涨幅限制影响IPO抑价了吗?

›› 2018, Vol. 30 ›› Issue (1): 36-45,135.

涨幅限制影响IPO抑价了吗?

张卫东¹, 苏鑫¹, 陈辉¹, 唐齐鸣¹, 杨雪²

1. 华中科技大学经济学院, 武汉 430074;
2. 华北水利水电大学管理与经济学院, 郑州 450046

收稿日期:2015-11-10 出版日期:2018-01-28 发布日期:2018-01-24
通讯作者: 杨雪(通讯作者),华北水利水电大学管理与经济学院教授,博士生导师,博士。
作者简介:张卫东,华中科技大学经济学院教授,博士生导师,博士;苏鑫,华中科技大学经济学院博士研究生;陈辉,华中科技大学经济学院博士研究生;唐齐鸣,华中科技大学经济学院教授,博士生导师,博士。
基金资助:
国家自然科学基金项目（71573086；71473092）。

The Impact of Gain Limits on IPO Underpricing

Zhang Weidong¹, Su Xin¹, Chen Hui¹, Tang Qiming¹, Yang Xue²

1. School of Economics, Huazhong University of Science and Technology, Wuhan 430074;
2. School of Management and Economics, North China University of Water Resources and Electric Power, Zhengzhou 450046

Received:2015-11-10 Online:2018-01-28 Published:2018-01-24

摘要/Abstract

摘要：

考虑涨幅限制对IPO抑价的影响，本文使用2009年7月到2015年7月间新股发行的数据对这一问题进行了研究。实证结果表明，新股上市首日设置涨跌幅限制会使得IPO抑价更严重；进一步分析发现，市场气氛会影响IPO抑价率。在上市首日不限制涨幅的情况下，市场气氛高昂会降低IPO抑价；而在上市首日限制涨幅的情况下，市场气氛高昂会提高IPO抑价，而且此时的IPO抑价率高低与公司的基本面信息更不相关。

关键词: IPO抑价, 涨幅限制, 市场气氛

Abstract:

This paper aims to study the impact of stock gain limits on IPO underpricing in China. The empirical test shows that gain limits on the first day of the newly issued stocks would strengthen IPO underpricing. Furthermore, market sentiment has an effect on IPO underpricing. More specifically, high market sentiment could mitigate IPO underpricing when there are not gain limits on the first day. Otherwise, high market sentiment could enhance IPO underpricing and the IPO underpricing rate may be more irrelevant to firms' fundamental information.

Key words: IPO underpricing, gain limits, market sentiment

张卫东, 苏鑫, 陈辉, 唐齐鸣, 杨雪. 涨幅限制影响IPO抑价了吗?[J]. , 2018, 30(1): 36-45,135.

Zhang Weidong, Su Xin, Chen Hui, Tang Qiming, Yang Xue. The Impact of Gain Limits on IPO Underpricing[J]. , 2018, 30(1): 36-45,135.

参考文献

[1] Ibbotson R. G. Price Performance of Common Stock New Issues[J]. Journal of Financial Economics, 1975,2(3):235-272
[2] 朱红军,钱友文. 中国IPO高抑价之谜:"定价效率观"还是"租金分配观"?[J]. 管理世界, 2010,(6):28-40
[3] Cai K., Zhu H. Cultural Distance and Foreign IPO Underpricing Variations[J]. Journal of Multinational Financial Management, 2015,29:99-114
[4] Nielsson U., Wójcik D. Proximity and IPO Underpricing[J]. Journal of Corporate Finance, 2016,38:92-105
[5] Li O. Z., Lin Y., Robinson J. R. The Effect of Capital Gains Taxes on the Initial Pricing and Underpricing of IPOs[J]. Journal of Accounting & Economics, 2015,61(2-3):465-485
[6] Daniel B., Incheol K., Laurie K. Top VC IPO Underpricing[J]. Journal of Corporate Finance, 2015,31:186-202
[7] Nagata K. Does Earnings Management Lead to Favorable IPO Price Formation or Further Underpricing? Evidence from Japan[J]. Journal of Multinational Financial Management, 2013,23:301-313
[8] 程俊杰,刘伟. 联合创业投资在创业企业的价值增加途径及作用——来自我国上市企业的经验证据[J]. 管理评论, 2014,26(10):102-116
[9] 张华,柳玉鹏,韩东平,等. 大股东控制风险会影响IPO估值吗?——来自我国中小板IPO公司的证据[J]. 管理评论, 2014,26(2):13-23
[10] 刘善存,林千惠,宋殿宇,等. 机构投资者串谋对IPO价格的影响[J]. 管理评论, 2013,25(12):15-24
[11] 张矢的,卢月辉. "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[J]. 管理评论, 2014,26(8):42-52
[12] Liu J., Uchida K., Gao R. Legal Protection and Underpricing of IPOs:Evidence from China[J]. Pacific-Basin Finance Journal, 2014,27:163-187
[13] Samarakoon L. P. The Short-run Underpricing of Initial Public Offerings in the Sri Lankan Stock Market[J]. Journal of Multinational Financial Management, 2010,20(4-5):197-213
[14] Aissia D. B. IPO First-day Returns:Skewness Preference, Investor Sentiment and Uncertainty Underlying Factors[J]. Review of Financial Economics, 2014,23(3):148-154
[15] Clarke J., Khurshed A., Pande A, et al. Sentiment Traders & IPO Initial Returns:The Indian Evidence[J]. Journal of Corporate Finance, 2016,37:24-37
[16] Shen Z., Coakley J., Instefjord N. Investor Participation and Underpricing in Lottery-allocated Chinese IPOs[J]. Pacific-Basin Finance Journal, 2013,25:294-314
[17] 王宜峰,王燕鸣. 投资者情绪在资产定价中的作用研究[J]. 管理评论, 2014,26(6):42-55
[18] Ritter J. R. The "Hot Issue" Market of 1980[J]. Journal of Business, 1984,57(2):215-40
[19] 蒋顺才,蒋永明,胡琦. 不同发行制度下我国新股首日收益率研究[J]. 管理世界, 2006,(7):132-138
[20] 张维,翟晓鹏,邹高峰,等. 市场情绪、投资者关注与IPO破发[J]. 管理评论, 2015,27(6):160-167
[21] Song S., Tan J. S., Yi Y. IPO Initial Returns in China:Underpricing or Overvaluation?[J]. China Journal of Accounting Research, 2014,7(1):31-49
[22] 武龙. 信息不对称、噪声交易与IPO首日收益[J]. 管理评论, 2009,23(7):43-52
[23] Reber B., Vencappa D. Deliberate Premarket Underpricing and Aftermarket Mispricing:New Insights on IPO Pricing[J]. International Review of Financial Analysis, 2016,44:18-33
[24] Jones S. L., Megginson W. L., Nash R. C., et al. Share Issue Privatizations as Financial Means to Political and Economic Ends-enhanced Credibility through Timing and Pricing of Sales[J]. Journal of Financial Economics, 1999,53(2):217-253
[25] Alanazi A. S., Alzoubi H. A. Extreme IPO Underpricing and the Legal Environment in Wealthy Emerging Economies[J]. Journal of Multinational Financial Management, 2015,31:83-103
[26] Pettway R. H., Kaneko T. The Effects of Removing Price Limits and Introducing Auctions upon Short-term IPO Returns:The Case of Japanese IPOs[J]. Pacific-Basin Finance Journal, 1996,4(2):241-258
[27] Prasad D., Vozikis G. S., Ariff M. Government Public Policy, Regulatory Intervention, and Their Impact on IPO Underpricing:The Case of Malaysian IPOs[J]. Journal of Small Business Management, 2006,44(1):81-98
[28] 刘煜辉,熊鹏. 股权分置、政府管制和中国IPO抑价[J]. 经济研究, 2005,(5):85-95
[29] 田利辉. 金融管制、投资风险和新股发行的超额抑价[J]. 金融研究, 2010,(4):85-100
[30] 于富生,王成方. 国有股权与IPO抑价——政府定价管制视角[J]. 金融研究, 2012,(9):155-167
[31] 李志文,修世宇. 中国资本市场新股IPO折价程度及原因探究[J]. 中国会计评论, 2006,(2):173-188
[32] Cheung Y. L., Ouyang Z., Tan W. How Regulatory Changes Affect IPO Underpricing in China[J]. China Economic Review, 2009,20(4):692-702
[33] 杨记军,赵昌文. 定价机制、承销方式与发行成本:来自中国IPO市场的证据[J]. 金融研究, 2006,(5):51-60
[34] 周孝华,赵炜科,刘星. 我国股票发行审批制与核准制下IPO定价效率的比较研究[J]. 管理世界, 2006,(11):13-18
[35] 杨荣国,吴文锋,吴冲锋,等. 我国IPO监管制度变迁的有效性研究[J]. 管理评论, 2010,22(10):29-36
[36] 田利辉,张伟,王冠英. 新股发行:渐进式市场化改革是否可行[J]. 南开管理评论, 2013,16(2):116-132
[37] Chambers D., Dimson E. IPO Underpricing over the Very Long Run[J]. Journal of Finance, 2009,64(3):1407-1443
[38] 郭海星,万迪昉. 创业板IPO发行定价合理吗?[J]. 中国软科学, 2011,(9):156-166
[39] 林振兴. 网络讨论、投资者情绪与IPO抑价[J]. 山西财经大学学报, 2011,(2):23-29
[40] 汪宜霞,张辉. 卖空限制、意见分歧与IPO溢价[J]. 管理学报, 2009,6(9):1204-1208