投资银行声誉与IPO抑价：中国股票市场的 理论和实证研究.docVIP

摘 要 新股发行定价过低是世界各国证券市场普遍存在的现象。国内外的大量的实证研究表明，无论是发达国家成熟市场还是发展中国家的新兴市场，都存在显著的新股发行价格低估现象。对于这个令人困惑的“新股抑价之谜”，国外学者提出了多种的理论解释，其中中介机构声誉理论是这些理论的一种。 国外的大量实证研究验证了投资银行声誉理论，即知名的投资投行能够有效降低IPO发行的信息不对称，承销的IPO发行抑价低于普通投资行承销的IPO。但这个适合于发达国家的结论能不能适合中国这个新兴加转轨的证券市场还有待于检验。本文首先在借鉴国外模型基础上建立包括投资银行在内的新股发行模型，从静态和动态两方面来说明投资银行声誉形成机理，得出推论，并进行实证。 本文以2001年3月到 2004年4月的沪深两市A股的IPO市场的273只新股为研究样本，对投资银行声誉模型在我国适应性进行实证研究。研究结果表明，知名投行并不能降低IPO发行的先验不确定性，投资银行声誉与IPO抑价也没有显著相关关系。也就是说，投资银行声誉模型结论并不适用于我国。最后，在分析原因的基础上提出了一些提高我国投资银行声誉的信息认证效率的有关政策建议。 关键词： IPO抑价 投资银行声誉 中介机构声誉 理论模型 Abstract A large amount of empirical research both at home and abroad have shown that IPOs have been underpriced in the security markets all around the world. This phenomenon exists not only in the developed country but in developing countries. Scholars have put forward many kinds of theories to explain the puzzling phenomenon. The intermediarys reputation theory is one of this theories. The theory of investment bank reputation considers that a prestigious investment banker can reduce the ex ante uncertainty and lower the degree of IPOs underpricing more effectively than a common investment banker. But it is unknown whether this conclusion applicable to developed country is true to Chinese market . The paper sets up IPOs models including investment banker on the basis of foreign models to prove the formation mechanism of investment bank reputation from static and dynamic respects, then draws inferences and demonstrates them. This paper studies the applicability of investment banker reputation model to china by using the data of 273 IPOs in shanghai and Shenzhen security markets from March 2001 to April 2004. The result indicates that there are not remarkable relevance between investment banker reputation and IPOs underpricing. That is to say , the theory of investment bank reputation is not applicable to our country. At last ,we suggest some measures to improve the information-certified efficie