持股锁定期、信息动量与IPO抑价

基于IPO首日抑价可以产生信息动量效应,进而增加二级市场对新股需求的假设,建立了锁定期与IPO抑价关系模型。对模型的分析表明,当抑价所产生的边际信息动量足够高时,IPO抑价为锁定比例和锁定期的增函数。应用1998至2004年137只实施了锁定规则的IPO数据进行了检验,实证结果支持模型的假设和结论,表明锁定期并未起到传递公司质量信息的作用,抑制二级市场投资者对新股的狂热情绪,或者延长锁定期有可能使其达到这一目的。

Lockup Period, Information Momentum and IPO Underpricing

Based on the assumption that first-day IPO underpricing could generate information momentum and thereby increasing demands for the new issuing stocks,this paper models the relationship between lockup period and IPO underpricing. The model predicates that when the marginal information momentum induced by the IPO underpricing is large enough,the IPO underpricing is an increasing function of lockup rate and period. Using 137 locked IPOs issued in Shanghai and Shenzhen A share markets from 1998 to 2004,we find that the model's assumptions and conclusions are confirmed by the empirical tests. This implies that lockup period did not transfer firms quality information effectively. Depressing the non-rational fads for new issuing stocks or extending the lockup period,The lockup period may be used as a tool to send the quality information of firms.