“窗口指导”淡化前后新股折价行为比较研究

2009年6月的新股询价机制改革以后,新股发行正式取消了询价的"窗口指导"。文章以2009年政府对新股发行的"窗口指导"改革为背景,选取改革前后在我国A股中小企业板上首次公开发行上市的股票数据为样本,采用随机边界模型,对"窗口指导"淡化前后新股发行定价中的折价行为进行比较研究。实证研究结果表明,2009年改革以前新股折价行为显著存在,且折价程度不容小视,新股故意折价是IPO高抑价的来源之一;而2009年改革后新股折价行为消失,IPO抑价几乎完全来源于二级市场对其估值过高。

Comparison Study of IPO Underpricing Behavior Before-and-after the Reform of Window Guidance

After bookbuilding mechanism reform in 2009 June, IPO pricing formally abolished the government＆#39;s ＆quot;window guidance＆quot;. As the background of the window guidance reform of IPO bookbuilding mechanism in 2009 , the paper selects IPO data before and after the reform in China SME Board, and makes a comparative study of IPO deliberate underpricing behavior before and after the ＆quot;window guidance＆quot; reform using a Stochastic Frontier Model. The empirical results show that deliberate underpricing behavior is significant before the 2009 reform of IPO bookbuilding mechanism , and the degree of deliberate underpricing shares can not be overlooked, deliberate underpricing is a source of the high IPO underpricing. After the reform of IPO bookbuilding mechanism in 2009, IPO deliberate underpricing behavior disappears, IPO underpricing is almost completely comes from the high secondary market valuation.