新股发行低定价的信息经济学解释
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外国经济与管理 2001 年 第 23 卷第 05 期, 页码：9 - 15
摘要
参考文献
摘要
围绕新股发行中的低定价现象，国外学者提出了各种各样的假说。本文从信息经济学的角度对他们提出的假说作一归纳、综述，以期对我国新股发行协议定价机制的设计和实施有所帮助。同时，本文指出了这一领域尚待进一步研究的方向。
①首次公开发行的对象除了股票外,还包括股票与认股权组合(units)及具有固定收入的债券。在美国,IPO 一般指股票或“单位”。本文仅指股票。
②③个股的初始收益率= (收盘价格- 发行价格)/发行价格,然后计算简单算术平均数。
④当方差已知时,由Grinblatt&Hwang模型可直接推导出Leland&Pyle模型。
⑤锁定期 (lockup period)是指IPO上市后企业内部人许诺不出售其所持有股票的时期。
⑥Beatty&Ritter(1986)、Carter&Manaster(1988)认为投资银行的声誉是影响投资者关于企业质量信念的 重要因素。
[1]Allen, Franklin and Gerald R. Faulhaber. Signaling by Underpricing in the IPO Market[J]. Journal of Fi-nancial Economics, 1989, (23):303 ?23.
[2]Baron, David P.. A Model of the Demand for Investment Banking Advising and Distribution Services for New Issues [J]. Journal of Finance, 1982, (37) :955-976.
[3]Benveniste, L. and W. Wilhelm. Initial Public Offerings[J]. Journal of Applied Corporate Finance, 1997, (10):98-108.
[4]Carter, R. and Manaster, S.. Initial Public Offerings and Underwriter Reputation [J]. Journal of Finance,1990, (24): 1045-1067.
[5]Chemmanur, T. J.. The Pricing of Initial Public Offerings: a Dynamic Model with in Formation Produc-tion[J]. Journal of Finance, 1993, (48),285-304.
[6]Grinblatt, Mark and Chuan Yang Hwang. Signaling and the Pricing of New Issues [J]. Journal of Fi-nance, 1989, (44), 393-420.
[7]Ibbotson, Roger G. . Price Performance of Common Stock New Issues [J]. Journal of Financial Econom-ics, 1975,(2),235-272.
[8]Ibbotson, Roger G. , Sindelar, J. and Ritter, J.. The Market's Problems with the Pricing of Initial Public Offerings[J]. Journal of Applied Corporate Finance, 1994 (6) :66?4.
[9]Kon, Francis and Terry Walter. A Direct Test of Rock's Model of the Pricing of Unseasoned issues[J]. Journal of Financial Economics, 1989,(23),251?72.
[10]Muscarella, Chris J. and Michael R Vetsuypens. A Simple Test of Baron's Model of IPO Underpricing [J]. Journal of Financial Economics, 1989, (24):125 ?35.
[11]Nanda, Vikram. Why Firms Go Public [R]. University of Chicago Working Paper, 1988.
[12]Ritter, Jay R . The 'Hot Issue' Market of 1980 [J]. Journal of Business, 1984, (57):215-240.
[13]Rock, Kevin Why New Issues Are Underpriced [J]. Journal of Financial Economics, 1986, (15) 187?212.
[14]Tinic, Seha M.. Anatomy of Initial Public Offerings of Common Stock [J]. Journal of Finance 1988, (43),789-822.
[15]Welch, Ivo. Seasoned Offerings, Imitation Costs, and the Underpricing of Initial Public Offerings [J]. Journal of Finance, 1989 (44):421-449.
[16]王晋斌.新股申购预期超额报酬率的测度及其可能原因的解释[ J] .经济研究,1997,(12).
②③个股的初始收益率= (收盘价格- 发行价格)/发行价格,然后计算简单算术平均数。
④当方差已知时,由Grinblatt&Hwang模型可直接推导出Leland&Pyle模型。
⑤锁定期 (lockup period)是指IPO上市后企业内部人许诺不出售其所持有股票的时期。
⑥Beatty&Ritter(1986)、Carter&Manaster(1988)认为投资银行的声誉是影响投资者关于企业质量信念的 重要因素。
[1]Allen, Franklin and Gerald R. Faulhaber. Signaling by Underpricing in the IPO Market[J]. Journal of Fi-nancial Economics, 1989, (23):303 ?23.
[2]Baron, David P.. A Model of the Demand for Investment Banking Advising and Distribution Services for New Issues [J]. Journal of Finance, 1982, (37) :955-976.
[3]Benveniste, L. and W. Wilhelm. Initial Public Offerings[J]. Journal of Applied Corporate Finance, 1997, (10):98-108.
[4]Carter, R. and Manaster, S.. Initial Public Offerings and Underwriter Reputation [J]. Journal of Finance,1990, (24): 1045-1067.
[5]Chemmanur, T. J.. The Pricing of Initial Public Offerings: a Dynamic Model with in Formation Produc-tion[J]. Journal of Finance, 1993, (48),285-304.
[6]Grinblatt, Mark and Chuan Yang Hwang. Signaling and the Pricing of New Issues [J]. Journal of Fi-nance, 1989, (44), 393-420.
[7]Ibbotson, Roger G. . Price Performance of Common Stock New Issues [J]. Journal of Financial Econom-ics, 1975,(2),235-272.
[8]Ibbotson, Roger G. , Sindelar, J. and Ritter, J.. The Market's Problems with the Pricing of Initial Public Offerings[J]. Journal of Applied Corporate Finance, 1994 (6) :66?4.
[9]Kon, Francis and Terry Walter. A Direct Test of Rock's Model of the Pricing of Unseasoned issues[J]. Journal of Financial Economics, 1989,(23),251?72.
[10]Muscarella, Chris J. and Michael R Vetsuypens. A Simple Test of Baron's Model of IPO Underpricing [J]. Journal of Financial Economics, 1989, (24):125 ?35.
[11]Nanda, Vikram. Why Firms Go Public [R]. University of Chicago Working Paper, 1988.
[12]Ritter, Jay R . The 'Hot Issue' Market of 1980 [J]. Journal of Business, 1984, (57):215-240.
[13]Rock, Kevin Why New Issues Are Underpriced [J]. Journal of Financial Economics, 1986, (15) 187?212.
[14]Tinic, Seha M.. Anatomy of Initial Public Offerings of Common Stock [J]. Journal of Finance 1988, (43),789-822.
[15]Welch, Ivo. Seasoned Offerings, Imitation Costs, and the Underpricing of Initial Public Offerings [J]. Journal of Finance, 1989 (44):421-449.
[16]王晋斌.新股申购预期超额报酬率的测度及其可能原因的解释[ J] .经济研究,1997,(12).
引用本文
周侃. 新股发行低定价的信息经济学解释[J]. 外国经济与管理, 2001, 23(5): 9–15.
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