承销商与发行人的信息不对称程度测算——基于双边随机前沿模型

本文基于双边随机前沿模型对2005-2018年我国新股发行市场上承销商和发行人之间的信息不对称程度进行了实证测算。研究结果表明：承销商和发行人所掌握的信息因素对承销费用率的形成具有重要影响；在承销费用率的议定过程中，承销商具有绝对的信息优势，并使费用率平均增加0.85%；承销商信息优势随新股定价制度改革而增强，这是近些年新股发行费用率不断上升的原因之一；高声誉和无政府关系背景的承销商在信息掌握上具有更多优势。降低企业发行成本需改善承销市场的信息分布，逐步减少对新股定价的过多限制。

Measurement of Information Asymmetry between Underwriters and Issuers——Based on Two-tier Stochastic Frontier Model

The underwriting expense ratio of China's IPO market has been rising in recent years, which is the main cost burden in the listing process. Information asymmetry is the main factor affecting the negotiation of underwriting expense ratio. Therefore, based on the two-tier stochastic frontier model, the degree of information asymmetry between underwriters and issuers in China's IPO market is measured, and then the reasons for the rising underwriting expense rate are explored.Based on China's IPO data from 2005 to 2018, the estimation results of the two-tier stochastic frontier model show that the information factor between the issuer and the underwriter can explain 76% of the total variance; the information factor has an important impact on the negotiation of the underwriting expense rate. Further analysis of the surplus extracted by issuers and underwriters shows that: (1) the underwriters have an absolute information advantage in the process of fee bargaining, and they can increase the final underwriting expense rate by an average of 0.85% by virtue of their own information advantages. (2) The degree of information asymmetry between underwriters and issuers has been enhanced with the reform of the IPO institution. This is because the dual restrictions on the pricing of new shares and the closing price of the first day make the underwriters' ability and effort not reflected. This enhanced the information advantage of the underwriters. (3) Underwriters with high reputation, no government relationship or background will have stronger information advantages and be more able to raise prices in the negotiation of the underwriting expense rate.The conclusions of this study have two inspirations: (1) The information asymmetry between underwriters and issuers is one of the main reasons for the rising underwriting rate in China. This information asymmetry mainly comes from the enhancement of information advantage of underwriters. To reduce the cost of listing companies, it is necessary to build a mechanism that can tap the information of underwriters. (2) The regulatory authorities should consider canceling the restriction on the first day closing price of new shares at an appropriate time. The restrictions on the first day return of new shares is the protection of underwriters, which is not conducive to the bargaining position of enterprises in the underwriting market and increases the issuance burden of enterprises.