我国新股发行制度变迁与IPO高抑价的实证研究

20059Sep.2005233Humanities&SociaISciencesJournaIofHainanUniversityVoI.23No.3IPO410005IPOIPOAIPOANOVAAIPOIPOIPOF830.91A1004-1710200503-0337-082005-04-261968-IntiaIPubIicOfferingUnderpricingTimLoughranJayR.Rit-terKristianRydgvist199511995IPO2515790IPO2529.8%IPO70%~80%AIPO150%200022001320044JingChiCaroIPadgett20055IPO2070IPORock19866Win-nersCurseHypothesisRockHughesThakor19927theLawsuitAvoidanceHypothesisIPOBaron19828IPOLoughranRitter20049IPO733IPOStoughtonZechner199810IPOIPOAggarwaIPrabhaIaPuri20021169IPOEntrepreneurIPOoustfromthecompanyIPOIPO199712Rock1986IPODongweiSu&BeItonM.FIeisher199913IPOIPO20002000142001152002JingChiCaroIPadgett2005IPOuninformedIPOIPOIPOAIPOAIPOAIPOAIPOAIPOIPO1990121920041231A199019901990PT123790%MARIPOA999998A399002199012191992104MARIPO=!1!0#!0$1$0#$011IPORIPORIPO=!1!0#!0212!0!1$0$1IPO833200531AlPOIPOIPOIPO/%MARIPO/%RIP0/%199142973.99812.4130.690.321.19744.041065.631992756599.051873.2922.0914.0549.49473.98493.40199312316689.004014.7023.4449.38205.27194.93187.0419943613900.702544.3325.379.1650.0479.6384.8819951215470.404620.6718.875.5418.56119.46117.73199616813649.702327.8526.4039.11229.32110.39117.00199718734973.605641.8429.27105.50654.01150.00150.43199810140082.907162.9727.8572.35404.84136.34132.5019999353096.508885.2330.1082.63493.80108.25111.95200013960734.008112.9530.28112.77844.20150.30151.6420016784057.0011859.4029.8779.46563.18138.29136.4620026974922.2016978.3030.08117.15516.96125.59125.6320036354904.009385.2433.1559.13345.9072.4672.40200410037828.205613.1032.8656.13378.2870.3970.1319912004123736420.006416.5927.88802.684755.04191.00215.00114AIPO191%1237151.71%4IPOTimLougIranJayR.RitterandKristianRydgvist19951IPO14WeIOI&Ritter200216IPOWeIOI&Ritter200219802001IPO80%20%199971.7%IPO111IPO744.04%10200470.39%1IPO933IPO17IPOIPOIPOAIPOIPO1IPOIPOIPO1992199319992000200320041IPO199181219921873IPO660019911992IPO709.52%IPO609.01%!19931999IPO2000~80001IPOIPO2000200313IPO232110AIPO1970200312281820042004625IPO2004100IPO381/32004IPO5613.11997IPO2004IPO70.39%IPOIPOWelch&Ritter20022IPO!IPO/%/%/%/%118149.7621.09400.5283.00209231.77-2.122435.58273.18181111.943.52430.1473.4530584.90-38.031669.17469.83563128.72-12.11825.0584.04443.19-7.09161.3879.1732138.0038.07312.9485.6204320053!IPOIPO4041237681993IPO4311993IPOIPO27AIPOIPOAIPOIPO70%~85%IPO4IPOIPOAIPOIPO980IPO9803IPOIPO10108.08%20146.63%!IPO/%/%/%~10292.96108.0888.44101532433.06124.3585.99152036937.65127.2984.6820~25826.33146.6384.90IPO6.46/136.68600588!77%IPO4~10AIPO4IPO34#/%/%/%~414.86319.64362.994637.12145.27102.0761039.58124.0080.8210156.16110.5664.8015~2.2967.6270.65IPOIPOAIPOAIPOAIPOIPOAIPO1990200415IPO4199019921993199920002003143IPO!6006074310/1/IPO2004group1group2group3group4ANOVA5AIPO/%/%/%/%/%19911992group1794884543502436-3819931999group27201371041171285-1220002003group33381298211447702004group4100715457326-9TotaITotaI12371521711162436-385AIPOAIPOIPOLeveneLevene144.499P0.05SPSSGames-HoWeIIANOVA66ANOVAP95%group23.5100.51250.0002.16194.8521group1group33.5900.51290.0002.24624.9386group44.1700.51390.0002.82645.5232group2group1-3.5100.51250.000-4.8521-2.1619group30.0850.05890.468-0.06620.2369group40.6700.06650.0000.49560.8399group3group1-3.5900.51290.000-4.9386-2.2462group2-0.0850.05890.468-0.23690.0662group40.5800.07000.0000.40130.7635group4group1-4.1700.51390.000-5.5232-2.8264group2-0.6700.06650.000-0.8399-0.4956group3-0.5800.07000.000-0.7635-0.4013Themeandifferenceissignificantatthe.05IeveI.62319931999200020032~826AIPO20042432005323ANOVAAIPOIPOANOVAAIPOIPOAIPOIPOIPOIPO1220002004AIPOIPO24AIPO21TIMLoughranJAYRRitterKRISTIANRydgvist.InitiaIpubIicofferingsInternationaIinsightsJ.Pacific-BasinFinanceJournaI19953139-140.2.J.200081-12.3.J.2001585-90.4.AIPOD.2004.5JINGChiCAROLPadgett.Short-rununderpricinganditscharacteristicsinChineseinitiaIpubIicofferingIPOmarketsJ.ResearchinIn-ternationaIBusinessandFinanceVoIume19Issue12005371-93.6ROCKKEVIN.WhynewissuesareunderpricedJ.JournaIofFinanciaIEconomics198615187-212.7HUGHESPATRICIAJANJANV.Thakor.LitigationRiskintermediationandtheUnderpricingofInitiaIPubIicOfferingsJ.ReviewofFinanciaIStudies19925709-742.8BARONDAVID.AModeIoftheDemandofinvestmentBankingAdvisingandDistributionservicesForNewIssuesJ.JournaIofFinance198237955-976.9TIMLoughranJAYRRitter.WhyHasIPOUnderpricingChangedOverTimeJ.FinanciaImanagement2004335-37.10STOUGHTONNEALMJOSEFZechner.IPO-MechanismsMonitoringandOwnershipstructureJ.JournaIofFinanciaIEconomics19984945-77.11AGGARWALREENAPRABHALANMANJUPuri.InstitutionaIAIIocationininitiaIPubIicOfferingsEmpiricaIEvidenceJ.JournaIofFinance200257Forthcoming.12.J.19971217-24.13DongweiSuBetionMFIeisher.AnEmpiricaIInvestmentofUnderpricinginChineseIPOsJ.Pacific-BasinFinanceJournaI19997173-202.14.J.2001531-35.15.J.2002181-86.16WELCHRITTER.AReviewofIPOActivityPricingandAIIocationsJ.JournaIofFinance20021571795-1828.17.M.2000.168.343IPOAPositiveStudyofUnder-pricingofChineseIPOsandItsOfferingSystemJIANGShun-caiJIANGYong-mingCoiiegeofMathematicsandComputingScienceCentrai-SouthUniversityChangsha410005ChinaAbstractThea