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目前的研究已经发现在我国上海和深圳证券市场上首次公开发行的新股(A 股)存在明显的短期“定价偏低”问题,初始收益率高达120%至220%,为全球之首。一般认为这是由于实行限制发行价格的制度引起的。我们认为这种解释忽视了发行市场上各方“信息不对称”的问题。本文以上海证券市场为研究对象,选取1996年1月—1998年6月96家发行新股的公司,收集有关公司发行新股上市前披露的公开信息和上市初期的有关资料,应用单因素方差分析和回归分析方法,考察影响 IPO 初始收益率的因素,研究公开披露信息与 IPO 初始收益率的相关程度,探讨形成新股发行定价偏低的机理。研究发现:根据普通投资者所能获取的信息设计的22个因素,其中9个因素对IPOs 的初始收益率影响显著。但由于各因素之间信息重叠,经过逐步回归分析只保存4个因素,4个因素与初始收益率之间的调整相关判定系数仅为18.9%。这表明新股上市前后公开披露的信息所能够解释初始收益率的变化十分有限。
The current research has found that there is a clear short-term “low pricing ” issue for the initial public offering of new shares (A shares) in the securities markets of Shanghai and Shenzhen in our country, with the initial yield as high as 120% to 220%, ranking first in the world. It is generally believed that this is caused by the introduction of a system that restricts the issue price. We think this explanation ignores the issue of “information asymmetry” among parties in the distribution market. This article takes the Shanghai securities market as the research object and selects 96 companies that issue new shares from January 1996 to June 1998 to collect the public information disclosed before the listing of new shares and the information about the initial listing of listed companies. Regression analysis method to examine the factors that affect the initial return rate of IPO, to study the correlation between the public disclosure information and initial return rate of IPO, and to explore the mechanism of low pricing of IPO. The study found that 22 factors were designed based on the information available to ordinary investors, of which 9 had a significant impact on the initial yield of IPOs. However, due to the overlap of information among the factors, only four factors were saved through stepwise regression analysis, and the adjustment coefficient of the four factors and the initial rate of return was only 18.9%. This shows that the public disclosure of information before and after the listing of new shares can explain the initial rate of return is very limited.