新股发行、价格确定与信息效率

本文从新股发行价格对各类信息的反应效率这一角度来研究核准制下新股发行定价效率问题.针对影响新股发行定价的信息因素具有多层次、多维度的特点,本文建立了一个有内在逻辑关系、能够较全面反映新股发行价格影响因素的理论框架,并采用协方差结构模型分析方法进行实证研究.结果显示:在核准制下新股价格基本上反映了内在价值因素和市场环境因素,具有一定的信息效率;而对发行因素反映的较少,缺乏这方面的信息效率.总体而言,我国新股发行定价的信息效率仍较为有限.

Study on the Information Efficiency in the Pricing of IPO in China

From the efficiency of issuing of IPOs-price responding to all kinds of information, this paper carries on the study of the information efficiency of the issuing-price making of IPOs under authorization system in china. Focusing on the much-dimensionality characteristic of the factors affecting the issuing-price making of IPOs, this paper establishes a logical and comprehensive theory flame which can reflect all the factors affecting the issuing-price making of IPOs, further, makes an empirical analysis of these factors by using Covariance Structure Model (CSM). The result shows: the issuing prices of IPOs are comparatively reasonable and have embodied the information efficiency to some extent because the inner value of IPOs and the market environment are basically considered, however, fail to reflect the issuing information, so have not embodied the information efficiency in this respect. Therefore the information efficiency of the issuing-price making of IPOs is still comparatively low.