中国IPO首日超额收益：基于抑价和溢价的解释
Underpricing and Overvalution of IPO
以1998－2003年间的520家A股IPO公司为样本，采用可比公司估价法，本文将IPO首日超额收益分解为一级市场抑价和二级市场溢价，结果发现，我国IPO首日超额收益主要来自一级市场的发行抑价，但是二级市场溢价也占了五分之一的比重。进一步的研究表明，发行监管是影响IPO抑价的主要因素，一级市场抑价随新股发行的市场化进程而显著降低。二级市场溢价与投资者的意见分歧程度、狂热情绪以及正向反馈交易风险显著正相关。
Using a sample of 520 A-share IPOs during 1998-2003, we decompose AIR into underpricing and overvaluation. The results show that underpricing contributes to the most part of AIR in China. However, overvaluation is also important for explaining AIR. Further empirical research shows that financial regulations are the most important factor affecting IPO underpricing and IPO underpricing decreases with the improvement of the primary market. IPO overvaluation is positively related to the IPO overvaluation, investor sentiment and positive feedback risk.
夏新平、汪宜霞
财政、金融
IPO，首日超额收益，一级市场抑价，二级市场溢价
IPO Abnormal initial returnUnderpricing Overvalution
夏新平,汪宜霞.中国IPO首日超额收益：基于抑价和溢价的解释[EB/OL].(2006-08-15)[2025-08-24].http://www.paper.edu.cn/releasepaper/content/200608-165.点此复制
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