投资银行声誉与IPO超额回报率相关分析

国外理论与实证研究表明,投资银行声誉与IPO超额回报率负相关。本文选择2002~2006年在沪深证券市场发行上市的股票为样本,同时考虑股票发行定价方式及股权分置等证券市场制度改革的影响,分时段、分市场进行分析,结果显示,声誉型投资银行相对普通投资银行所承销的股票具有较高的平均抑价率,就声誉型投资银行内部而言,其声誉水平与IPO抑价率呈负相关,但其关系并不显著,即投资银行声誉假说在我国不成立。

The Relationship Analysis between Investment Reputation and IPO Excess Returns

According to foreign theory and practice,it exists negative relationship between investment reputation and IPO excess returns.This paper selected some samples in Shanghai and Shenzhen stock exchange from years 2002 to 2006 and analysized relationship between investment reputation and IPO excess returns.It indicated that the stocks underwritten by famous investments have lower excess returns than those which underwritten by common investments,and that among famous investments themselves,the relationship between investment reputation and IPO excess returns is negative,but this relationship is not obvious,which illustrates the hypothesis about investment reputation is not exist.