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基于有效市场理论,从IPO价格的信息覆盖广度和信息价值挖掘深度两个方面定义了IPO新的定价效率,将A股实行询价制度以来的新股发行分为2005~2009年和2009~2014年两个样本,以检验2009年IPO发行体制改革后IPO的定价效率是否有提高。首先利用大样本OLS对两个样本进行回归发现:2009年以后有更多一级市场上的信息跟新股发行价格显著相关,定价效率的第一个维度得到了改善;但是回归分析表明对发行价格解释能力的增加主要来源于风险和市场氛围两类因素,而与股票基本面更加相关的价值指标对价格的解释能力却下降了,这从侧面证明了放开价格管制后新股定价存在泡沫。然后使用随机前沿模型对定价效率的第二个维度进行检验后发现:基于定价所使用的信息而得到的信息使用效率只有80%左右,这一信息使用效率检验出A股市场上的发行人和承销商还不具备充分挖掘信息从而实现精准定价的能力。
Based on the effective market theory, the new pricing efficiency of IPO is defined from two aspects: the breadth of IPO information coverage and the depth of information value mining. The IPO of new shares from A-share inquiry system is divided into 2005 ~ 2009 and 2009 ~ 2014 Two samples to test whether IPO pricing efficiency is improved after the IPO system reform in 2009. First, using the large sample OLS to regression the two samples, we find that more information on the primary market is significantly correlated with the IPO price after 2009, and the first dimension of pricing efficiency has been improved. However, the regression analysis shows that for the issue price The increase of explanatory power comes mainly from two factors of risk and market atmosphere. However, the value index more relevant to the stock fundamentals declines the ability to explain the price. This proves that the pricing of new shares is in a bubble after the price control is liberalized. Then using the stochastic frontier model to test the second dimension of pricing efficiency, we find that the efficiency of using information based on the pricing information is only about 80%. This information uses the efficiency to test the issuer and Underwriters do not yet have the ability to tap into the information for accurate pricing.