首日涨幅限制对IPO抑价的政策效果及影响机制研究
he Study of First-day Price Limit\'s Policy Effect and Mediation Mechanism on IPO Underpricing
本文旨在研究沪深交易所于2014年1月起实施的首日涨幅限制对IPO抑价的政策效果及基于中介效应的影响机制。本文选取2012年4月至2014年2月期间我国A股市场上市的149支新股的IPO数据，（1）采用Rubin因果推断模型估计首日涨幅限制的平均处理效应显著为54.416%；（2）采用平均因果中介效应模型估计二级市场投资者情绪在首日涨幅限制影响IPO抑价过程中的平均因果中介效应和中介比例分别显著为14.44%和27.49%。本文研究结果表明首日涨幅限制导致IPO抑价更为严重，且二级市场投资者情绪在首日涨幅限制影响IPO抑价的过程中发挥了部分中介效应。相比于现有文献，本文的主要贡献在于识别了二级市场投资者情绪在首日涨幅限制与IPO抑价之间的中介作用，填补了现有文献的空白。
his paper aims to study First-day price limit\'s policy effect and mediation mechanism on IPO underpricing. This paper uses the IPO data of 149 new shares which went public on A-share market from April 2012 to February 2014, and (1) uses Rubin causal model to estimate that the average treatment effect on the treated (ATT) of First-day price limit is significantly to be 54.416%; (2) uses average causal mediation effect model to estimate that the average causal mediation effect (ACME) and the mediation proportion of investor sentiment in the secondary market in the process when First-day price limit affecting IPO underpricing are respectively to be 14.44% and 27.49%. In summary, the results of this paper show that First-day price limit leads to more IPO underpricing, and investor sentiment in the secondary market plays an intermediary role between First-day price limit and IPO underpricing. Compared with the existing literature, this paper\'s main contribution lies in the identification of the causal mediation effect of investor sentiment in the secondary market when First-day price limit affecting IPO underpricing.
戴晓凤、张业行
财政、金融
金融市场首日涨幅限制二级市场投资者情绪IPO抑价Rubin因果推断因果中介效应
Financial MarketFirst-day Price LimitInvestor Sentiment in the Secondary MarketIPO UnderpricingRubin Causal InferenceCausal Mediation Effect
戴晓凤,张业行.首日涨幅限制对IPO抑价的政策效果及影响机制研究[EB/OL].(2019-12-16)[2025-08-11].http://www.paper.edu.cn/releasepaper/content/201912-55.点此复制
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