询价制度改革、知情交易者概率与IPO溢价

O'Hara理性预期模型假设非知情交易者对市场交易价格信息存在完全学习行为，从而知情交易者概率对资产期望收益产生负向效应。本文放松这一假设，引入非知情交易者学习程度，在理性预期模型框架下，以新股发行市场为背景对理性预期模型进行了拓展，模型结论表明：非知情交易者对市场交易价格的学习行为影响了知情交易者概率与资产期望收益的关系；当市场非知情交易者存在学习行为时，随着非知情交易者的学习程度加深，知情交易者概率对资产期望收益产生负向影响。在进一步的实证研究中，通过羊群效应验证了市场上非知情交易者的学习行为，以2010年1月到2011年12月在中小板上市的278家IPO公司为样本，对模型进行实证检验，实证结果支持理论模型结论。本研究对已有实证研究中知情交易者概率对资产收益产生正或负效应这一矛盾的研究结论提出了一种理论解释，并基于此对询价制度改革的有效性进行了检验。本文研究结论对知情交易者概率在资产定价中的适用性具有一定启示性，同时对非知情交易者的学习行为提出了一种实证检验的方法，具有一定的开创性。

IPO Book-building Reform,Probability of Informed Traders and IPO Premiums

O'Hara Rational Expectation Model assumes that non-informed traders definitely learn information from the transaction price, thus the probability of informed traders has a negative effect on asset returns. In this paper, this hypothesis is relaxed and the possibility of non-informed traders' learning behavior is introduced. Using an expanded rational expectation model, it is found that the learning behavior of non-informed traders on the market transaction price affects the relationship between the probability of informed traders and the expected returns.When there is a learning behavior in the market for uninformed traders, the probability of informed traders has a negative impact on expected returns with the deepening of the learning degree of uninformed traders. In empirical analysis, the sample covers 278 IPO firms listed in SME board during 2010 to 2011. Empirical results support theoretical model conclusions. The conflicting research conclusion that the probability of informed traders has positive or negative effects on asset returns is explained, and the effectiveness of the reform of the inquiry system is tested. This study has a certain inspiration to the applicability of the probability of informed traders in asset pricing. At the same time, a kind of empirical test method for non-informed traders' learning behavior is put forward.