业发展与资本市场。
基金资助:
国家社会科学基金项目“机构投资者报价与创业板新股审慎定价研究”，项目编号：14BJY181。

Information Incorporation and IPO Book-Building System Efficiency

HUANG Shun-wu, WANG Ning, YU Kai

(School of Economics, Hefei University of Technology, Hefei 230601, China)

Received:2018-02-04 Online:2018-05-22

摘要/Abstract

摘要： 新股定价是一个相关信息逐步融入以及股价渐进修正的过程。本文采用我国第二阶段询价制度改革期间的IPO市场数据，基于信息融入新股价格的角度评价询价制效率。研究发现：发行价部分调整了询价中的信息，未在发行价中定价的信息得到了抑价奖励，承销商部分调整私人信息以激励机构真实揭露其对新股的需求，而对公共信息的部分调整则揭示了我国询价制的低效性；发行价对信息的调整是非对称性的，对负向公共信息以及机构高报价时的私人信息的调整幅度更大，说明我国的询价制在一定程度上具有自我纠正的作用。为此，应努力改进发行价对公共信息的揭示能力，并使用“价近者得”的配售规则约束机构的高报价行为。

关键词: 公共信息, 私人信息, IPO询价制效率, 发行定价, 首日收益

Abstract: IPO pricing is a process that information incorporates into price and price revises gradually. This paper assesses the efficiency of book-building mechanism based on the perspective that information incorporates into IPO price using the data of IPO market through the second reform of book-building mechanism of China. Research shows the issue price has partially adjusted the information in book-building, the information that hasn′t been priced in issue price has obtained underpricing reward, and the partial adjustment for private information is in order to stimulate the institution to enclose the demand information of IPO truly, but the partial adjustment for public information has revealed the inefficiency of book-building mechanism in China; the adjustments for IPO issue price to information are asymmetric, much bigger for negative public information and private information when the institutions′ bidder prices are higher, which indicates that book-building mechanism of China has the corrective effect for itself. Therefore, we need to improve the reveal ability for issue price to public information and use the ration rule of “Close to the Price” to restrict the high quotation actions of institutions.

Key words: public information, private information, IPO book-building system efficiency, issuing and pricing, initial return

黄顺武，汪宁，俞凯. 信息融入与IPO询价制有效性研究 [J]. 商业研究.

HUANG Shun-wu, WANG Ning, YU Kai. Information Incorporation and IPO Book-Building System Efficiency[J]. 商业研究.

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