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本文研究在我国询价制下,承销商如何依据机构投资者报价行为提供的信息对新股进行定价,及其对IPO抑价率和长期市场表现的影响。通过对我国296次IPO发行中约3万次机构投资者报价数据的研究,本文发现在超额承销费激励和声誉风险制约的情况下,机构投资者报价行为反映的有信息程度越低,承销商最优选择下的新股定价超过公司合理价值预期的程度越高,同时新股上市后表现越差,投资者遭受“赢者诅咒”的可能性越大。基于此,本文提出在我国新股发行制度市场化改革中,应采取延长新股路演和询价时间、提高网下配售比例等措施,以降低IPO过程中投资者的信息不对称程度,强化对有信息投资者的激励,提高新股定价效率。
This paper studies how the underwriters price the new shares based on the information provided by the institutional investors’ quotations and how they affect the IPO underpricing and the long-term market performance under China’s quotation system. Through the research of some 30,000 institutional investors ’quotation data in 296 IPO rounds in China, this paper finds that under the circumstance of oversupply incentive fee and reputational risk, the lower the level of information reflected by institutional investors’ quotation behavior, the underwriter The optimal choice of new shares priced more than the reasonable expectations of the company the higher the degree, and the worse performance after the listing of new shares, investors suffer “winner curse ” the greater the likelihood. Based on this, this paper puts forward that in the market-oriented reform of the IPO system in China, measures should be taken to extend the performance of new roadshows, asking for quotations, and increasing the proportion of offline placement, so as to reduce the asymmetric information of investors in the IPO process, Incentives for investors to improve IPO pricing efficiency.