信息披露与IPO首日回报率

doi:10.16381/j.cnki.issn1003-207x.2018.10.002

中国管理科学 ›› 2018, Vol. 26 ›› Issue (10): 10-19.doi: 10.16381/j.cnki.issn1003-207x.2018.10.002

信息披露与IPO首日回报率

徐光鲁¹, 马超群¹, 刘伟², 贾钰¹

1. 湖南大学工商管理学院, 湖南长沙 410082;
2. 上海证券交易所, 上海 200120

收稿日期:2017-06-18 修回日期:2017-12-23 出版日期:2018-10-20 发布日期:2018-12-25
通讯作者: 马超群(1963-),男(汉族),湖南岳阳人,湖南大学工商管理学院,教授,博士生导师,研究方向:金融工程与风险管理、复杂系统建模,E-mail:cqma1998@126.com. E-mail:cqma1998@126.com
基金资助:
国家自然科学基金资助项目（71431008，71521061，71790593）；中国博士后科学基金资助项目（2017M610269）

Pre-IPO Disclosure and IPO First-day Returns

XU Guang-lu¹, MA Chao-qun¹, LIU Wei², Jia Yu¹

1. School of Business Administration, Hunan University, Changsha 410082, China;
2. Shanghai Stock Exchange, Shanghai 200120, China

Received:2017-06-18 Revised:2017-12-23 Online:2018-10-20 Published:2018-12-25

摘要/Abstract

摘要： 考虑IPO股票长期持有收益对投资者决策的影响，将单期决策的效用函数拓展为多期决策的效用函数，在理性预期模型框架下，以我国新股发行市场微观结构为背景建立理论模型，对信息披露影响IPO首日回报率的微观作用机制提供了一种理论解释。模型表明：信息披露与IPO首日回报率负相关，披露的信息即公共信息降低了二级市场定价对一级市场定价的偏离程度，从而对IPO首日回报率产生负向影响。以2009年6月至2016年11月在深圳主板上市交易的593家IPO公司为样本对模型进行了实证检验，实证结论支持理论模型结论。本文的研究不仅在研究视角、方法上丰富了IPO首日回报率的研究文献，而且可以为监管者提供相关的决策建议。

关键词: 公共信息, 蒙特卡洛模拟, 两阶段最小二乘估计, 高频数据

Abstract: Considering the influence of long-term holding income of IPO stocks on investors' decision-making, the utility function of single-period decision-making is extended to the utility function of multi-period decision-making. Under the framework of rational anticipation model, a theoretical model is established based on the microscopic structure of China's IPO market. A theoretical explanation is provided for the microscopic mechanism of information disclosure that affects the IPO first-day returns.The model shows that information disclosure is negatively correlated with the return on the first day of the IPO. The disclosed information, namely public information, reduces the degree of deviation of the secondary market pricing from the primary market pricing, and thus has a negative impact on the IPO first-day returns. The 593 IPO companies listed on the Shenzhen Main Board from June 2009 to November 2016 tested the model empirically.The empirical results support the theoretical model conclusions.The research in this paper not only enriches the research literature on IPO first day returns in terms of research perspectives and methods,but also provides supervisors with relevant decision-making suggestions.

Key words: public information, Monte Carlo simulation, two-stage least squares method, high frequency data

中图分类号:

F830.91

徐光鲁, 马超群, 刘伟, 贾钰. 信息披露与IPO首日回报率[J]. 中国管理科学, 2018, 26(10): 10-19.

XU Guang-lu, MA Chao-qun, LIU Wei, Jia Yu. Pre-IPO Disclosure and IPO First-day Returns[J]. Chinese Journal of Management Science, 2018, 26(10): 10-19.

参考文献

[1] Leone A J, Rock S, Willenborg M.Disclosure of intended use of proceeds and underpricing in initial public offerings[J]. Journal of Accounting Research, 2007, 45(1):111-153.

[2] Chi Jing,Padgett C.Short-run underpricing and its characteristics in Chinese initial public offering (IPO) markets[J].Research in International Business and Finance,2005,19(1):71-93.

[3] Chan K, Wang Junbo, Wei K C J. Underpricing and long-term performance of IPOs in China[J]. Journal of Corporate Finance, 2004, 10(3):409-430.

[4] Chang E, Chen Chao,Chi Jing, et al. IPO underpricing in China:New evidence from the primary and secondary markets[J]. Emerging markets review, 2008, 9(1):1-16.

[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.

[6] 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.

[7] Ross S A. Disclosure regulation in financial markets:Implications of modern finance theory and signaling theory[J]. Issues in Financial Regulation, 1979, 5:177-202.

[8] Ritter J R. The "hot issue" market of 1980[J].Journal of Business, 1984,57(2):215-240.

[9] Ritter J R. Signaling and the valuation of unseasoned new issues:A comment[J]. The Journal of Finance, 1984, 39(4):1231-1237.

[10] Habib M A, Ljungqvist A P. Underpricing and entrepreneurial wealth losses in IPOs:Theory and evidence[J]. Review of Financial Studies, 2001, 14(2):433-458.

[11] Beatty R P, Ritter J R.Investment banking, reputation, and the underpricing of initial public offerings[J].Journal of Financial Economics, 1986, 15(1-2):213-232.

[12] Beatty R P, Welch I. Issuer expenses and legal liability in initial public offerings[J]. The Journal of Law and Economics, 1996, 39(2):545-602.

[13] Shi C, Pukthuanthong K, Walker T.Does disclosure regulation work? Evidence from international IPO markets[J]. Contemporary Accounting Research, 2013, 30(1):356-387.

[14] Barry C B,Brown S J.Differential information and the small firm effect[J].Journal of Financial Economics, 1984, 13(2):283-294.

[15] Diamond D W,Verrecchia R E.Disclosure,liquidity,and the cost of capital[J].The Journal of Finance,1991,46(4):1325-1359.

[16] 陈胜蓝.财务会计信息与IPO抑价[J].金融研究,2010,(5):152-165.

[17] 黄瑜琴,李莉,陶利斌.机构投资者报价行为,承销商定价策略与IPO市场表现研究[J].金融研究,2013,(7):180-193.

[18] 李冬昕,李心丹,俞红海,等.询价机构报价中的意见分歧与IPO定价机制研究[J].经济研究,2014,49(7):151-164.

[19] Duarte J,Young L.Why is PIN priced?[J].Journal of Financial Economics,2009,91(2):119-138.

[20] Kandel E, Pearson N D. Differential interpretation of public signals and trade in speculative markets[J]. Journal of Political Economy, 1995, 103(4):831-872.

[21] Sarkar A, Schwartz R A. Market sidedness:Insights into motives for trade initiation[J]. The Journal of Finance, 2009, 64(1):375-423.

[22] Yin Xiangkang, Zhao Jing. A hidden markov model approach to information-based trading:Theory and applications[J]. Journal of Applied Econometrics, 2015, 30(7):1210-1234.

[23] Zhang Feng. Information precision and IPO pricing[J].Journal of Corporate Finance, 2012, 18(2):331-348.

[24] Easley D,Kiefer N M,O'hara M, et al.Liquidity,information,and infrequently traded stocks[J].The Journal of Finance,1996,51(4):1405-1436.

[25] 许敏,刘善存.交易者市场到达率及影响因素研究[J].管理科学学报,2010,(1):85-94.

[26] Yan Yuxing,Zhang Shaojun.An improved estimation method and empirical properties of the probability of informed trading[J].Journal of Banking & Finance,2012,36(2):454-467.

[27] Jensen M C,Meckling W.Theory of the firm:ManageriaL behavior,agency costs and capital structure[J].Journal of Financial Economics,1976,3(4):305-360.

[28] Vega C.Stock price reaction to public and private information[J].Journal of Financial Economics,2006,82(1):103-133.

信息披露与IPO首日回报率

Pre-IPO Disclosure and IPO First-day Returns

PDF (PC)

可视化

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 15

Metrics

本文评价

推荐阅读 10

[1]	苑慧玲, 徐路, 周勇. 带有市场交易信息和随机微观噪声下的杠杆效应研究[J]. 中国管理科学, 2020, 28(9): 12-22.
[2]	瞿慧, 张壹. 基于波动择时绩效的高维波动率估计量与预测模型研究[J]. 中国管理科学, 2020, 28(5): 62-70.
[3]	迟国泰, 张亚京, 丁士杰. 基于幂风险谱和蒙特卡洛模拟的贷款优化配置模型[J]. 中国管理科学, 2019, 27(9): 1-14.
[4]	马超群, 徐光鲁, 刘伟, 贾钰, 赵新伟. 询价制度改革、知情交易者概率与IPO溢价[J]. 中国管理科学, 2018, 26(8): 1-12.
[5]	刘志东, 郑雪飞. 基于Hawkes因子模型的股价共同跳跃研究[J]. 中国管理科学, 2018, 26(7): 18-31.
[6]	朱学红, 张宏伟, 钟美瑞, 刘海波. 基于高频数据的中国有色金属期货市场量价关系研究[J]. 中国管理科学, 2018, 26(6): 8-16.
[7]	罗嘉雯, 陈浪南. 多国股票市场的高频波动相关性研究[J]. 中国管理科学, 2018, 26(2): 116-125.
[8]	宋亚琼, 王新军. 基于动态估计误差的中国股市波动率建模与预测[J]. 中国管理科学, 2017, 25(9): 19-27.
[9]	吴鑫育, 李心丹, 马超群. 考虑微观结构噪声的非仿射期权定价研究——基于上证50ETF期权高频数据的实证分析[J]. 中国管理科学, 2017, 25(12): 99-108.
[10]	刘志东, 严冠. 基于半鞅过程的中国股市随机波动、跳跃和微观结构噪声统计特征研究[J]. 中国管理科学, 2016, 24(5): 18-30.
[11]	隋聪, 谭照林, 王宗尧. 基于网络视角的银行业系统性风险度量方法[J]. 中国管理科学, 2016, 24(5): 54-64.
[12]	刘睿智, 周勇. 期现货市场订单流动性层面的“遛狗效应”——基于交易量刻度的高频交易数据研究[J]. 中国管理科学, 2016, 24(4): 19-26.
[13]	刘志东, 杨竞一. 基于非参数日内跳跃检验和高频数据的公司信息披露对股市价格波动影响研究[J]. 中国管理科学, 2016, 24(10): 22-34.
[14]	唐勇, 林欣. 考虑共同跳跃的波动建模:基于高频数据视角[J]. 中国管理科学, 2015, 23(8): 46-53.
[15]	赵军力, 梁循. 基于TrTS取样的股票收益率RV测度的改进[J]. 中国管理科学, 2015, 23(7): 26-34.