中国IPO定价效率研究
——基于IPO抑价率和EFF值的比较分析

经济理论与经济管理 ›› 2013, Vol. 33 ›› Issue (8): 47-59.

中国IPO定价效率研究
——基于IPO抑价率和EFF值的比较分析

陈训波1,贺炎林2

1清华大学经济管理学院，北京100084； 2对外经济贸易大学应用金融研究中心，北京100029

收稿日期:2012-12-24 出版日期:2013-08-20 发布日期:2013-09-02
作者简介:陈训波（1975—），男，湖南汉寿人，清华大学经济管理学院讲师，经济学博士；贺炎林（1969—），男，四川南充人，对外经济贸易大学应用金融研究中心副教授，管理学博士。
基金资助:
国家自然科学基金项目（71073020）

STUDY ON IPO PRICING EFFICIENCY IN CHINA
——An Analysis Based on the Comparison of IPO Underpricing Rate and EFF Value

CHEN Xun-Bo-1,HE Yan-Lin-2

1School of Economics and Management, Tsinghua University, Beijing 100084, China; 2 Research Center for Applied Finance, University of International Business and
Economics, Beijing 100029, China

Received:2012-12-24 Online:2013-08-20 Published:2013-09-02

摘要/Abstract

摘要： IPO定价效率是IPO市场的一个研究热点。本文以沪深A股市场首次公开发行并上市的新股为样本，通过IPO抑价率和EFF值指标比较分析了IPO定价效率的行业特征和定价制度特征。研究表明：EFF均值在行业之间的差异不显著，而IR均值在行业之间差异显著；我国IPO定价效率未随时间推移而不断提高，EFF值和IR值呈现出无趋势的特征。在此基础上，本文认为我国IPO定价效率不高的主要原因不是一级市场低价发行，而是二级市场投资者的追捧和半市场化性质的改革，提高IPO定价效率的根本途径在于回归市场化改革。

关键词: IPO抑价率 , EFF值 , 行业特征 , IPO定价效率

Abstract: IPO pricing efficiency is a research focus in the IPO market This paper comparatively analyzes industry characteristics and institutional characteristics of the IPO pricing efficiency in China by using the IPO underpricing rate, the EFF value indicators and the sample of new shares issued and listed for the first time in the Shanghai and Shenzhen Ashare market The main conclusions include that the industry difference is not significant of the mean EFF value and is significant of the mean IPO underpricing rate, Chinas IPO pricing efficiency is not increasing over time, EFF and IR value dont show any characteristics of trend On this basis, this paper argues that the main reason of Chinas high IPO pricing efficiency is not the low issue price on primary market, but investors irrational investments on secondary market and the semimarketoriented reforms The fundamental way to improve the pricing efficiency of IPO lies to marketoriented reforms

Key words: IPO underpricing rate , the EFF value , industry characteristics , IPO pricing efficiency

陈训波1,贺炎林2. 中国IPO定价效率研究
——基于IPO抑价率和EFF值的比较分析[J]. 经济理论与经济管理, 2013, 33(8): 47-59.

CHEN Xun-Bo-1,HE Yan-Lin-2. STUDY ON IPO PRICING EFFICIENCY IN CHINA
——An Analysis Based on the Comparison of IPO Underpricing Rate and EFF Value[J]. Economic Theory and Business Management, 2013, 33(8): 47-59.