CAJ | 학술논문

构建了一个两期承销商收益模型，用相对行业市盈率反映市场条件，研究了不同声誉的承销商在不同市场条件下的IPO定价机制。以2005—2012年中国A股市场的IPO公司为研究样本进行实证检验。研究结果表明：高声誉承销商为提高声誉对当期承销的IPO进行保守定价，低声誉承销商以最大化当期承销收入为目标对IPO进行激进定价。这种定价机制导致：相对于低声誉承销商，高声誉承销商承销的IPO有更高的首日收益和更好的长期市场表现；在高估值市场条件下，高声誉承销商承销IPO的首日收益与市场条件显著正相关，而IPO的长期市场表现与之显著负相关；在低估值市场条件下，低声誉承销商承销IPO的首日收益与市场条件显著正相关，高声誉承销商承销IPO的长期市场表现与之显著负相关。
구건료일개량기승소상수익모형，용상대행업시영솔반영시장조건，연구료불동성예적승소상재불동시장조건하적IPO정개궤제。이2005—2012년중국A고시장적IPO공사위연구양본진행실증검험。연구결과표명：고성예승소상위제고성예대당기승소적IPO진행보수정개，저성예승소상이최대화당기승소수입위목표대IPO진행격진정개。저충정개궤제도치：상대우저성예승소상，고성예승소상승소적IPO유경고적수일수익화경호적장기시장표현；재고고치시장조건하，고성예승소상승소IPO적수일수익여시장조건현저정상관，이IPO적장기시장표현여지현저부상관；재저고치시장조건하，저성예승소상승소IPO적수일수익여시장조건현저정상관，고성예승소상승소IPO적장기시장표현여지현저부상관。
With “relative industry P/E ratio” as a measure of market condition ,this paper develops a two‐period underwriter′s payoff model to investigate IPO pricing mechanism of underwriters with different reputations under different market conditions.Then it uses a sample of A‐share IPOs from 2005 to 2012 to test empirically this model.The result shows as follows :the underwriter with high reputation executes a conservative pricing because of reputational concerns ,while the underwriter with low reputation executes an aggressive pricing to maximize their current prof‐it.The difference in IPO pricing mechanism between high and low reputation underwrites results as follows :comparing with the underwriter with low reputation ,IPOs underwritten by underwriters with high reputation have higher first‐day returns and better long‐run performance ;in the period of high market valuation ,the first‐day return of IPOs underwritten by underwriters with high reputation is positively related to mar‐ket condition ,while the long‐run performance has a negative correlation with it ;in the period of low market valuation ,the first‐day return of IPOs underwritten by underwriters with low reputation is positively related to market condition ,however the long‐run performance of IPOs un‐derwritten by underwriters with high reputation is negatively related to market condition .