我国询价制下IPO价格形成与抑价研究
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摘要
新股发行定价和抑价问题近几十年以来一直是金融学的热点，受到国内外学者们的广泛关注。国外学者针对新股发行的定价抑价问题进行了大量的研究，并提出了一系列理论和假说试图对其进行解释，然而到目前为止还没有哪一种理论能得到学者们的统一认同。我国证券市场成立以来，IPO定价制度一直在不断地改进和完善。1999年《证券法》实施之前，我国新股发行一直实行审批制，之后逐渐向核准制过渡。不少学者对新股定价问题进行了有益的研究和探讨，但主要集中在围绕IPO抑价解释其产生原因。2005年我国新股询价机制实施至今，主要经历了两次大的询价发行机制改革，新股抑价现象有所缓解，但又出现新股定价市盈率高，超募现象明显等一系列新的问题。国内许多学者发现并研究了了我国的IPO抑价现象，但结合我国询价机制的特色来研究新股定价和抑价并不多见。在这种情况下，研究我国新股询价制下IPO价格形成和抑价现象就变得非常有价值。
针对我国询价机制的实际情况，本文从询价机制的独特性和询价发行机制改革出发，对我国IPO价格形成和抑价现象进行研究，试图从理论和实证两方面进行解释和论证。本文的研究主要从四个方面展开。
本文首先研究两阶段询价制下的IPO价格形成。询价制实施以来，新股发行的两阶段询价制一直存在。虽然目前在中小企业板和创业板上市的公司可以直接通过初步询价确定发行价格，但主板发行的股票仍然分两个阶段询价。本文结合我国IPO询价的现实，在询价分为初步询价和累计投标询价两个阶段的前提下，分别研究了机构投资者两阶段的均衡报价策略及最终的IPO价格形成，从理论上剖析了机构投资者初步询价时隐藏需求报价压低发行价格的动机。研究结果表明，机构投资者会在初步询价时有意隐藏其需求，最终的均衡价格为初步询价后承销商确定的发行价格区间上限，且初步询价时机构投资者需求隐藏比例越大，IPO发行价格越小，承销商确定的发行价格区间宽度越大，IPO发行价格越大。另外，实证结果也证实了结论的正确性。
其次，采用进化博弈论分析单阶段询价制下的IPO价格形成。在单阶段询价和新股定价窗口指导淡化的前提下，对询价对象群体建立单群体进化博弈模型，分析新股询价过程中询价对象报价行为和新股发行价格的形成。进化博弈模型的分析表明，询价对象的报价行为及IPO价格的形成与询价对象对新股抑价的估计均值有关。当询价对象对新股抑价率均值估计较大时，询价对象会倾向于选择高报价，以便获得新股配售通过二级市场出售新股获得一定盈利。询价对象群体中越多的个体选择高报价，承销商的定价也会越高，很可能高到偏离上市公司的内在价值。当询价对象对新股抑价率均值估计较小时，询价对象会倾向于选择低报价，或者不参与新股询价。询价对象群体中越多的个体选择低报价，承销商的定价也会越低，很可能低到偏离上市公司的内在价值；不参与新股询价的机构足够多时会出现新股由于询价机构不足而终止发行的现象。
再次，本文以两次询价发行机制改革为背景，选取2006年到2011年我国中小企业板上首次公开发行上市的公司数据为样本，采用随机边界模型，实证研究了两次改革前后新股发行定价是否存在故意折价现象。研究结果表明，两次询价发行机制改革后，中小企业板的IPO抑价率均存在显著降低；第一次询价发行机制改革前显著存在新股折价行为，且折价比例不容忽视，新股折价加剧了新股的高抑价；而第一次询价发行机制改革后不存在新股折价行为，新股抑价的来源几乎完全在二级市场估值过高上面；第二次询价发行机制改革前后新股定价行为没有明显变化。
最后，本文仍然以两次询价发行机制改革为背景，以上一章的数据为样本，建立多元回归模型，研究了改革前后新股投机行为对IPO抑价率的影响。研究结果表明，新股投机行为是形成我国中小企业板IPO抑价的主要原因之一，且新股投机行为与IPO抑价之间始终具有显著的正相关关系；两次询价发行机制改革后，新股投机行为对IPO抑价的解释力度都明显增强，且第二次询价发行机制改革后，新股投机行为已经成为IPO抑价最重要的决定力量。
IPO pricing and underpricing have been the hot issue of finance and already widelydrawn the scholars attention home and abroad in recent decades. Foreign scholars carryout a study of the phenomenon, and put forward a variety of theories and hypothesis,but so far there is no theory recognized generally. After the establishment of Chinesesecurities market, IPO pricing mechanism has been constantly improved and perfected.Before the "Security Law" put into practice in1999, the issue of new shares isexamination and approval system, then the system is transmitted into approval system.Many scholars have studied the new stock's pricing, but almost concentrate onexplaining the underpricing of new stock. After the implement of bookbuildingmechanism in2005, issuing Mechanism of new issue mainly experienced two majorbookbuilding mechanism reform. So far, underpricing phenomenon have relieved, buthigh price-earnings ratio and obvious over raised appear. single theory can fully explainthis phenomenon. A lot of research focused on China IPO underpricing, but the researchin combination with bookbuilding mechanism is rarer. In this case, the research of IPOprice formation and underpricing in bookbuilding mechanism become very valuable.
In view of the actual situation and under the characteristic bookbuildingmechanism and the reform of mechanism, this article will study IPO price formationand underpricing in China, and try to theoretically and empirically explain anddemonstrate it. This article will study IPO price formation and underpricing from fouraspects.
Firstly, this article analyse the IPO price formation in two-stage bookbuilding.After the implement of bookbuilding mechanism, two-stage bookbuilding has existed.Although IPO pricing of firms in Shenzhen's SME and GEM Board can be directlydetermined by preliminary bookbuilding, IPO pricing of main board market isdetermined by two-stage bookbuilding. Combining with the reality of China's IPObookbuilding，under the premise of bookbuilding can be divided into preliminarybookbuilding and accumulated bidding bookbuilding, this paper study the equilibriumbidding strategy of the institutional investors in two stages and the final IPO priceformation. We analyse the motive of the institutional investors shading their demands inbidding and lowering the issue price. Our analysis indicates that: institutional investorswill shade their demands in preliminary bookbuilding deliberately; the ultimate equilibrium price will be upper limit of issue price range; the greater the shadingdemands of institutional investors in preliminary bookbuilding, the smaller ipo issueprice; the greater the wide of the issue price range, the higer IPO issue price. Empiricalanalysis also confirmed the validity of conclusions.
Secondly, base on evolutionary game theory, this article analyse the IPO priceformation in one-stage bookbuilding. Under the premise of bookbuilding is one-stageand IPO pricing window guidance is cancelled, the author establishes a one-groupevolutionary game model of the inquiry institution investors, and analyse institutionalinvestors’ bidding behavior and the IPO price formation in one-stage bookbuilding.Institutional investors’ bidding behavior and the IPO price formation are both relatedwith inquiry institution investors’ mean value of IPO underpricing. When the meanvalue of IPO underpricing is large enough, the investors will tend to choose highbidding, in order to obtain new shares and make a certain profit through sell them insecondary market. The more high bidding investors, the higher underwriter’s pricing.The pricing may be higher than the intrinsic value of the listed company. When themean value of IPO underpricing is small enough, the investors will tend to choose lowbidding or not to participate in the inquiry. The more low bidding investors, the lowerunderwriter’s pricing. The pricing may be lower than the intrinsic value of the listedcompany. When the investors of choosing not to participate in the inquiry are sufficientenough, new issues will be terminated because of too little inquiry institution investors.
Then, as the background of the twice reform of IPO bookbuilding mechanism, thepaper selects IPO data from2006to2011in China SME Board, and tests the existenceof deliberate underpricing in the Initial Public Offerings before and after the reformusing a Stochastic Frontier Model. The results indicate that there is deliberateunderpricing behavior in new share before the first reform of IPO bookbuildingmechanism, and the deliberate underpricing rate can not be ignored, deliberateunderpricing exacerbate the high underpricing. After the first reform of IPObookbuilding mechanism, there is no deliberate underpricing behavior in new share,IPO underpricing mainly comes from the high secondary market valuation. There is nosignificant change in the pricing behavior before and after the second reform of IPObookbuilding mechanism.
Finally, as the background of the twice reform of IPO bookbuilding mechanism,the paper selects IPO data from2006to2011in China SME Board, and studies therelation between speculative behavior in new share and IPO underpricing using a multiple regression model. The empirical results indicate that IPO underpricing hasdecreased evidently in China SME Board after the twice reform of IPO bookbuildingmechanism. Speculative behavior is one of the main forming reasons of IPOunderpricing in SME board, and speculative behavior and IPO underpricing issignificantly positive correlation. After the twice reform of IPO bookbuildingmechanism, the explanatory power of speculative behavior for IPO underpricing hasincreased evidently. After the second reform of IPO bookbuilding mechanism,speculative behavior has become the most important determining force of IPOunderpricing.
针对我国询价机制的实际情况，本文从询价机制的独特性和询价发行机制改革出发，对我国IPO价格形成和抑价现象进行研究，试图从理论和实证两方面进行解释和论证。本文的研究主要从四个方面展开。
本文首先研究两阶段询价制下的IPO价格形成。询价制实施以来，新股发行的两阶段询价制一直存在。虽然目前在中小企业板和创业板上市的公司可以直接通过初步询价确定发行价格，但主板发行的股票仍然分两个阶段询价。本文结合我国IPO询价的现实，在询价分为初步询价和累计投标询价两个阶段的前提下，分别研究了机构投资者两阶段的均衡报价策略及最终的IPO价格形成，从理论上剖析了机构投资者初步询价时隐藏需求报价压低发行价格的动机。研究结果表明，机构投资者会在初步询价时有意隐藏其需求，最终的均衡价格为初步询价后承销商确定的发行价格区间上限，且初步询价时机构投资者需求隐藏比例越大，IPO发行价格越小，承销商确定的发行价格区间宽度越大，IPO发行价格越大。另外，实证结果也证实了结论的正确性。
其次，采用进化博弈论分析单阶段询价制下的IPO价格形成。在单阶段询价和新股定价窗口指导淡化的前提下，对询价对象群体建立单群体进化博弈模型，分析新股询价过程中询价对象报价行为和新股发行价格的形成。进化博弈模型的分析表明，询价对象的报价行为及IPO价格的形成与询价对象对新股抑价的估计均值有关。当询价对象对新股抑价率均值估计较大时，询价对象会倾向于选择高报价，以便获得新股配售通过二级市场出售新股获得一定盈利。询价对象群体中越多的个体选择高报价，承销商的定价也会越高，很可能高到偏离上市公司的内在价值。当询价对象对新股抑价率均值估计较小时，询价对象会倾向于选择低报价，或者不参与新股询价。询价对象群体中越多的个体选择低报价，承销商的定价也会越低，很可能低到偏离上市公司的内在价值；不参与新股询价的机构足够多时会出现新股由于询价机构不足而终止发行的现象。
再次，本文以两次询价发行机制改革为背景，选取2006年到2011年我国中小企业板上首次公开发行上市的公司数据为样本，采用随机边界模型，实证研究了两次改革前后新股发行定价是否存在故意折价现象。研究结果表明，两次询价发行机制改革后，中小企业板的IPO抑价率均存在显著降低；第一次询价发行机制改革前显著存在新股折价行为，且折价比例不容忽视，新股折价加剧了新股的高抑价；而第一次询价发行机制改革后不存在新股折价行为，新股抑价的来源几乎完全在二级市场估值过高上面；第二次询价发行机制改革前后新股定价行为没有明显变化。
最后，本文仍然以两次询价发行机制改革为背景，以上一章的数据为样本，建立多元回归模型，研究了改革前后新股投机行为对IPO抑价率的影响。研究结果表明，新股投机行为是形成我国中小企业板IPO抑价的主要原因之一，且新股投机行为与IPO抑价之间始终具有显著的正相关关系；两次询价发行机制改革后，新股投机行为对IPO抑价的解释力度都明显增强，且第二次询价发行机制改革后，新股投机行为已经成为IPO抑价最重要的决定力量。
IPO pricing and underpricing have been the hot issue of finance and already widelydrawn the scholars attention home and abroad in recent decades. Foreign scholars carryout a study of the phenomenon, and put forward a variety of theories and hypothesis,but so far there is no theory recognized generally. After the establishment of Chinesesecurities market, IPO pricing mechanism has been constantly improved and perfected.Before the "Security Law" put into practice in1999, the issue of new shares isexamination and approval system, then the system is transmitted into approval system.Many scholars have studied the new stock's pricing, but almost concentrate onexplaining the underpricing of new stock. After the implement of bookbuildingmechanism in2005, issuing Mechanism of new issue mainly experienced two majorbookbuilding mechanism reform. So far, underpricing phenomenon have relieved, buthigh price-earnings ratio and obvious over raised appear. single theory can fully explainthis phenomenon. A lot of research focused on China IPO underpricing, but the researchin combination with bookbuilding mechanism is rarer. In this case, the research of IPOprice formation and underpricing in bookbuilding mechanism become very valuable.
In view of the actual situation and under the characteristic bookbuildingmechanism and the reform of mechanism, this article will study IPO price formationand underpricing in China, and try to theoretically and empirically explain anddemonstrate it. This article will study IPO price formation and underpricing from fouraspects.
Firstly, this article analyse the IPO price formation in two-stage bookbuilding.After the implement of bookbuilding mechanism, two-stage bookbuilding has existed.Although IPO pricing of firms in Shenzhen's SME and GEM Board can be directlydetermined by preliminary bookbuilding, IPO pricing of main board market isdetermined by two-stage bookbuilding. Combining with the reality of China's IPObookbuilding，under the premise of bookbuilding can be divided into preliminarybookbuilding and accumulated bidding bookbuilding, this paper study the equilibriumbidding strategy of the institutional investors in two stages and the final IPO priceformation. We analyse the motive of the institutional investors shading their demands inbidding and lowering the issue price. Our analysis indicates that: institutional investorswill shade their demands in preliminary bookbuilding deliberately; the ultimate equilibrium price will be upper limit of issue price range; the greater the shadingdemands of institutional investors in preliminary bookbuilding, the smaller ipo issueprice; the greater the wide of the issue price range, the higer IPO issue price. Empiricalanalysis also confirmed the validity of conclusions.
Secondly, base on evolutionary game theory, this article analyse the IPO priceformation in one-stage bookbuilding. Under the premise of bookbuilding is one-stageand IPO pricing window guidance is cancelled, the author establishes a one-groupevolutionary game model of the inquiry institution investors, and analyse institutionalinvestors’ bidding behavior and the IPO price formation in one-stage bookbuilding.Institutional investors’ bidding behavior and the IPO price formation are both relatedwith inquiry institution investors’ mean value of IPO underpricing. When the meanvalue of IPO underpricing is large enough, the investors will tend to choose highbidding, in order to obtain new shares and make a certain profit through sell them insecondary market. The more high bidding investors, the higher underwriter’s pricing.The pricing may be higher than the intrinsic value of the listed company. When themean value of IPO underpricing is small enough, the investors will tend to choose lowbidding or not to participate in the inquiry. The more low bidding investors, the lowerunderwriter’s pricing. The pricing may be lower than the intrinsic value of the listedcompany. When the investors of choosing not to participate in the inquiry are sufficientenough, new issues will be terminated because of too little inquiry institution investors.
Then, as the background of the twice reform of IPO bookbuilding mechanism, thepaper selects IPO data from2006to2011in China SME Board, and tests the existenceof deliberate underpricing in the Initial Public Offerings before and after the reformusing a Stochastic Frontier Model. The results indicate that there is deliberateunderpricing behavior in new share before the first reform of IPO bookbuildingmechanism, and the deliberate underpricing rate can not be ignored, deliberateunderpricing exacerbate the high underpricing. After the first reform of IPObookbuilding mechanism, there is no deliberate underpricing behavior in new share,IPO underpricing mainly comes from the high secondary market valuation. There is nosignificant change in the pricing behavior before and after the second reform of IPObookbuilding mechanism.
Finally, as the background of the twice reform of IPO bookbuilding mechanism,the paper selects IPO data from2006to2011in China SME Board, and studies therelation between speculative behavior in new share and IPO underpricing using a multiple regression model. The empirical results indicate that IPO underpricing hasdecreased evidently in China SME Board after the twice reform of IPO bookbuildingmechanism. Speculative behavior is one of the main forming reasons of IPOunderpricing in SME board, and speculative behavior and IPO underpricing issignificantly positive correlation. After the twice reform of IPO bookbuildingmechanism, the explanatory power of speculative behavior for IPO underpricing hasincreased evidently. After the second reform of IPO bookbuilding mechanism,speculative behavior has become the most important determining force of IPOunderpricing.
引文
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