新股发行限价、投资者情绪与IPO抑价的关系研究

A Study on the Relationship between IPO Price Limit, Investor Sentiment and IPO Underpricing

摘要: 我国证券市场发展已三十余年，期间经历了多次制度上的改革，同时存在高IPO抑价率的特征，而IPO抑价率过高会不同程度地影响资本市场资源配置效率。本文构建IPO极大抑价率概念，使用PSM方法控制组别之间可能产生的干扰，以2009年7月10日至2021年11月30日期间2342个IPO公司为样本进行实证分析。结果发现，相对于市场化定价阶段，新股发行限价加剧了IPO抑价程度；投资者情绪在新股发行限价与IPO抑价之间发挥了部分中介效应，对提高IPO抑价率起到了显著的作用。本文研究结论有助于优化IPO注册制政策的实施路径，提升资本市场资源配置效率。

Abstract: China’s securities market has been developed for more than thirty years and has undergone several institutional reforms during this period, at the same time, there exists a high IPO underpricing rate characteristic, and the high IPO underpricing rate will affect the efficiency of capital market resource allocation to varying degrees. This paper constructs a concept of IPO Maximum underpricing rate, uses the PSM method to control for possible interference between groups, and conducts an empirical analysis with a sample of 2342 IPO companies from July 10, 2009 to November 30, 2021. The results find that IPO price limits exacerbate the degree of IPO underpricing relative to the market-based pricing phase; Investor sentiment plays a partial mediating effect between IPO price limit and IPO underpricing, and plays a significant role in increasing the IPO underpricing rate. The findings of this paper help to optimize the implementation path of IPO registration policy and enhance the efficiency of capital market resource allocation.