我国中小企业板IPO抑价问题研究
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摘要
IPO抑价现象普遍存在于世界各国,在中国尤为严重。不少中国学者曾在西方的IPO抑价理论基础上对中国股市进行分析,但由于我国资本市场有着自身的特点,存在很多的特殊性,股权分置这一重要的制度性前提存在下的的中国资本市场的有效性并不强,西方对该问题的研究解释在我国资本市场的适用性有待考察。本文结合西方成熟的理论研究成果,选取了股权分置改革后中小板市场上的股票作为样本进行实证分析,力求找出我国中小板独特的、不同于其他国家的IPO超额收益的成因。
为了达到研究目的,本文采用了定量和定性相结合的分析方法。首先,对现有的有关新股发行抑价的研究文献进行了回顾,在对国内外研究成果进行综述、分析、归纳后,找出现有研究成果存在的不足。其次,阐述了创业板市场的内涵,对我国中小企业板和海外创业板的发行机制进行了介绍和比较分析。然后在近年来IPO抑价的主要理论的基础上,对我国中小企业板发行的股票进行了实证分析,发现中小企业板IPO存在相对严重的抑价现象;最后总结了实证分析的结果,提出了政策建议,并讨论了本文的研究局限和有关研究领域未来的扩展方向。
本文的研究结论:我国中小企业板IPO存在相对严重的抑价现象,但是西方学者关于抑价现象的研究及其理论解释并不能很好的解释我国中小板市场IPO抑价现象,中小板高抑价产生的原因应从其自身的特点中去找,并且应该逐步解决这些问题,推动IPO抑价的理性回归。
Initial public offering underpricing is a world-wide phenomenon, but especially serious in China. Some Chinese scholars have done studies on Chinese stock market on the basis of western theories, but they neglest the equity separation system. This paper conducts an empirial study after the reform of equity separation while still on the basis of western theories to find out the special and unique factors that influencing IPO excess returns in the Chinese stock market.
To achieve its goal, this paper applies both quantitative analysis and qualitative analysis. Firstly, the paper related literature on the IPO underpricing, summarizes the recent empirical results in China and other countries. Secondly, this paper studies the main procedure of IPO, analyses and summarizes orientian, fuction, establishment, the present developing and future trend of main overseas growth enterprise markets and SME board. And then, this paper reviews the theories of IPO underpricing in recent years, and makes an empirial study on SME Board. The study indicates that there is an excess rate of return on SME Board. Some of SSE Guidelins have the positive effect on the development of SME Board. Finanlly, the conclusion is drawn, the suggestions are given and the limitation are postulated.
The follow are the main conclusions in this dissertation: the study indicates that there is an excess rate of return on SME Board, the this paper finds out that the research and explanation of western scholars is not very helpful to understand the underpricing phenomenon in China. Instead it concludes that some of the special and unique factors affect the IPO underpricing in China. Chinese stock market IPO underpricing may has its unique reasons, and it is better to solve these problems to push IPO underpricing into a reasonable extent.
为了达到研究目的,本文采用了定量和定性相结合的分析方法。首先,对现有的有关新股发行抑价的研究文献进行了回顾,在对国内外研究成果进行综述、分析、归纳后,找出现有研究成果存在的不足。其次,阐述了创业板市场的内涵,对我国中小企业板和海外创业板的发行机制进行了介绍和比较分析。然后在近年来IPO抑价的主要理论的基础上,对我国中小企业板发行的股票进行了实证分析,发现中小企业板IPO存在相对严重的抑价现象;最后总结了实证分析的结果,提出了政策建议,并讨论了本文的研究局限和有关研究领域未来的扩展方向。
本文的研究结论:我国中小企业板IPO存在相对严重的抑价现象,但是西方学者关于抑价现象的研究及其理论解释并不能很好的解释我国中小板市场IPO抑价现象,中小板高抑价产生的原因应从其自身的特点中去找,并且应该逐步解决这些问题,推动IPO抑价的理性回归。
Initial public offering underpricing is a world-wide phenomenon, but especially serious in China. Some Chinese scholars have done studies on Chinese stock market on the basis of western theories, but they neglest the equity separation system. This paper conducts an empirial study after the reform of equity separation while still on the basis of western theories to find out the special and unique factors that influencing IPO excess returns in the Chinese stock market.
To achieve its goal, this paper applies both quantitative analysis and qualitative analysis. Firstly, the paper related literature on the IPO underpricing, summarizes the recent empirical results in China and other countries. Secondly, this paper studies the main procedure of IPO, analyses and summarizes orientian, fuction, establishment, the present developing and future trend of main overseas growth enterprise markets and SME board. And then, this paper reviews the theories of IPO underpricing in recent years, and makes an empirial study on SME Board. The study indicates that there is an excess rate of return on SME Board. Some of SSE Guidelins have the positive effect on the development of SME Board. Finanlly, the conclusion is drawn, the suggestions are given and the limitation are postulated.
The follow are the main conclusions in this dissertation: the study indicates that there is an excess rate of return on SME Board, the this paper finds out that the research and explanation of western scholars is not very helpful to understand the underpricing phenomenon in China. Instead it concludes that some of the special and unique factors affect the IPO underpricing in China. Chinese stock market IPO underpricing may has its unique reasons, and it is better to solve these problems to push IPO underpricing into a reasonable extent.
引文
9 成思危,“2008年中国改革论坛”,南方日报,2008-4-8
10 一价定律:相同的物品应该具有相同的价格。即在资本市场中,相同的证券(也就是具有完全相同的支付结构的证券)必须具有相同的价格。Protopapadakis,A.and Stoll,H.R.Spot and Futures Prices and the Law of One Price,Journal of Finance,1983,5:1431-1455
11 做空机制是于做空紧密相连的一种运作机制,是指投资者因对整体股票市场或某些个股的未来走向(包括短期和中长期)看跌所采取的保护自身利益和借机获利的操作方法以及与此有关的制度总和。贺显南,中国股票市场做空机制初探,上海金融,2001,(10):30-31。
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[10] Carter Richard and Steven Manaster, Initial public offeings and underwriter reputation, Journal of Finance, 1990, 45:1045-1067
[11] Chowdhry Bhagwan and Vikram Nanda, Stabilization , syndication and pricing of IPOs Journal of Financial and Quantitative Analysis, 1996, 31 : 25—42
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10 一价定律:相同的物品应该具有相同的价格。即在资本市场中,相同的证券(也就是具有完全相同的支付结构的证券)必须具有相同的价格。Protopapadakis,A.and Stoll,H.R.Spot and Futures Prices and the Law of One Price,Journal of Finance,1983,5:1431-1455
11 做空机制是于做空紧密相连的一种运作机制,是指投资者因对整体股票市场或某些个股的未来走向(包括短期和中长期)看跌所采取的保护自身利益和借机获利的操作方法以及与此有关的制度总和。贺显南,中国股票市场做空机制初探,上海金融,2001,(10):30-31。
[1] Asquith Daniel Jonathan, Jones D. and Robert Kieschnick, Evidence on price stabilization and underpricing in early IPO returns, The Journal of Finance,1998, 53:1759-1773
[2] Aggarwal R Rivoli P, Fads in the initial public offering market? FinancialManagement, 1990, 19:45-57
[3] Aggarwal Reena, Stabilization activities by underwriters after initial public offerings, Journal of Finance , 2000, 55:1075-1103
[4] Allen Franklin and Gerald R. Faulhaber, Signaling by Underpricing in the IPO Market, Jounal of Financial Economics, 1989, 23:303-324
[5] Baron David RA, model of the Demand for Investment Banking Advising and Distribution Services for New Issues, Journal of Finance, 1982, 37:955-976
[6] Barry Christopher Christopher Muscarella and Michael Vetsuypens, Underwriter warrants , underwriter compensation, and the costs of going public, Journal of Financial Economics, 1991,29:113-136
[7] Beatty R.P. and J.R.Ritter, Investment banking reputaion and the under pricing of initial public offerings, Journal of Financial Economics, 1986, 15:213-232
[8] Benveniste Lawrence and Paul Spindt, How investment bankers determine the offer price and allocation of new issuesjournal of Financial Economics , 1989, 24 :343-361
[9] Booth J.R. and L. Chua, Ownership Dispersion Costly Information and IPO Under pricing, Journal of Financial Economics, 1996, 44:291-310
[10] Carter Richard and Steven Manaster, Initial public offeings and underwriter reputation, Journal of Finance, 1990, 45:1045-1067
[11] Chowdhry Bhagwan and Vikram Nanda, Stabilization , syndication and pricing of IPOs Journal of Financial and Quantitative Analysis, 1996, 31 : 25—42
[12] Carter R. B and Dark F. H, The Use of the overallotment option in initial public offerings of equity : Risks and underwriter prestige, Financial Management,1990, 19 (3) :55-64
[13] Carter, R.B. and Manaster S, Initial public offerings and underwriter reputation, Journal of Finance 1990,45:1045-1067
[14] Chi Jing and Carol Padgett, Short-Run Under pricing and Its Characteristics in Chinese IPO Markets, Working Paper, University of Reading,2002, 7:133-198
[15] Dong wei Su Belton Fleisher, An Empirical Investigation of Under pricing in Chinese IPOs, Pacific-Basin Finance Journal, May 1999, 7:173-202
[16] Grinblatt, Mark and Chuan Yang Hwang, Signaling and the pricing of new issues, Journal of Finance, 1989, 44:393-420
[17] Hanley Kathleen W. Arun Kumar and Paul Seguin, Price stabilization in the market for new issues, Journal of Financial Economics,1993, 34:177-197
[18] Hui Y.V and Henry M.K. Mok, Under pricing and after market Performance of IPOs in Shanghai, China, Pacific — Basin Finance Journal, 1998, 6:453-474
[19] Ibbotson R.G Sindelar J and Ritter J, The Market's Problems with the Pricing Of Initial Public Offerings, Journal of Applied Corporate Finance, 1994, 7:66-74
[20] Ibbotson Roger G. Price Performance of Common stock New Issues, Journal of Financial Economics, 1975, 2:235-272
[21] Ibbotson R.G and J.R. Ritter, Initial Public Offerings[A]. R.A. Jarrow,V. Maksimovic and W.T. Ziemba. Handbooks of Operations Research and Management Science: Finance[C]North-Holland, 1995, 993-1016
[22] Krigman L Shaw W H and Womack K L, Why do firms switch underwriters ? Journal of Financial Economics,2001,60 (2) :245 - 284
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