可观测异质、私人信息结构与IPO抑价

新兴资本市场投资者之间存在信息不对称和异质分歧,传统行为金融理论并没有结合两者对IPO抑价进行深入研究。文章结合信息不对称和行为金融理论,构建投资者可观测性异质和私人信息结构下的IPO定价、抑价模型,分析了可观测性异质、私人信息结构与IPO抑价之间的作用机理,研究结果表明：在其他条件不变情况下,投资者之间可观测性异质越大,IPO抑价越高;机构投资者私人信息对IPO定价产生较大的影响,而散户投资者是否拥有私人信息对IPO抑价影响不大,即机构投资者之间信息不对称程度越大,IPO抑价越低,散户投资者则无影响;此外,进一步研究发现,IPO抑价还与投资者风险规避系数、配售比例和发行规模正相关,与机构投资者数量负相关。因此,本文的研究不仅能解释中国IPO"异象",也能为中国证券市场下一步市场化改革提供一定的理论指导。

Observable heterogeneity, structure of private information and IPO underpricing

There exist information asymmetry and heterogeneous divergence among investors in emerging capital markets, and traditional behavioral finance theory does not combine the two to conduct in-depth research on IPO underpricing. Based on behavioral finance and information asymmetry theory, this paper constructs an IPO underpricing model under the investor observable heterogeneity and structure of private information, and analyzes the mechanism of them. The results show that remaining the other conditions unchanged, the greater the observable heterogeneity between investors, the higher the IPO underpricing. The private information of institutional investors has a greater impact on IPO pricing, and whether retail investors have private information or not, that is, the greater the degree of information asymmetry between institutional investors, the lower the IPO underpricing, but retail investors have no effect. In addition, further research has found that IPO underpricing is positively correlated with investor risk aversion coefficient, allocation proportion and issuance scale, and is negatively correlated with the number of institutional investors. Therefore, the research in this paper not only can explain the "vision" of China''s IPO, but also can provide some theoretical guidance for the further marketization reform of China''s securities market.