询价制下机构投资者报价行为与IPO定价效率研究

项目名称： 询价制下机构投资者报价行为与IPO定价效率研究

项目编号： No.71203246

项目类型： 青年科学基金项目

立项/批准年度： 2013

项目学科： 宏观管理与政策

项目作者： 黄瑜琴

作者单位： 中央财经大学

项目金额： 21万元

中文摘要： 询价制是我国新股发行制度市场化改革的方向。而在询价制下，投资者能否通过其报价行为提供关于新股估值和市场需求的准确信息，以及该信息能否被承销商有效甄别，是决定新股定价效率，乃至资本市场资源配置效率的关键因素。本课题将采用理论分析和实证检验的方法，对机构投资者报价行为及其对IPO定价效率的影响进行研究。本课题的研究方向主要包括：一是参与询价的机构投资者报价行为是否会表现出有信息投资者、风险规避型"搭便车"和投机型"搭便车"者（噪声交易者）的行为特征，这三类投资者对IPO定价效率有何影响；二是各类机构投资者的报价行为如何影响承销商自主定价效率和新股分配的权力；三是询价制下机构投资者报价行为是否会表现出行为金融学中过度自信、自我归因等非理性特征，这些非理性行为对IPO定价效率有何种影响。最后，根据研究中发掘的机构投资者报价行为特征，将为我国询价制下一阶段市场化改革提供启发及政策建议。

中文关键词： 询价制；投资者报价有信息程度；承销商；IPO抑价；学习效应

英文摘要： The bookbuilding system is the direction of market-oriented reforms in China's IPO system. Investors' ability of providing accurate information on new stock valuation and market demands through bidding behaviors, and effective information screening ability of underwriters are crucial factors to bookbuilding system. This project will focus on bidding behaviors of institutional investors and the impact on the efficiency of IPO pricing. We will mainly cover three questions: Firstly, which behavior characteristics did institutional investors demonstrate, investors with information, risk-averse free rider, or speculative free rider (noise trader)? Secondly, how did bidding behavior affect the the underwriters independent pricing efficiency and allocation power of new shares? Thirdly, did institutional investors' bidding behavior show non-rational characteristics such as overconfidence, self-attribution? How did non-rational behaviors affect efficiency of IPO pricing? Finally, we will provide policy suggestion for next phase of IPO system reforms basing on our research on institutional investors bidding behaviors.

英文关键词： Book-building system；Investors’ bidding informativeness;；Underwriter；IPO Underpricing；Learning effect