增发新股折价现象的实证研究

逆向选择假说对我国增发新股的折价现象没有解释能力,不确定性假说具有某种解释能力。我国增发新股的首日超额报酬率与投资者的配售比例、上市等待期的指数报酬率负相关,与承销商的声誉、事前不确定性程度正相关。上述发现表明,当前增发新股时,我国的机构投资者(包括基金和法人投资者)与其他公众投资者(去除老股东的公众投资者)之间的信息差异并不明显;我国的股票市场尚是一个参与各方未达到分离均衡的市场。

A Empirical Study on the Underpricing of Season Equity Offerings of China

Uncertainty theory has some explanation power for the underprcing of Chinese SEO,while adverse-selection theory has not.There are negative relations between initial abnormal return and allocation ratio,index return of waiting period,while positive relations between initial abnormal return and investment banker reputation,ante-uncertainty.The implications of this study are that the information asymmetry between institutional investors and ordinary investors is not significant for season equity offerings,and Chinese stock market has not achieved separation equilibrium.