CAJ | 학술논문

本文研究在我国询价制下，承销商如何依据机构投资者报价行为提供的信息对新股进行定价，及其对IPO抑价率和长期市场表现的影响。通过对我国296次IPO发行中约3万次机构投资者报价数据的研究，本文发现在超额承销费激励和声誉风险制约的情况下，机构投资者报价行为反映的有信息程度越低，承销商最优选择下的新股定价超过公司合理价值预期的程度越高，同时新股上市后表现越差，投资者遭受“赢者诅咒”的可能性越大。基于此，本文提出在我国新股发行制度市场化改革中，应采取延长新股路演和询价时间、提高网下配售比例等措施，以降低IPO过程中投资者的信息不对称程度，强化对有信息投资者的激励，提高新股定价效率。
본문연구재아국순개제하，승소상여하의거궤구투자자보개행위제공적신식대신고진행정개，급기대IPO억개솔화장기시장표현적영향。통과대아국296차IPO발행중약3만차궤구투자자보개수거적연구，본문발현재초액승소비격려화성예풍험제약적정황하，궤구투자자보개행위반영적유신식정도월저，승소상최우선택하적신고정개초과공사합리개치예기적정도월고，동시신고상시후표현월차，투자자조수“영자저주”적가능성월대。기우차，본문제출재아국신고발행제도시장화개혁중，응채취연장신고로연화순개시간、제고망하배수비례등조시，이강저IPO과정중투자자적신식불대칭정도，강화대유신식투자자적격려，제고신고정개효솔。
Using a unique dataset of more than 30,000 observations of institutional investors＇ bids in 296 initial public offerings （IPOs） in China during Nov 2010-Nov 2031, we examine how the informativeness of investors＇ bidding behavior affects the IPO pricing strategy of underwriters, and how the bidding informativeness and underwriters＇ pricing strategy affect IPO underpricing and long - run performance under current book - building system in China. We find that with the underwriters optimizing the IPO price to trade - off the benefit of higher proceeds and the cost of larger reputation loss from higher IPO offer price, the lower the informativeness of investors＇ bids for an IPO, the higher the overvaluation of IPO offer price relative to its expected fair value, and thus the higher the long - run underperformance and the risk of ＂winner＇s curse＂ for the IPO. The results suggest alleviating information asymmetry and encouraging the participation of informed institutional investors in IPO through longer road show period and higher offline issuance quota, and thus promoting China＇s IPO system reform,