CAJ | 학술논문

机构投资者报价是询价制度下IPO定价的核心环节，本文从机构报价中的意见分歧角度研究中国股票一级市场IPO“三高”问题，以及二级市场新股上市首日及长期表现。研究发现，我国询价机构的报价存在较大差异性，表明机构报价过程中意见分歧较为严重。进一步研究表明，询价机构报价差异性越大、意见分歧越严重，一级市场IPO定价过高问题就越突出，并导致“三高”问题的出现；同时，机构报价差异性与IPO首日收益呈显著负相关，表明二级市场投资者意见分歧已通过询价机构报价的方式提前反映到IPO定价中；而长期来看，机构报价差异性越大，未来股价下跌幅度越大，市场低迷问题也越突出。本文的研究对于理解中国市场IPO现象、改革与完善IPO定价机制，以及加强中小投资者保护具有重要意义。
궤구투자자보개시순개제도하IPO정개적핵심배절，본문종궤구보개중적의견분기각도연구중국고표일급시장IPO“삼고”문제，이급이급시장신고상시수일급장기표현。연구발현，아국순개궤구적보개존재교대차이성，표명궤구보개과정중의견분기교위엄중。진일보연구표명，순개궤구보개차이성월대、의견분기월엄중，일급시장IPO정개과고문제취월돌출，병도치“삼고”문제적출현；동시，궤구보개차이성여IPO수일수익정현저부상관，표명이급시장투자자의견분기이통과순개궤구보개적방식제전반영도IPO정개중；이장기래간，궤구보개차이성월대，미래고개하질폭도월대，시장저미문제야월돌출。본문적연구대우리해중국시장IPO현상、개혁여완선IPO정개궤제，이급가강중소투자자보호구유중요의의。
The bids from institutional investors are the core of the IPO pricing process under bookbuilding mechanism. This paper studies the disagreement of institutional investors to explain Chinese IPO ＂Three Highs＂ problem in the primary market and the first-day and long-term performance in the secondary market. The results show that bids of the institutional investors have big divergence, which means great disagreement during the bidding process. The higher dispersion in the bids is, the greater overpricing in the primary market is, and the more serious ＂Three Highs＂ problem is. Meanwhile, the dispersion of bids has significant negative relationship to the initial return, which means that the disagreement of investors in the secondary market has get into IPO pricing in advance through bidding. From the perspective of long term, the higher dispersion in the bids is, the lower the return is. This study is helpful to understand the IPO market phenomena, to improve the IPO pricing mechanism, and to strengthen the protection to small investors.