基于双边随机边界模型的IPO抑价分解研究——来自中国创业板的证据

doi:10.16381/j.cnki.issn1003-207x.2017.02.003

中国管理科学 ›› 2017, Vol. 25 ›› Issue (2): 21-29.doi: 10.16381/j.cnki.issn1003-207x.2017.02.003

基于双边随机边界模型的IPO抑价分解研究——来自中国创业板的证据

黄顺武, 贾捷, 汪文隽

合肥工业大学经济学院, 安徽合肥 230601

收稿日期:2015-10-30 修回日期:2016-04-13 出版日期:2017-02-20 发布日期:2017-05-03
通讯作者: 黄顺武(1973-),男(汉族),安徽肥东人,合肥工业大学经济学院副教授,经济学博士,研究方向:资本市场,E-mail:bchsw2012@163.com. E-mail:bchsw2012@163.com
基金资助:
国家社会科学基金一般项目（14BJY181）；中央高校基本科研业务费专项基金项目（JS2015HGXJ0097）

Research ofIPO Underpricing Decomposition Based on Two-tiered Stochastic Frontier Model: Evidence from Chinese Growth Enterprises Market

HUANG Shun-wu, JIA Jie, WANG Wen-jun

School of Economics, HeFei University of Technology, Hefei 230601, China

Received:2015-10-30 Revised:2016-04-13 Online:2017-02-20 Published:2017-05-03

摘要/Abstract

摘要： 针对中国股票市场新股价格被普遍高估的特征，本文首次引入双边随机边界模型研究IPO抑价的形成原因，并创建了一个新的IPO抑价分解模型，成功地将IPO抑价分解为一级市场折价效应与二级市场溢价效应。接着，基于中国创业板样本进行了实证检验，结果表明：（1）样本股票的发行价格与首日交易价格均被显著高估，存在价格溢出；（2）二级市场溢价效应远远大于一级市场折价效应，前者是造成样本股票IPO高抑价的主要原因；（3）基于上市时间段、公司成长性以及行业分组的稳健性检验，则进一步证明了以上结论。本文的研究拓展了IPO抑价分解理论，且更符合中国股票市场的实际情况，为IPO抑价问题的后续研究提供了新的思路和方法。

关键词: IPO抑价分解, 双边随机边界模型, 折价效应, 溢价效应

Abstract: IPO underpricing is one of financial anomalies, and it has always been the concerns of stock market. Especially, there is singularly high IPO underpricing in China stock market. The classic theories in related field consider that IPO underpricing is derived from intentional discount in primary market and emotional premium in secondary market. Although domestic correlated researches indicate that intentional discount in primary market is not existent in Chinese stock market, it cannot be denied that IPO underpricing is assuredly derived from offering price in primary market and exchanging price in secondary market. Based on this thoughtfulness, the article firstly uses stochastic frontier model to analyze offering price and exchanging price of stocks in growth enterprise market in China. The results find that whether offering price or exchanging price has not been underestimated, and, on the contrary, they both have price premium in different degrees. According to the general formula of IPO underpricing, the article discovers that the price premium from offering price can comparatively cause the declining of IPO underpricing, and, on the contrary, the price premium from exchanging price can comparatively cause the increasing of IPO underpricing. In accordance with the above discovery, two-tier stochastic frontier model iscreatively applied to the study of IPO underpricing, and a new IPO underpricing decomposition model is created. In the new model, IPO underpricing is successfully decomposed into discount effect from primary market and premium effect from secondary market. Then, sample data is employed to study IPO underpricing. The results indicate that, relative to discount effect from primary market, the premium effect from secondary market is the major reason of IPO underpricing of sample stocks. The robustness test also proves that, no matter different periods, different industries or different growth firms, premium effect from secondary market is larger than discount effect from primary market. Our sample includes 377 stocks listed on growth enterprise market over the period from October.30, 2009 through March.26, 2015. Except for underwriter's income and financial performance indicators collected from the prospectuses, other data is downloaded from Wind Database. All data is standardized and winsorized in order to control the effect of extreme values. It is the mainly contribution that a new IPO underpricing decomposition model is proposed based on two-tier stochastic frontier model. Therefore, it affords a new idea or paradigm to follow-up study on IPO underpricing.

Key words: IPO underpricing decomposition, two-tiered stochastic frontier model, discount effect, premium effect

中图分类号:

F832.5

黄顺武, 贾捷, 汪文隽. 基于双边随机边界模型的IPO抑价分解研究——来自中国创业板的证据[J]. 中国管理科学, 2017, 25(2): 21-29.

HUANG Shun-wu, JIA Jie, WANG Wen-jun. Research ofIPO Underpricing Decomposition Based on Two-tiered Stochastic Frontier Model: Evidence from Chinese Growth Enterprises Market[J]. Chinese Journal of Management Science, 2017, 25(2): 21-29.

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基于双边随机边界模型的IPO抑价分解研究——来自中国创业板的证据

Research ofIPO Underpricing Decomposition Based on Two-tiered Stochastic Frontier Model: Evidence from Chinese Growth Enterprises Market

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