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。
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.
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