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本文从微观决策环境出发构建一个信息不对称条件下的IPO定价模型并借助双边随机前沿方法对我国市场的IPO定价效率进行实证研究。研究发现:IPO市场信息不对称使得我国中小板上市公司IPO的实际价格低于内在价值,定价效率偏低;多数公司以低于内在价值的价格发行新股,但不同公司的折价程度有所差异;折价效应、溢价效应以及二者净效应在年度、规模、承销商声誉方面均具有一定程度的异质性特质。
In this paper, an IPO pricing model under the condition of information asymmetry is constructed from the micro-decision environment and an empirical study is conducted on the IPO pricing efficiency in China by means of a bilateral stochastic frontier approach. The results show that the IPO market asymmetry makes the actual price of IPOs listed in China’s small and medium-sized listed companies lower than the intrinsic value and the pricing efficiency is low. Most companies issue new shares at a price lower than the intrinsic value, but the discount of different companies is different. The discount effect, the premium effect and the net effect of both have a certain degree of heterogeneity in terms of annual, scale and underwriter’s reputation.