Abstract: Since the first-day yield of new shares in China was limited in 2014, the price of new stocks have often reached extremely very high yield after days of continuous increasing. Thus the understanding and analysis of the phenomenon of IPO underpricing should be different from the past in terms of recognition and algorithm. This paper proposed, for the first time, the “Chinese-style IPO underpricing”, and analyzed the impact of the first-day yield limitation on IPO underpricing by comparing China’s and US stocks using the survival analysis approach. The results show that first-day yield limitation further improves the IPO underpricing rate in China. Besides, this paper demonstrates, for the first time, the relationship between IPO underpricing and the phenomenon of “speculation of new stocks” in China, and finds that the IPO underpricing and the phenomenon of “speculation of new stocks” in China essentially complement each other.

Key words: first-day yield limiation, IOP-underpricing, “speculation of new stocks”, survival analysis

摘要： 中国自2014年新股首日涨幅限制以来，新股往往经过多天的连续涨停达到极高的收益率水平。因此，对于中国IPO抑价现象无论是认识上还是具体的算法上都应与以往有所区别。首创性提出“中国式IPO抑价”，并通过中美比较和生存分析的方法研究了首日涨幅限制对IPO抑价的影响，发现新股首日涨幅限制进一步提高了中国的IPO抑价率。在此基础上，首次对中国IPO抑价以及炒新问题之间的关系进行了论证，发现中国的IPO抑价现象与中国炒新问题本质上是相辅相成的。

关键词: 涨幅限制, IOP抑价, 炒新, 生存分析