| 基于随机边界与分位回归的我国新股发行定价行为 |
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| 引用本文： | 王新宇,赵绍娟.基于随机边界与分位回归的我国新股发行定价行为[J].系统工程,2008,26(4):24-29. |
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| 作者姓名： | 王新宇 赵绍娟 |
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| 作者单位： | 中国矿业大学,管理学院,江苏,徐州221008 |
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| 基金项目： | 国家自然科学基金
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江苏省青蓝工程计划项目 |
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| 摘 要： | 运用随机边界模型的极大似然方法估计1998～2007年间我国新股发行的定价前沿,发现我国新股存在"真实发行抑价",然后基于分位数回归模型分析了我国新股发行定价的影响因素,结果表明不同发行价格水平新股的定价影响机制并不相同.这一结论可以为证券监管部门以及发行公司本身提供政策借鉴作用.
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| 关 键 词： | 随机边界模型 分位数回归 新股发行定价 随机边界模型 分位回归 新股发行定价 定价行为 Regression Models Quantile Stochastic Frontier Based Public Initial Chinese Behavior 作用 政策借鉴 发行公 监管部门 证券 影响机制 价格水平 结果 |
The Pricing Behavior of Chinese Initial Public Offerings Based on Stochastic Frontier and Quantile Regression Models |
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| WANG Xin-yu,ZHAO Shao-juan.The Pricing Behavior of Chinese Initial Public Offerings Based on Stochastic Frontier and Quantile Regression Models[J].Systems Engineering,2008,26(4):24-29. |
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| Authors: | WANG Xin-yu ZHAO Shao-juan |
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| Institution: | WANG Xin-yu,ZHAO Shao-juan(School of Management,China University of Mining , Technology,Xuzhou 221008,China) |
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| Abstract: | The paper estimates the pricing frontier of China's initial public offerings from 1998 to 2007,based on the stochastic frontier model by the maximum likelihood method,and discovers the existence of deliberate underpricing.The influencing factors of initial public offering price are also analyzed by quantile regression model,based on which,a conclusion is drawn that the pricing mechanisms of initial public offerings are various with different levels of offering price.This conclusion can provide policy refere... |
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| Keywords: | Stochastic Frontier Model Quantile Regression Pricing of Initial Public Offering |
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