“赢者诅咒”及风险假说对中国A股市场IPO抑价有效性的实证研究
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摘要
本文以中国市场2000年至2010年5月计859家IPO为样本,在控制IPO首日总体市场市盈率及总体市场回报率的条件下,以首日分笔回报率标准差作为企业IPO前市风险的代理变量,中签率为IPO一级市场供需失衡的代理变量,通过建立简约的多元回归实证模型,对Rock首次提出的"赢者诅咒"假说及Ritter、Beatty基于"赢者诅咒"假设提出的风险假说进行了实证检验。实证结果显示,"赢者诅咒"假说及风险假说整体上对解释中国A股市场数据期间的IPO抑价率有效。
With a sample of 859 IPOs in the Chinese A share market between 2000 and May 2010,this paper proposes parsimonious empirical models to test the validities of the"winner's curse"hypothesis first proposed by Rock and the risk hypothesis proposed by Ritter,and Beatty & Ritter by using the standard deviation derived from tick-by-tick returns of the first IPO trading day as a proxy for the ex ante risk of the IPO company,and the lottery winning ratio as an indication of imbalance between new share supply and demand in the primary IPO market,while controlling for overall market valuation level and overall market return of the IPO day. In general,both hypotheses are supported by the empirical results.
With a sample of 859 IPOs in the Chinese A share market between 2000 and May 2010,this paper proposes parsimonious empirical models to test the validities of the"winner's curse"hypothesis first proposed by Rock and the risk hypothesis proposed by Ritter,and Beatty & Ritter by using the standard deviation derived from tick-by-tick returns of the first IPO trading day as a proxy for the ex ante risk of the IPO company,and the lottery winning ratio as an indication of imbalance between new share supply and demand in the primary IPO market,while controlling for overall market valuation level and overall market return of the IPO day. In general,both hypotheses are supported by the empirical results.
引文
[1]Ritter J.R.,Welch I.A Review of IPO Activity,Pricing,and Allocations[J].The Journal of Finance,2002,57(4):1795-1828
[2]Ljungqvist A.IPO Underpricing:A Survey[M].in Handbook of Corporate Finance,Volume 1:Empirical Corporate Finance,B.Espen Eckbo,(editor),New York:Elsevier/North-Holland,2008
[3]Rock K.Why New Issues Are Underpriced[D].University of Chicago,Ph.D.dissertation,1982
[4]Rock K.Why New Issues Are Underpriced[J].Journal of Financial Economics,1986,15(1):187-212
[5]Ritter J.R.The“Hot Issue”Market of 1980[J].The Journal of Business,1984,57(2):215-240
[6]Beatty R.P.,Ritter J.R.Investment Banking,Reputation,and the Underpricing of Initial Public Offerings[J].Journal of Finanicial Economics,1986,15(1):213-232
[7]Ibbotson R.G.Price Performance of Common Stock New Issues[J].Journal of Financial Economics,1975,2(3):235-272
[8]Ibbotson R.G.,Jaffe J.J.“Hot Issue”Markets[J].The Journal of Finance,1975,30(4):1027-1042
[9]Hayes S.L.III.Investment Banking:Power Structure in Flux[J].Harvard Business Review,1971:136-152
[10]Barry C.B.,Brown S.J.Differential Information and the Small Firm Effect[J].Journal of Financial Economics,1984,13(2):283-294
[11]Knopf D.J.,Teall J.L.The IPO Effect and Measurement of Risk[J].Journal of Financial and Strategic Decisions,1999,12(2):51-58
[12]Benveniste L.M.,Ljungqvist A.,Wilhelm W.J.et al.Evidence of Information Spillovers in the Production of Investment Banking Services[J].The Journal of Finance,2003,58(2):577-608
[13]Megginson W.L.,Weiss K.A.Venture Capitalist Certification in Initial Public Offerings[J].The Journal of Finance,1991,46(3):879-903
[14]Ljungqvist A.,Wilhelm W.J.IPO Pricing in the Dot-com Bubble[J].The Journal of Finance,2003,58(2):723-752
[15]Beatty R.P.,Welch I.Issuer Expenses and Legal Liability in Initial Public Offerings[J].Journal of Law and Economics,1996,39(2):545-602
[16]Hunt-McCool J.,Koh S.C.,Francis B.B.Testing for Deliberate Underpricing in the IPO Premarket:A Stochastic Frontier Approach[J].Oxford Journals,1996,9(4):1251-1269
[17]Leland H.E.,Pyle D.H.Informational Asymmetries,Financial Structure,and Financial Intermediation[J].The Journal of Finance,1977,32(2):371-387
[18]Logue E.On the Pricing of Unseasoned Equity Issues:1965-1969[J].The Journal of Financial and Quantitative Analysis,1973,8(1):91-103
[19]Grinblatt M.,Hwang C.Y.Signaling and the Pricing of New Issues[J].The Journal of Finance,1989,44(2):393-420
[20]Habib M.A.,Ljungqvist A.P.Underpricing and Entrepreneurial Wealth Losses in IPOs:Theory and Evidence[J].Oxford Journals,1998,14(2):433-458
[21]Johnson J.M.,Miller E.R.Investment Banker Prestige and the Underpricing of Initial Public Offerings[J].Financial Management,1988,17(2):19-29
[22]Carter R.,Manaster S.Initial Public Offerings and Underwriter Reputation[J].The Journal of Finance,1990,45(4):1045-1067
[23]McDonald J.G.,Fisher A.K.New-Issue Stock Price Behavior[J].The Journal of Finance,1972,27(1):97-102
[24]Neuberger B.M.,Hammond C.T.A Study of Under writers’ Experience with Unseasoned New Issues[J].Journal of Financial and Quantitative Analysis,1974,9(2):165-177
[25]Block S.,Stanley M.The Financial Characteristics and Price Movement Patterns of Companies Approaching the Uneasoned Securities Market in the Late 1970s[J].Financial Management,1980,l9(4):30-36
[26]Neuberger B.M.,LaChapelle C.A.Unseasoned New Issue Price Performance on Three Tiers:1975-1980[J].Financial Management,1983,12(3):23-28
[27]Clarkson P.M.,Merkely J.Ex Ante Uncertainty and the Underpricing of Initial Public Offerings:Further Canadian Evidence[J].Canadian Journal of Administrative Sciences,1994,11(2):54-67
[28]Yu Ting,Tse Y.K.An Empirical Examination of IPO Underpricing in the Chinese A-share Market[J].China Economic Review,2006,17(4):363-382
[29]靳云汇,杨文.新股折价现象的实证分析[J].统计研究,2003,(3):49-53
[30]Chan K.,Wang J.,Wei K.C.J.Underpricing and Long-term Performance of IPOs in China[J].Journal of Corporate Finance,2004,10(3):409-430
[31]刘煜辉,熊鹏.股权分置、政府管制和中国IPO抑价[J].经济研究,2005,(5):85-95
[32]Chen G.,Firth M.,Kim J.B.IPO Underpricing in China’s New Stock Markets[J].Journal of Multinational Financial Management,2004,14(3):283-302
[33]Helwege J.,Liang N.Initial Public Offerings in Hot and Cold Markets[J].The Journal of Financial and Quantitative Analysis,2004,39(3):541-569
[34]Chi J.,Padgett C.The Performance and Long-run Characteristic of the Chinese IPO Market[C].ISMA Discussion Papers in Finance 2002-09,ISMA Center,University of Reading,UK,2002
[35]Chang E.,Chen C.,Jing C.,Martin Y.IPO Underpricing in China:New Evidence from the Primary and Secondary Markets[J].Emerging Market Review,2008,l9(1):1-16
[36]Cheung Y.L.,Ouyang Z.,Tan W.How Regulatory Changes Affect IPO Underpricing in China[J].China Economic Review,2009,20(4):692-702
[37]周礼君,彭茜.全流通配合询价制对IPO抑价影响的实证研究[J].财会月刊(理论),2007,(7):18-19
[38]尹伯成,黄方亮.新股发行效率,价格异象及相关理论阐释[J].河南社会科学,2008,16(4):56-61
[39]中国证券监督管理委员会.关于进一步改革和完善新股发行体制的指导意见(2009年13号)[EB/OL].http://www.csrc.gov.cn/pub/zjhpublic/G00306201/200906/t20090612_107417.htm?keywords=,2009-06
1 对该领域相关研究较为全面的回顾见Ritter和Welch [1]以及Ljungqvist [2]。
2 该模型的基本思路为:假定知情投资者为获得相关信息而发生的成本为固定,则该固定成本相当于投资者为获得出现IPO抑价时购买股份的权利所支付的期权费。根据标准期权分析,给定其它影响因素,IPO定价时公司价值的不确定性越高,该期权的实际价值就越高,选择成为知情投资者的人数也越多。而所有知情投资者固定成本的总和则与IPO抑价高低相关。见Beatty和Ritter[6]文附录。
3 Beatty和Ritter认为后市日交易数据标准差是一个更理想的风险代理变量,但因为总体实证设计的原因,该文并没有采用这一指标。具体见Beatty和Ritter [6]文脚注13。
4 通常IPO抑价率的计算为:(首日或其它后市收盘价/IPO发行价-1),而融资额则为发行股本数与IPO发行价之积,故在解释变量中引入IPO发行价及融资额均不成立。
5 作者在前期探索性研究中同时采用了分钟时序数据作为企业风险的代理变量,但解释力度不及分笔数据。
6 抑价率的计算方法包括两种,一种是直接使用后市收盘价除以发行价,再减1即为抑价率,如Johnson等[21];另一种为第一种方法计算结果减去同期市场指数收益率,主要基于去除同期市场波动影响的考虑,如靳云汇等[29]。实际上,这种计算方法暗含了公司贝塔值为1的假设,因此并不合理。
7 本文对模型数据进行了异方差、共线性和自相关检验。对全样本及各阶段子样本使用White统计量进行异方差检验的结果表明全样本模型可能存在异方差,但各阶段模型不存在明显的异方差,故本文跨阶段全样本模型将使用加权最小二乘估计(WLS)。使用CI病态指数和VIF方差膨胀因子检测自变量共线性的结果表明全样本及各阶段上述指标均在可接受范围内,不存在明显共线性。使用DW统计量检验结果显示样本不存在明显自相关。
[2]Ljungqvist A.IPO Underpricing:A Survey[M].in Handbook of Corporate Finance,Volume 1:Empirical Corporate Finance,B.Espen Eckbo,(editor),New York:Elsevier/North-Holland,2008
[3]Rock K.Why New Issues Are Underpriced[D].University of Chicago,Ph.D.dissertation,1982
[4]Rock K.Why New Issues Are Underpriced[J].Journal of Financial Economics,1986,15(1):187-212
[5]Ritter J.R.The“Hot Issue”Market of 1980[J].The Journal of Business,1984,57(2):215-240
[6]Beatty R.P.,Ritter J.R.Investment Banking,Reputation,and the Underpricing of Initial Public Offerings[J].Journal of Finanicial Economics,1986,15(1):213-232
[7]Ibbotson R.G.Price Performance of Common Stock New Issues[J].Journal of Financial Economics,1975,2(3):235-272
[8]Ibbotson R.G.,Jaffe J.J.“Hot Issue”Markets[J].The Journal of Finance,1975,30(4):1027-1042
[9]Hayes S.L.III.Investment Banking:Power Structure in Flux[J].Harvard Business Review,1971:136-152
[10]Barry C.B.,Brown S.J.Differential Information and the Small Firm Effect[J].Journal of Financial Economics,1984,13(2):283-294
[11]Knopf D.J.,Teall J.L.The IPO Effect and Measurement of Risk[J].Journal of Financial and Strategic Decisions,1999,12(2):51-58
[12]Benveniste L.M.,Ljungqvist A.,Wilhelm W.J.et al.Evidence of Information Spillovers in the Production of Investment Banking Services[J].The Journal of Finance,2003,58(2):577-608
[13]Megginson W.L.,Weiss K.A.Venture Capitalist Certification in Initial Public Offerings[J].The Journal of Finance,1991,46(3):879-903
[14]Ljungqvist A.,Wilhelm W.J.IPO Pricing in the Dot-com Bubble[J].The Journal of Finance,2003,58(2):723-752
[15]Beatty R.P.,Welch I.Issuer Expenses and Legal Liability in Initial Public Offerings[J].Journal of Law and Economics,1996,39(2):545-602
[16]Hunt-McCool J.,Koh S.C.,Francis B.B.Testing for Deliberate Underpricing in the IPO Premarket:A Stochastic Frontier Approach[J].Oxford Journals,1996,9(4):1251-1269
[17]Leland H.E.,Pyle D.H.Informational Asymmetries,Financial Structure,and Financial Intermediation[J].The Journal of Finance,1977,32(2):371-387
[18]Logue E.On the Pricing of Unseasoned Equity Issues:1965-1969[J].The Journal of Financial and Quantitative Analysis,1973,8(1):91-103
[19]Grinblatt M.,Hwang C.Y.Signaling and the Pricing of New Issues[J].The Journal of Finance,1989,44(2):393-420
[20]Habib M.A.,Ljungqvist A.P.Underpricing and Entrepreneurial Wealth Losses in IPOs:Theory and Evidence[J].Oxford Journals,1998,14(2):433-458
[21]Johnson J.M.,Miller E.R.Investment Banker Prestige and the Underpricing of Initial Public Offerings[J].Financial Management,1988,17(2):19-29
[22]Carter R.,Manaster S.Initial Public Offerings and Underwriter Reputation[J].The Journal of Finance,1990,45(4):1045-1067
[23]McDonald J.G.,Fisher A.K.New-Issue Stock Price Behavior[J].The Journal of Finance,1972,27(1):97-102
[24]Neuberger B.M.,Hammond C.T.A Study of Under writers’ Experience with Unseasoned New Issues[J].Journal of Financial and Quantitative Analysis,1974,9(2):165-177
[25]Block S.,Stanley M.The Financial Characteristics and Price Movement Patterns of Companies Approaching the Uneasoned Securities Market in the Late 1970s[J].Financial Management,1980,l9(4):30-36
[26]Neuberger B.M.,LaChapelle C.A.Unseasoned New Issue Price Performance on Three Tiers:1975-1980[J].Financial Management,1983,12(3):23-28
[27]Clarkson P.M.,Merkely J.Ex Ante Uncertainty and the Underpricing of Initial Public Offerings:Further Canadian Evidence[J].Canadian Journal of Administrative Sciences,1994,11(2):54-67
[28]Yu Ting,Tse Y.K.An Empirical Examination of IPO Underpricing in the Chinese A-share Market[J].China Economic Review,2006,17(4):363-382
[29]靳云汇,杨文.新股折价现象的实证分析[J].统计研究,2003,(3):49-53
[30]Chan K.,Wang J.,Wei K.C.J.Underpricing and Long-term Performance of IPOs in China[J].Journal of Corporate Finance,2004,10(3):409-430
[31]刘煜辉,熊鹏.股权分置、政府管制和中国IPO抑价[J].经济研究,2005,(5):85-95
[32]Chen G.,Firth M.,Kim J.B.IPO Underpricing in China’s New Stock Markets[J].Journal of Multinational Financial Management,2004,14(3):283-302
[33]Helwege J.,Liang N.Initial Public Offerings in Hot and Cold Markets[J].The Journal of Financial and Quantitative Analysis,2004,39(3):541-569
[34]Chi J.,Padgett C.The Performance and Long-run Characteristic of the Chinese IPO Market[C].ISMA Discussion Papers in Finance 2002-09,ISMA Center,University of Reading,UK,2002
[35]Chang E.,Chen C.,Jing C.,Martin Y.IPO Underpricing in China:New Evidence from the Primary and Secondary Markets[J].Emerging Market Review,2008,l9(1):1-16
[36]Cheung Y.L.,Ouyang Z.,Tan W.How Regulatory Changes Affect IPO Underpricing in China[J].China Economic Review,2009,20(4):692-702
[37]周礼君,彭茜.全流通配合询价制对IPO抑价影响的实证研究[J].财会月刊(理论),2007,(7):18-19
[38]尹伯成,黄方亮.新股发行效率,价格异象及相关理论阐释[J].河南社会科学,2008,16(4):56-61
[39]中国证券监督管理委员会.关于进一步改革和完善新股发行体制的指导意见(2009年13号)[EB/OL].http://www.csrc.gov.cn/pub/zjhpublic/G00306201/200906/t20090612_107417.htm?keywords=,2009-06
1 对该领域相关研究较为全面的回顾见Ritter和Welch [1]以及Ljungqvist [2]。
2 该模型的基本思路为:假定知情投资者为获得相关信息而发生的成本为固定,则该固定成本相当于投资者为获得出现IPO抑价时购买股份的权利所支付的期权费。根据标准期权分析,给定其它影响因素,IPO定价时公司价值的不确定性越高,该期权的实际价值就越高,选择成为知情投资者的人数也越多。而所有知情投资者固定成本的总和则与IPO抑价高低相关。见Beatty和Ritter[6]文附录。
3 Beatty和Ritter认为后市日交易数据标准差是一个更理想的风险代理变量,但因为总体实证设计的原因,该文并没有采用这一指标。具体见Beatty和Ritter [6]文脚注13。
4 通常IPO抑价率的计算为:(首日或其它后市收盘价/IPO发行价-1),而融资额则为发行股本数与IPO发行价之积,故在解释变量中引入IPO发行价及融资额均不成立。
5 作者在前期探索性研究中同时采用了分钟时序数据作为企业风险的代理变量,但解释力度不及分笔数据。
6 抑价率的计算方法包括两种,一种是直接使用后市收盘价除以发行价,再减1即为抑价率,如Johnson等[21];另一种为第一种方法计算结果减去同期市场指数收益率,主要基于去除同期市场波动影响的考虑,如靳云汇等[29]。实际上,这种计算方法暗含了公司贝塔值为1的假设,因此并不合理。
7 本文对模型数据进行了异方差、共线性和自相关检验。对全样本及各阶段子样本使用White统计量进行异方差检验的结果表明全样本模型可能存在异方差,但各阶段模型不存在明显的异方差,故本文跨阶段全样本模型将使用加权最小二乘估计(WLS)。使用CI病态指数和VIF方差膨胀因子检测自变量共线性的结果表明全样本及各阶段上述指标均在可接受范围内,不存在明显共线性。使用DW统计量检验结果显示样本不存在明显自相关。