贵州财经大学学报

›› 2018 ›› Issue (04): 21-34.

• 金融经济 • 上一篇    下一篇

IPO估值分歧关联:机构报价差异与新股抑价波动

黄顺武, 汪宁, 俞凯   

  1. 合肥工业大学 经济学院, 安徽 合肥 230601
  • 收稿日期:2017-12-13 出版日期:2018-07-15 发布日期:2018-07-17
  • 作者简介:黄顺武(1973-),男,安徽肥东人,合肥工业大学经济学院副教授,经济学博士,研究方向为行为金融与新股定价;汪宁(1994-),女,山东济宁人,合肥工业大学经济学院硕士生;俞凯(1995-),男,安徽六安人,合肥工业大学经济学院硕士生。
  • 基金资助:

    国家社会科学基金一般项目"机构投资者报价与创业板新股审慎性定价研究"（项目批准号14BJY181）。

Correlation of Valuation Divergences of IPO: the Bidding Difference of Institutions and the Variability of Initial Returns

HUANG Shun-wu, WANG Ning, YU Kai   

  1. School of Economics, HeFei University of Technology, Hefei, Anhui 230601, China
  • Received:2017-12-13 Online:2018-07-15 Published:2018-07-17

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摘要： 询价制下，投资者关于新股的估值分歧主要体现在询价阶段和上市后初期。分别以机构报价差异和新股抑价波动作为两个阶段新股估值分歧的代理变量，选取第二阶段询价制度改革期间发行的IPO样本，实证研究了两个阶段IPO估值分歧的关联性。研究发现：不同阶段同一新股的IPO估值分歧存在显著的负向关联，而同一阶段不同新股的IPO估值分歧存在显著的正向关联，说明新股在一级市场的估值分歧反向地提前反映了二级市场的估值分歧，并且前期上市新股的机构报价差异或抑价波动均可以预测当期新股的机构报价差异或抑价波动。研究结果将为投资者参与新股询价与市后初期交易提供科学的决策参考。

关键词: 询价制度, 机构投资者, IPO估值分歧, 抑价波动

Abstract: Under the book-building, the IPO valuation divergences of the investors mainly reflect in the period of the book-building and the initial stage of the second market. This paper has empirically studied the correlation of the valuation divergences of the IPO between the two phases, which uses the bidding difference of the institutions and the variability of the IPO initial returns as the proxy variables of the valuation divergences in the two phases based on the IPOs which have listed during the second reform of the book-building method. Conclusions have been made from this research:there is a significantly negative correlation between the valuation divergences of the same IPO in the different phases, and there is a significantly positive correlation between the valuation divergences of the different IPOs in the same phase. It indicates that the valuation divergence of the first market has adversely reflected the one of the second market in advance, and the bidding difference of the institutions and the variability of the initial returns of the IPOs which have listed earlier can predict the ones of the IPO in the current period. The results of this research will offer scientific strategies for investor who participates in the book-building and trades in the initial stage of the second market.

Key words: book-building, institutional investors, valuation divergences of IPO, variability of IPO initial returns

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