【作者】 刘兴华；

【导师】 周孝华；

【作者基本信息】 重庆大学 ， 金融学， 2006， 硕士

【摘要】 首次公开发行(即IPO)指在证券市场上,发行公司向广大非确定的投资者公开销售公司股份的行为。其短期表现为股票发行价低于上市首日收盘价,即抑价。IPO抑价现象普遍存在于世界各国证券市场,而我国的证券市场的IPO抑价相当高。从现有文献来看,我国IPO的初始收益率大约在100%至950%之间,高于其他新兴市场30%左右的初始收益率。西方学者早在上世纪七十年代就注意到了这一现象,并对此作了大量的研究,提出了许多解释IPO抑价的理论。许多学者用IPO过程中所涉及的经济主体之间的信息不对称来解释抑价现象,并且得到20世纪80年代许多实证研究结论的支持。Ritter and Welch(2002)把不对称信息理论分为发行人比投资者拥有更多的信息与投资者比发行人拥有更多的信息。其中,前者主要是信号理论,后者主要包括逆向选择理论(赢者诅咒理论)、信息叠加理论、累计投标理论和委托代理理论。不同的模型解释了不同国家、不同情况下的抑价,我国股票市场的特征决定了一些IPO抑价模型不适用于我国。根据我国证券市场的情况,信号理论、逆向选择理论和信息叠加理论可能较好解释的我国IPO抑价问题。本文应用1997-2000年首次公开发行并于IPO后四年内进行后续发行的144家样本数据,对信号理论进行实证研究。我们对市场对后续发行公告的反应进行检验,结果显示股价对后续发行信息没有反应。然后,我们又对后续发行的高收益能否弥补抑价的成本进行检验。尽管我们的某些结论与信号理论相一致,但是主要发现并不支持信号理论——没有发现IPO抑价与两次发行及后续发行收益间存在正相关关系。应用2001-2002年首次公开发行普通股的145家样本数据,对逆向选择与信息叠加理论进行实证研究。与逆向选择理论相一致,中签率与抑价负相关。但非知情投资者可以利用可获得的公共信息避免损失。中签率数据并不完全支持信息叠加理论:仅有非常高的需求。更多还原

【Abstract】 Initial public offerings (IPO) is the behavior that issuing corporations sale their shares to the unspecified investors in the stock market. The short-run performance of IPO is underpricing, which is common in every country’s stock markets that the offering price is lower than the closing pricing of the first listing day. But IPO underpricing is very high in Chinese stock market. From the documentary at hand, the initial return ranges from 100 percent to 950 percent which is higher than other developing markets whose initial return is about 30%.Western scholars have been paid attention to the phenomena of underpricing from 1970s, done much research and brought forward many theories explaining IPO underpricing. Many scholars explained the phenomena of IPO underpricing by the way of asymmetry information between persons involved in IPO, which got support by many empirical investigations done in 1980s.Ritter and Welch(2002) differentiated asymmetry information between issuer holding more information than investment and vice versa. The former is mainly signaling theory, and the latter include reverse selection theory (winners’curse theory), information cascade theory, bookbuilding theory and agent-principal theory. Different model explains different countries’underpricng in different conditions, so the unique features determine that some IPO underpricng models don’t applied in Chinese market. According to our country situations, signaling theory, reverse selection theory and information cascade theory may explain IPO underpricng better than others.This study investigates the signaling theory using a sample, which includes data of 144 firms that made an initial public offering during 1997—2000 and made subsequent seasoned equity offering within 4 years of their IPO. We examine the market reaction to the seasoned equity announcement and our results show that share price has no reaction to seasoned equity offering news. Then we examine whether the higher SEO proceeds can recover the cost of an underpriced IPO. Though some of our results are consistent with the signal theory, the main finding is not—we do not find a positive relationship between IPO underpricing and the proceeds of the equity offering pairs and the SEO.Then I examine the adverse selection and information cascades theories using a sample, which includes data of 145 firms that made an initial public offering of common stock during 2001-2002. Consistent with adverse selection, allocation rate is更多还原