сгенерировать QR код
Открытый доступ
Только для подписчиков
Российский рынок IPO: феномен недооценки
https://doi.org/10.32609/0042-8736-2025-10-104-130
Аннотация
Выявлены факторы недооценки IPO российских компаний. Основное внимание уделяется факторам, связанным с теорией асимметрии информации. Проанализированы данные по 116 компаниям реального сектора российской экономики за период с 2000 по 2024 г. В результате построения модели множественной регрессии выявлено, что факт принадлежности компании к технологическому сектору, доля нематериальных активов и величина пересмотра цены положительно влияют на первоначальную доходность российских IPO. Доля выпускаемых в свободное обращение акций отрицательно влияет на недооценку, при этом после 2022 г. отрицательное влияние доли выпускаемых на рынок акций на недооценку усиливается. Результаты исследования подтверждают значимую роль факторов, связанных с теорией асимметрии информации, в формировании недооценки на российском рынке.
Об авторах
А. Е. Сегаль
ПАО Сбербанк
Сегаль Александр Евгеньевич, глава практики
корпоративных финансов на рынках акционерного капитала
Москва
А. А. Галич
Московский государственный университет имени М.В. Ломоносова
Россия
Россия
Галич Анастасия Александровна, инженер кафедры финансов и кредита экономического факультета МГУ
Москва
А. Г. Мирзоян
Московский государственный университет имени М.В. Ломоносова
Мирзоян Ашот Гамлетович, ст. преподаватель кафедры экономики инноваций экономического факультета МГУ
Москва
Список литературы
1. Березинец И. В., Муравьев А. А. (2024). Раскрытие информации и корпоративное управление: результаты анализа данных по российским компаниям // Российский журнал менеджмента. Т. 22, № 2. С. 193—222. https://doi.org/10.21638/spbu18.2024.203
2. Галич A. A., Мирзоян А. Г. (2025). Факторы недооценки IPO: технологический и нетехнологический секторы через призму теорий асимметрии информации и сохранения контроля // Финансы: теория и практика. Т. 29, № 3. С. 45—58. https://doi.org/10.26794/2587-5671-2025-29-3-45-58
3. Ивашковская И. В., Харламов Л. С. (2007). Эффективность ценообразования россий ских IPO // Корпоративные финансы. Т. 1, № 3. С. 53—63. https://doi.org/10.17323/J.JCFR.2073-0438.1.3.2007.53-63
4. Кузьмина О. Ю., Шарафуллина Р. Р. (2023). Поведение розничных инвесторов на российском фондовом рынке в современных условиях // Creative Economy. Т. 17, № 11. С. 4197—4212. https://doi.org/10.18334/ce.17.11.119483
5. Назарова В. В., Анисина Д. В. (2021). Выявление причин недооценки российских компаний при первичном размещении акций // Вестник Московского университета. Серия 6. Экономика. № 3. С. 240—270. https://doi.org/10.38050/013001052021311
6. Сегаль А. Е. (2025). Особенности рынка IPO в России в «новой реальности» (с 2022 года) // Научные исследования экономического факультета. Т. 17, № 1. С. 39—59.
7. Abramov A. E., Kosyrev A., Radygin A., Chernova M. (2021). The experience and lessons of public offerings on the stock markets of the USA, China and Russia. Monitoring of Russia’s Economic Outlook. Trends and Challenges of Socio Economic Development, No. 9, pp. 19—24. https://papers.ssrn.com/abstract=3848558
8. Acedo-Ramírez M. Á., Díaz-Mendoza A. C., Ruiz-Cabestre F. J. (2019). IPO underpricing in the second and main markets: The case of the London Stock Exchange. International Finance, Vol. 22, No. 1, pp. 103—117. https://doi.org/10.1111/INFI.12137
9. Aggarwal R. (2000). Stabilization activities by underwriters after initial public offerings. Journal of Finance, Vol. 55, No. 3, pp. 1075—1103. https://doi.org/10.1111/00221082.00241
10. Albada A., Yong O., Low S. W. (2019). Relationship between prestige signals and oversubscription ratio: Evidence from Malaysian initial public offerings. International Journal of Managerial Finance, Vol. 15, No. 4, pp. 564—579. https://doi.org/10.1108/IJMF-02-2018-0067
11. Amihud Y., Hauser S., Kirsh A. (2003). Allocations, adverse selection, and cascades in IPOs: Evidence from the Tel Aviv stock exchange. Journal of Financial Economics, Vol. 68, No. 1, pp. 137—158. https://doi.org/10.1016/S0304-405X(02)00251-9
12. Angelini E., Foglia M. (2018). The relationship between IPO and macroeconomics fac tors: An empirical analysis from UK market. Annals of Economics and Finance, Vol. 19, No. 1, pp. 319—336.
13. Baba B., Sevil G. (2020). Predicting IPO initial returns using random forest. Borsa Istanbul Review, Vol. 20, No. 1, pp. 13—23. https://doi.org/10.1016/J.BIR.2019.08.001
14. Bajo E., Raimondo С. (2017). Media sentiment and IPO underpricing. Journal of Corporate Finance, Vol. 46, pp. 139—153. https://doi.org/10.1016/J.JCORPFIN.2017.06.003
15. Baker E. D., Boulton T. J., Braga-Alves M. V., Morey M. R. (2021). ESG government risk and international IPO underpricing. Journal of Corporate Finance, Vol. 67, 101913. https://doi.org/10.1016/J.JCORPFIN.2021.101913
16. Bansal R. (2013). High credit rating IPOs and determinants of underpricing. Journal of Economics and International Finance, Vol. 5, No. 4, pp. 131—138. https://doi.org/10.5897/JEIF12.079
17. Beatty R. P. (1989). Auditor reputation and the pricing of initial public offerings. Accounting Review, Vol. 64, No. 4, pp. 693–709.
18. Beatty R. P., Ritter J. R. (1986). Investment banking, reputation, and the underpric ing of initial public offerings. Journal of Financial Economics, Vol. 15, No. 1—2, pp. 213—232. https://doi.org/10.1016/0304-405X(86)90055-3
19. Benveniste L. M., Spindt P. A. (1989). How investment bankers determine the offer price and allocation of new issues. Journal of Financial Economics, Vol. 24, No. 2, pp. 343—361. https://doi.org/10.1016/0304-405X(89)90051-2
20. Benveniste L. M., Wilhelm W. J. (1990). A comparative analysis of IPO proceeds under alternative regulatory environments. Journal of Financial Economics, Vol. 28, No. 1—2, pp. 173—207. https://doi.org/10.1016/0304-405X(90)90052-2
21. Bossman A., Gubareva M., Teplova T. (2023). Economic policy uncertainty, geopolitical risk, market sentiment, and regional stocks: Asymmetric analyses of the EU sectors. Eurasian Economic Review, Vol. 13, No. 3—4, pp. 321—372. https://doi.org/10.1007/s40822-023-00234-y
22. Boulton T. J., Smart S. B., Zutter С. J. (2010). IPO underpricing and international corporate governance. Journal of International Business Studies, Vol. 41, No. 2, pp. 206—222. https://doi.org/10.1057/jibs.2009.38
23. Brau J. C., Francis B., Kohers N. (2003). The choice of IPO versus takeover: Empirical evidence. Journal of Business, Vol. 76, No. 4, pp. 583—612. https://doi.org/10.1086/377032
24. Brennan M. J., Franks J. (1997). Underpricing, ownership and control in initial public offerings of equity securities in the UK. Journal of Financial Economics, Vol. 45, No. 3, pp. 391—413. https://doi.org/10.1016/S0304-405X(97)00022-6
25. Cai K., Zhu H. (2015). Cultural distance and foreign IPO underpricing variations. Journal of Multinational Financial Management, Vol. 29, pp. 99—114. https://doi.org/10.1016/J.MULFIN.2014.11.003
26. Carter R. B., Dark F. H., Singh A. K. (1998). Underwriter reputation, initial returns, and the long-run performance of IPO stocks. The Journal of Finance, Vol. 53, No. 1, pp. 285—311. https://doi.org/10.1111/0022-1082.104624
27. Chhabra S., Kiran R., Sah A. N. (2017). Information asymmetry leads to underpricing: Validation through SEM for Indian IPOs. Program, Vol. 51, No. 2, pp. 116—131. https://doi.org/10.1108/PROG-01-2016-0009
28. Colak G., Gounopoulos D., Loukopoulos P., Loukopoulos G. (2021). Political power, local policy uncertainty and IPO pricing. Journal of Corporate Finance, Vol. 67, article 101907. https://doi.org/10.1016/J.JCORPFIN.2021.101907
29. Daily С. M., Certo S. T., Dalton D. R., Roengpitya R. (2003). IPO underpricing: A meta-analysis and research synthesis. Entrepreneurship Theory and Practice, Vol. 27, No. 3, pp. 271—295. https://doi.org/10.1111/1540-8520.T01-1-00004
30. Du D., Zhao X. (2017). Financial investor sentiment and the boom/bust in oil prices during 2003—2008. Review of Quantitative Finance and Accounting, Vol. 48, No. 2, pp. 331—361. https://doi.org/10.1007/S11156-016-0553-5
31. Duong H. N., Goyal A., Kallinterakis V., Veeraraghavan M. (2021). Market manipulation rules and IPO underpricing. Journal of Corporate Finance, Vol. 67, article 101846. https://doi.org/10.1016/J.JCORPFIN.2020.101846
32. Ellis K., Michaely R., O’Hara M. (2000). When the underwriter is the market maker: An examination of trading in the IPO aftermarket. Journal of Finance, Vol. 55, No. 3, pp. 1039—1074. https://doi.org/10.1111/0022-1082.00240
33. Elston J. A., Yang J. J. (2010). Venture capital, ownership structure, accounting standards and IPO underpricing: Evidence from Germany. Journal of Economics and Business, Vol. 62, No. 6, pp. 517—536. https://doi.org/10.1016/j.jeconbus.2010.08.003
34. Francis B. B., Hasan I., Lothian J. R., Sun X. (2010). The signaling hypothesis revisited: Evidence from foreign IPOs. Journal of Financial and Quantitative Analysis, Vol. 45, No. 1, pp. 81—106. https://doi.org/10.1017/S0022109010000037
35. Galich A., Mirzoyan A. (2024). The impact of uncertainty in the text of S-1 forms on IPO underpricing. HSE Economic Journal, Vol. 28, No. 2, pp. 248—275. https://doi.org/10.17323/1813-8691-2024-28-2-248-275
36. Ghosh C., Nag R., Sirmans С. F. (2000). A test of the signaling value of IPO underpric ing with REIT IPO-SEO pairs. Journal of Real Estate Finance and Economics, Vol. 20, No. 2, pp. 137—154. https://doi.org/10.1023/A:1007873120566
37. Grinblatt M., Hwang С. Y. (1989). Signalling and the pricing of new issues. Journal of Finance, Vol. 44, No. 2, pp. 393—420. https://doi.org/10.1111/j.1540-6261.1989.tb05063.x
38. Günther S., Rummer M. (2006). The hot-issue period in Germany: What factors drove IPO underpricing? In: G. N. Gregoriou (ed.). Initial public offerings: An inter national perspective. Oxford: Butterworth-Heinemann, pp. 215—245. https://doi.org/10.1016/B978-075067975-6.50017-7
39. Hall B., Jaffe A., Trajtenberg M. (2005). Market value and patent citations. RAND Journal of Economics, Vol. 36, No. 1, pp. 16—38.
40. Hanley K. W. (1993). The underpricing of initial public offerings and the partial adjustment phenomenon. Journal of Financial Economics, Vol. 34, No. 2, pp. 231—250. https://doi.org/10.1016/0304-405X(93)90019-8
41. Hanley K. W., Hoberg G. (2012). Litigation risk, strategic disclosure and the underpricing of initial public offerings. Journal of Financial Economics, Vol. 103, No. 2, pp. 235—254. https://doi.org/10.1016/J.JFINECO.2011.09.006
42. Hu Y., Dai T., Li Y., Mallick S., Ning L., Zhu B. (2021). Underwriter reputation and IPO underpricing: The role of institutional investors in the Chinese growth enterprise market. International Review of Financial Analysis, Vol. 78, article 101956. https://doi.org/10.1016/J.IRFA.2021.101956
43. Ibbotson R. G. (1975). Price performance of common stock new issues. Journal of Financial Economics, Vol. 2, No. 3, pp. 235—272. https://doi.org/10.1016/0304405X(75)90015-X
44. Ichev R. (2023). IPO underpricing from the institutional investor perspective: Evidence from emerging markets. Economic Research—Ekonomska Istraživanja, Vol. 36, No. 1, article 2179506. https://doi.org/10.1080/1331677X.2023.2179506
45. Islam R. (2014). An empirical investigation of short runs IPO underpricing: Evidence from Dhaka stock exchange. IOSR Journal of Economics and Finance, Vol. 4, pp. 1—11. https://doi.org/10.9790/5933-0440111
46. Judge W. Q., Witt M. A., Zattoni A., Talaulicar T., Chen J. J., Lewellyn K., Hu H. W., Shukla D., Bell R. G., Gabrielsson J., Lopez F., Yamak S., Fassin Y., McCarthy D., Rivas J. L., Fainshmidt S., Van Ees H. (2015). Corporate governance and IPO underpricing in a cross-national sample: A multilevel knowledge-based view. Strategic Management Journal, Vol. 36, No. 8, pp. 1174—1185. https://doi.org/10.1002/SMJ.2275
47. Kao L., Chen A. (2020). CEO characteristics and R&D expenditure of IPOs in emerg ing markets: Evidence from Taiwan. Asia Pacific Management Review, Vol. 25, No. 4, pp. 189—197. https://doi.org/10.1016/J.APMRV.2020.01.001
48. Katsafados A. G., Androutsopoulos I., Chalkidis I., Fergadiotis E., Leledakis G. N., Pyrgiotakis E. G. (2023). Textual information and IPO underpricing: A machine learning approach. Journal of Financial Data Science, Vol. 5, No. 2, pp. 100—135. https://doi.org/10.3905/jfds.2023.1.121
49. Kirkulak B., Davis С. (2005). Underwriter reputation and underpricing: Evidence from the Japanese IPO market. Pacific-Basin Finance Journal, Vol. 13, No. 4, pp. 451—470. https://doi.org/10.1016/J.PACFIN.2004.09.004
50. Kondratev S., Batalova E., Frolova O. (2024). IPO underpricing in the Russian stock market. Journal of Corporate Finance Research, Vol. 18, No. 3, pp. 62—81. https://doi.org/10.17323/J.JCFR.2073-0438.18.3.2024.62-81
51. La Rocca T. (2021). Do prestigious underwriters shape IPO pricing? A meta-analytic review. Review of Managerial Science, Vol. 15, No. 3, pp. 573—609. https://doi.org/10.1007/s11846-019-00356-1
52. Lewellen K. (2006). Risk, reputation, and IPO price support. Journal of Finance, Vol. 61, No. 2, pp. 613—653. https://doi.org/10.1111/j.1540-6261.2006.00850.x
53. Li X., Wang S. S., Wang X. (2019). Trust and IPO underpricing. Journal of Corporate Finance, Vol. 56, pp. 224—248. https://doi.org/10.1016/j.jcorpfin.2019.02.006
54. Liu L., Zhang Z., Lyu K. (2021). A study of IPO underpricing using regression model based on information asymmetry, media, and institution. Proceedings of the 2021 International Conference on Financial Management and Economic Transition (FMET 2021), Vol. 190, pp. 322—333. https://doi.org/10.2991/AEBMR.K.210917.051
55. Ljungqvist A. (2007). IPO underpricing. In: Handbook of empirical corporate finance, Vol. 1. Amsterdam: North Holland, pp. 375—422. https://doi.org/10.1016/B9780-444-53265-7.50021-4
56. Ljungqvist A., Nanda V., Singh R. (2006). Hot markets, investor sentiment, and IPO pricing. Journal of Business, Vol. 79, No. 4, pp. 1667—1702. https://doi.org/10.1086/503644
57. Loughran T., McDonald B. (2013). IPO first-day returns, offer price revisions, vola tility, and form S-1 language. Journal of Financial Economics, Vol. 109, No. 2, pp. 307—326. https://doi.org/10.1016/j.jfineco.2013.02.017
58. Lowry M., Schwert G. W. (2002). IPO market cycles: Bubbles or sequential learning? Journal of Finance, Vol. 57, No. 3, pp. 1171—1200. https://doi.org/10.1111/15406261.00458
59. Lowry M., Shu S. (2002). Litigation risk and IPO underpricing. Journal of Financial Economics, Vol. 65, No. 3, pp. 309—335. https://doi.org/10.1016/S0304405X(02)00144-7
60. Lu С. S., Kao L., Chen A. (2012). The effects of R&D, venture capital, and technology on the underpricing of IPOs in Taiwan. Review of Quantitative Finance and Accounting, Vol. 39, No. 4, pp. 423—445. https://doi.org/10.1007/s11156-0110259-7
61. Mehmood W., Mohd-Rashid R., Zi Ong C., Abdullah Abbas Y. (2021). Factors driving IPO variability: Evidence from Pakistan stock exchange. Finance and Administrative Science, Vol. 26, No. 52, pp. 300—316. https://doi.org/10.1108/JEFAS-04-2021-0036
62. Michaely R., Shaw W. H. (1994). The pricing of initial public offerings: Tests of adverse-¬selection and signaling theories. Review of Financial Studies, Vol. 7, No. 2, pp. 279—319. https://doi.org/10.1093/RFS/7.2.279
63. Minardi A. M. A. F., Moita R. M., Castanho R. P. (2015). Investigating the partial adjustment effect of Brazilian IPOs. Journal of Business Research, Vol. 68, No. 2, pp. 189—198. https://doi.org/10.1016/J.JBUSRES.2014.09.027
64. Morricone S., Munari F., Oriani R., de Rassenfosse G. (2017). Commercialization strategy and IPO underpricing. Research Policy, Vol. 46, No. 6, pp. 1133—1141. https://doi.org/10.1016/J.RESPOL.2017.04.006
65. Obrimah O. A. (2019). A new test of the signaling theory of IPO underpricing. Available at SSRN: https://doi.org/10.2139/ssrn.2896777
66. Pandey A., Pattanayak J. K. (2018). Impact of firm specific and macro-economic dactors on the level of underpricing of initial public offerings (IPOs): Evidence from the Indian market. Indian Journal of Finance, Vol. 12, No. 2, pp. 7—25. https:// doi.org/10.17010/ijf/2018/v12i2/121367
67. Quintana D., Sáez Y., Isasi P. (2017). Random forest prediction of IPO underpric ing. Applied Sciences, Vol. 7, No. 6, article 636. https://doi.org/10.3390/APP7060636
68. Reside M. A., Robinson R. M., Prakash A. J., Dandapani K. (1994). A tax-based motive for the underpricing of initial public offerings. Managerial and Decision Economics, Vol. 15, No. 6, pp. 553—561. https://doi.org/10.1002/MDE.4090150603
69. Ritter J. R. (1984). Signaling and the valuation of unseasoned new issues: A com ment. Journal of Finance, Vol. 39, No. 4, pp. 1231—1237. https://doi.org/ 10.1111/J.1540-6261.1984.TB03907.X
70. Ritter J. R. (1991). The long-run performance of initial public offerings. Journal of Finance, Vol. 46, No. 1, pp. 3—27. https://doi.org/10.1111/j.1540-6261.1991.tb03743.x
71. Ritter J. R. (2011). Equilibrium in the initial public offering market. Annual Review of Financial Economics, Vol. 3, pp. 347—374. https://doi.org/10.1146/annurevfinancial-102710-144845
72. Ritter J. R. (2023). Initial public offerings: Updated statistics. Unpublished manuscript, Warrington College of Business, University of Florida.
73. Rock K. (1986). Why new issues are underpriced. Journal of Financial Economics, Vol. 15, No. 1—2, pp. 187—212. https://doi.org/10.1016/0304-405X(86)90054-1
74. Ruud J. S. (1993). Underwriter price support and the IPO underpricing puzzle. Journal of Financial Economics, Vol. 34, No. 2, pp. 135—151. https://doi.org/10.1016/0304405X(93)90015-4
75. Rydqvist K. (1997). IPO underpricing as tax-efficient compensation. Journal of Banking & Finance, Vol. 21, No. 3, pp. 295—313. https://doi.org/10.1016/S03784266,No.96)00043-X
76. Salerno D., Sampagnaro G., Verdoliva V. (2022). Fintech and IPO underpricing: An ¬explorative study. Finance Research Letters, Vol. 44, article 102071. https://doi.org/10.1016/J.FRL.2021.102071
77. Satta G. (2017). Initial public offerings in the port industry: Exploring the determinants of underpricing. Maritime Policy & Management, Vol. 44, No. 8, pp. 1012—1033. https://doi.org/10.1080/03088839.2017.1367968
78. Shiller R. J. (2000). Irrational exuberance. Princeton: Princeton University Press.
79. Singh A. K., Maurya S., Mohapatra A. K. (2019). IPO underpricing and predictive power of board related corporate governance mechanisms: A study of Indian IPO market. Theoretical Economics Letters, Vol. 9, No. 6, pp. 2002—2018. https://doi.org/10.4236/TEL.2019.96127
80. Song T., Kutsuna K. (2022). Economic policy uncertainty and IPO underpricing: Evidence from China. Available at SSRN: https://doi.org/10.2139/SSRN.4070507
81. Spatt C., Srivastava S. (1991). Preplay communication, participation restrictions, and efficiency in initial public offerings. Review of Financial Studies, Vol. 4, No. 4, pp. 709—726. https://doi.org/10.1093/rfs/4.4.709
82. Spiess D. K., Pettway R. H. (1997). The IPO and first seasoned equity sale: Issue proceeds, owner/managers’ wealth, and the underpricing signal. Journal of Banking & Finance, Vol. 21, No. 7, pp. 967—988. https://doi.org/10.1016/S03784266(97)00014-9
83. Su D. (2004). Leverage, insider ownership, and the underpricing of IPOs in China. Journal of International Financial Markets, Institutions and Money, Vol. 14, No. 1, pp. 37—54. https://doi.org/10.1016/S1042-4431(03)00043-X
84. Tinic S. M. (1988). Anatomy of initial public offerings of common stock. Journal of Finance, Vol. 43, No. 4, pp. 789—822. https://doi.org/10.2307/2328137
85. Tran A. L., Jeon B. N. (2011). The dynamic impact of macroeconomic factors on initial public offerings: Evidence from time-series analysis. Applied Economics, Vol. 43, No. 23, pp. 3187—3201. https://doi.org/10.1080/00036840903493267
86. Tuncay E., Karan M., Miski Aydin E. (2020). Underpricing of initial public offerings in hot and cold markets: An empirical study on Borsa Istanbul. The Central European Review of Economics and Management, Vol. 4, No. 2, pp. 107—135.
87. Welch I. (1989). Seasoned offerings, imitation costs, and the underpricing of initial public offerings. Journal of Finance, Vol. 44, No. 2, pp. 421—449. https://doi.org/10.2307/2328597
88. Welch I. (1992). Sequential sales, learning, and cascades. Journal of Finance, Vol. 47, No. 2, pp. 695—732. https://doi.org/10.1111/J.1540-6261.1992.TB04406.X
89. Zhang Z., Neupane S. (2024). Global IPO underpricing during the Covid-19 pandemic: The impact of firm fundamentals, financial intermediaries, and global factors. International Review of Financial Analysis, Vol. 91, article 102954. https://doi.org/10.1016/J.IRFA.2023.102954
90. Zhou L., Sadeghi M. (2019). The impact of innovation on IPO short-term performance: Evidence from the Chinese markets. Pacific-Basin Finance Journal, Vol. 53, pp. 208—235. https://doi.org/10.1016/J.PACFIN.2018.10.010
Дополнительные файлы
Рецензия
Для цитирования:
Сегаль А.Е., Галич А.А., Мирзоян А.Г. Российский рынок IPO: феномен недооценки. Вопросы экономики. 2025;(10):104-130. https://doi.org/10.32609/0042-8736-2025-10-104-130
For citation:
Segal A.E., Galich A.A., Mirzoyan A.G. Russian IPO market: The phenomenon of underpricing. Voprosy Ekonomiki. 2025;(10):104-130. (In Russ.) https://doi.org/10.32609/0042-8736-2025-10-104-130
Просмотров:
310
Послать статью по эл. почте 
