中国A股市场短期与长期定价效率研究

本文采用两阶段估值模型计算了我国Ａ股市场短期和长期的定价偏差，并根据发行定价偏差分组，发现发行时高估和低估都存在，但每组股票在上市首日都有正的超额回报，即使发行时该组股票已被高估；定价偏差在半年后迅速缩小，三年半后基本消失。这说明市场定价短期无效，高初始收益率是由二级市场非理性的惯性上涨因素所驱使，而且这个现象并不能被现有理论完全解释；二级市场不能立即纠正甚至会放大定价偏差，但二级市场在长期定价有效。本文的结果证实了投资者非理性行为的存在，因此，改善市场定价透明度、提升投资者理性是证券发行市场化的重要前提。

This paper calculates the short-term and long-term price deviation of China's A-share market using two-stage valuation model and we divide the Chinese A-shares stocks into groups based on the level of their IPO mispricing, and we find: (i) Both overpricing and underpricing stocks exist, however, all groups have positive first day return, even if it was over-priced in IPO; (ii) the mispricing deteriorates gradually, and completely disappears in about three years. The results tell us that, the stock market is not efficient in short term, and the high first return is driven by irrational inertia rising. This pattern cannot be fully explained by the exiting theories. The misprice of IPO cannot be corrected timely in the secondary market, but secondary market is efficient in the long run. Our results suggest the existence of investor irrational behavior, and improving pricing transparency and investor rationality is necessary for IPO market deregulation.