中国股市增发新股抑价的程度和原因

本文对 2 0 0 0年 1月 1日～ 2 0 0 2年 6月 2 0日中国深沪两市所有增发新股的实证分析表明 ,增发新股首日上市的平均抑价率为 15 .6 9%。抑价率小于 15 %的公司个数占总体的 6 7% ,抑价率小于 30 %的公司个数则占到总体的 81%。增发数量 ,增发前一年每股收益和增发市盈率对增发新股抑价率影响显著 ,其中 ,增发数量 ,增发前一年每股收益与增发新股抑价率呈U型的二次函数关系 ,在二次函数的拐点出现前 ,增发新股数量的信息效应大于供给效应 ,增发前一年每股收益的质量效应大于投资效应 ,拐点出现之后 ,则与此相反。

Level of and Reasons for the Underpricing of China's New Stock

Through an empirical analysis on China's new stock issue in Shenzhen and Shanghai from Jan. 1st, 2000 to June 20th, 2002, this paper shows that the average underpricing rate of first day new stock listing is 15.69%. Companies with the rate less than 15% account for 67% while those with the rate less than 30% account for 81%. The amount of new stock and EPS one year before the new stock issue have a remarkable effect on the underpricing rate, and there is relationship of quadratic function taking the shape of letter U among the three mentioined above. Before the turning pint appears, the information effect of new stock amount is stronger than the supply one, and the quality effect of EPS stronger than its investment effect whereas after the turning point appears, converse is the case.