CAJ | 학술논문

本文采用两阶段估值模型计算了我国A股市场短期和长期的定价偏差，并根据发行定价偏差分组，发现发行时高估和低估都存在，但每组股票在上市首日都有正的超额回报，即使发行时该组股票已被高估；定价偏差在半年后迅速缩小，三年半后基本消失。这说明市场定价短期无效，高初始收益率是由二级市场非理性的惯性上涨因素所驱使，而且这个现象并不能被现有理论完全解释；二级市场不能立即纠正甚至会放大定价偏差，但二级市场在长期定价有效。本文的结果证实了投资者非理性行为的存在，因此，改善市场定价透明度、提升投资者理性是证券发行市场化的重要前提。
본문채용량계단고치모형계산료아국A고시장단기화장기적정개편차，병근거발행정개편차분조，발현발행시고고화저고도존재，단매조고표재상시수일도유정적초액회보，즉사발행시해조고표이피고고；정개편차재반년후신속축소，삼년반후기본소실。저설명시장정개단기무효，고초시수익솔시유이급시장비이성적관성상창인소소구사，이차저개현상병불능피현유이론완전해석；이급시장불능립즉규정심지회방대정개편차，단이급시장재장기정개유효。본문적결과증실료투자자비이성행위적존재，인차，개선시장정개투명도、제승투자자이성시증권발행시장화적중요전제。
This paper calculate the short-term and long-term price deviation of China’s A-share market using two-stage valuation model and we divide the Chinese A-shares stocks into groups based on the level of their IPO mispricing,and we find:( i) Both overpricing and underpricing stocks exist,however,allgroups have positive first day return,even if it was over-priced in IPO;( ii) the mispricing deteriorates gradually,and completely disappears in about three years. The results tell us that, the stock market is not efficient in short term, and the high first return is driven by irrational inertia rising. This pattern cannot be fully explained by the exiting theories. The misprice of IPO cannot be corrected timely in the secondary market, but secondary market is efficient in the long run. Our results suggest the existence of investor irrational behavior,and improving pricing transparency and investor rationality is necessary for IPO market deregulation.