IPO价格形成及短期价格调整研究
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摘要
IPO定价是国际金融界公认的最具迷惑性的金融难题之一。从理论上讲，业绩较好的上市公司其股票的IPO价格应该高于业绩较差的上市公司，IPO股票上市后的交易价格也应该反映公司的内在价值。但从实际情况来看，IPO价格并非总与公司的内在价值一致，IPO股票上市后的首日交易价格也往往偏离其内在价值，导致了诸如IPO抑价等现象的出现。在中国，IPO短期抑价程度远远高于欧美等成熟的股票市场，带来IPO股票市场的超额收益，而这种超额收益经过进一步地短期调整又逐渐回归到市场均衡水平。那么，IPO股票发行价格的确定究竟受哪些因素的影响?是什么原因导致了IPO股票的抑价现象，这种首日超额收益在短期内将如何调整?上述问题，构成了本文研究的核心内容。
本文认为，IPO股票在市场中的最终均衡价格是由股票供给与潜在需求决定的。当供给价格与潜在需求价格相等，供给量与潜在需求量相等时，这一价格便逐渐趋于平衡，反映出股票市场的平均利润以及发行公司的内在价值。这一均衡过程可以分解为两个阶段：事前(Ex-ante)的价格形成阶段，以及事后(Ex-post)二级市场短期价格调整阶段。因此，本文主要针对中国IPO价格形成及短期价格调整进行研究。其中对股票IPO价格形成的研究集中于事前的发行价格确定阶段，本文建立了影响中国IPO股票发行价格确定的因素的多元线形回归模型并应用案例的数据进行分析；而对短期价格调整的研究则包括事后上市首日交易价格的形成和上市后短期内交易价格的调整两个层面，本文建立了影响中国IPO股票首日价格形成的因素回归模型，同时采用市场收益率法则对IPO股票上市后的短期价格调整速度进行实证检验。此外，鉴于中国特有的非流通股的全流通问题作为IPO股票价格形成与短期价格调整中一个不可回避的现实问题，本文也对此进行了较为深入的研究，本文建立了非流通股全流通的对价理论模型。研究内容主要包括四个方面，研究基本结论如下：
第一，关于中国股票IPO价格形成的实证研究，本文建立了影响中国IPO股票发行价格确定的因素的多元线形回归模型并应用案例的数据进行分析。本文研究发现，影响中国股票IPO发行价格的因素主要包括：(1)市场利率，高市场利率导致了发行公司的股票预期收益率降低，从而导致股票IPO发行价格定价偏低；(2)招股数量，IPO股票发行的数量越多，承销商为了控制发行风险，越倾向于调低股票的发行价格，即股票IPO价格确定具有显著规模负效应；(3)发行市盈率水平，市盈率越高，表明发行人对公司价值预期越高，IPO股票发行价格越高；(4)企业财务指标，主要表现为企业预期投资回报越高、预期盈利能力越强、则IPO价格定价越高，并且财务指标是影响IPO股票发行价格确定的主要因素。
第二，关于中国IPO股票上市后首日价格形成阶段的实证研究，本文建立了影响中国IPO股票首日价格形成的因素回归模型。本文研究发现，在中国IPO股票市场，投资者特别是个人投资者，普遍存在投机性的交易心理，投资者对公司负债比例高等投资风险不敏感，上市首日换手率高；但是，如果投资者参与IPO股票发行价格确定的程度越高，对IPO股票的信息收集越多，越有利于减少信息的不对称性，从而有助于降低抑价现象。从发行公司层面看，普遍存在发行市盈率高的现象，一方面说明，发行公司以及承销商对公司预期乐观，另一方面也说明投资者也对上市公司盈利预期普遍乐观。从承销商来看，承销商的特征不会影响IPO股票上市后首日价格的形成，这间接说明承销商之间的差异性对股票IPO价格形成方面无实质性影响。同时本文还发现：IPO上市后的交易价格在短期内不会有太大的改变，抑价将持续近一个月。除此之外，虽然大部分国有企业有着较高的非流通股比例，但非流通股的存在对IPO的交易价格并没有产生显著的影响，它只会影响公司治理以及公司股票IPO后的其他层面。
第三，关于中国IPO股票上市后短期价格调整阶段的实证研究，采用市场收益率法则对IPO股票上市后的短期价格调整速度进行实证检验。本文研究发现，中国IPO股票上市后，首日交易所形成的高初始收益率现象，将持续一段时间，收益率变动不大，基本上在2-3％之间波动。进一步研究发现，针对股票短期内价格调整的速度，中国IPO股票上市后交易价格调整到其基本价值的天数，即达到均衡价格的天数平均来看大约为2周左右，但是个股之间的差异性比较大，这说明中国股票IPO价格调整天数受个股特征因素影响比较大。此外，随着年份增加，中国股票IPO价格调整天数在逐渐减小，基本上处于下降趋势，说明市场投资者正在不断成熟，市场价格形成机制正在不断改善。
第四，本文结合中国实际情况，针对股票IPO定价的特殊问题——非流通股的影响进行了分析，对非流通股的定价进行了研究，建立了一个关于非流通股全流通定价的补偿定价理论模型，并运用此理论模型进行了案例分析。本文更合理地解释了非流通股票的存在对中国股票IPO定价过程的影响，补偿定价理论模型有助于解决非流通股票这样一个特殊的IPO进行定价。
从整体来看，中国IPO股票发行价格确定阶段，承销商与发行人主要依据企业的各种财务指标以及其他辅助性指标决定IPO股票发行价格，投资者的定价参与对发行价格的确定不具有显著影响。但是，这个阶段确定的发行价格并未包含关于股票IPO价值的全部信息，股票IPO均衡价格需要在二级市场通过短期调整来确定。在中国IPO股票市场，投资者特别是个人投资者，普遍存在投机性交易心理、对公司负债比例高等投资风险不敏感等非理性行为。因此，在中国股票IPO首日价格形成阶段，投资者投机性心理以及过度交易行为是导致首日价格偏高的主要原因。这样，股票价格需要经过大约2个交易周的时间，均衡价格(即价格等于内在价值)才会最终形成。
IPO pricing is one of the most difficult puzzle recognized by the international financial field. Theoretically speaking,the IPO prices of well-performed firms should be higher than those of bad-performed firms,and the trade prices after going public should reflect intrinsic value of the companies as well. But as a matter of fact,the IPO prices are not always consistent with companies' intrinsic value,the first-day trade prices after IPO sometimes deviate its intrinsic value,leading to the underpricing of IPO. What's more, IPO underpricing is more serious in China,bringing about excess returns in the IPO market. But the excess returns will go back to equilibrium during a short-term adjustment.Then,what factors influence the establishment of IPO offering prices? Why there is such a phenomenon as IPO underpricing,and how does it change in a short-term period?These are the core issues of the paper.
We believe:the final equlibrium price formation of IPO shares in the stock market is determined by stock supply and potential demand. When the stock issuing price equals to the buyers' expected price,and the number of shares issued equals to the potential demand,the price tends to be equilibrium, which reflects the stock market average profits and the company's intrinsic value. As a matter of fact,the process contains two mainly stages: the ex-ante offering price formation stage,and the ex-post short-term adjustment in the second market. Therefore this paper investigates on IPO price formation and short-term price adjustment in China. The analysis of price formation is focusing on the ex-ante formation stage of IPO price,while the short-term price adjustment is focusing on the first-day trade price and the short-term adjustment after going public. The main conclusions of this dissertation are as follows:
Firstly, in the stage for the issue price formation. The research indicates there are four factors influencing the issue price: (l)the influence of market rate level. The higher the market rate, the higher the issue price; (2) the influence of IPO quantity. The more the issue quantity, the higher the issue price; (3) the P/E level. The higher the P/E level, the higher the issue price ; (4)the corporate financial capability, mainly the prospected profitability and operation ability, and so on. It is found that better profitability and operation ability are related to higher issue price.
Secondly, in the first day for IPO aftermarket trading, the paper focuses on IPO underpricing. The research shows that: In the IPO market in China, the investors are generally have a tendency of speculation, the investors are not sensitive to the high debt rates of companies, nor the high investment risk., The issuer more informed than the investors ,so the turnover rate and the underpricing on the IPO day is very high; and furthermore, from the prospect of the listed companies, there is a popular phenomenon of high P/E. This means not only the issuers and the underwriter, but also the investors have an overoptimistic expection from the window of opportunity. When it refers to the underwriters, we find the characteristics of the underwriters have no effect on the IPO pricing. And it is concluded that there is no big changes of the short-term prices after IPO' listing, the IPO underpricing will sustain at least one month after that. What's more, although there is a high rate of non-tradable shares in most of State-Owned Enterprises, it has a little effect on the IPO' trade prices. In other words, the existence of non-tradable shares will only influence the company governance and other aspects after IPO.
And then, in the stage for the IPOs aftermarket price adjustment, the paper mainly computes the speed price adjustment. The mainly foundings in this chapter are as follows. In the aftermarket trading days, the initial retuns volatility do change over the times, with the volatility in the 2-3%. In mean, the aftermarket speed of price adjustment is about 2 trading week. Moreover, the days for price adjustment tend to become smaller with year.
Finally, considering the real situation in China,we turn to the particular problem in IPO pricing, which is the existence of non-circulating shares. We design a compensative pricing model, and at the same time, by using the theoretical model, we offer a case analysis. The paper explains the possible inflence of non-tradable shares on IPO pricing, and it proves that the model proposed here can do a better job in the reasonable pricing of non-tradable shares .
In summary, the IPO Price formation in China are composed three stages, ie the stage for issue price formation, the first days of IPO, and the stage for aftermarket price adjustment. In the stage for issue price formation, the underwriters and the issuers dominate the control right for the issue price, and issue pricing is mainly based on some corporate financial indicates. In the first days, the high initial underpricing are mainly raise on the speclitive behaviors and over-optimistic trading in the first day trading. Then, in the stage for the aftermarket price adjustment price, the final equilibrium price is discovered about 2 trading weeks later. At last the paper probes into the non-tradable shares problem and design a non-tradable shares pricing model.
本文认为，IPO股票在市场中的最终均衡价格是由股票供给与潜在需求决定的。当供给价格与潜在需求价格相等，供给量与潜在需求量相等时，这一价格便逐渐趋于平衡，反映出股票市场的平均利润以及发行公司的内在价值。这一均衡过程可以分解为两个阶段：事前(Ex-ante)的价格形成阶段，以及事后(Ex-post)二级市场短期价格调整阶段。因此，本文主要针对中国IPO价格形成及短期价格调整进行研究。其中对股票IPO价格形成的研究集中于事前的发行价格确定阶段，本文建立了影响中国IPO股票发行价格确定的因素的多元线形回归模型并应用案例的数据进行分析；而对短期价格调整的研究则包括事后上市首日交易价格的形成和上市后短期内交易价格的调整两个层面，本文建立了影响中国IPO股票首日价格形成的因素回归模型，同时采用市场收益率法则对IPO股票上市后的短期价格调整速度进行实证检验。此外，鉴于中国特有的非流通股的全流通问题作为IPO股票价格形成与短期价格调整中一个不可回避的现实问题，本文也对此进行了较为深入的研究，本文建立了非流通股全流通的对价理论模型。研究内容主要包括四个方面，研究基本结论如下：
第一，关于中国股票IPO价格形成的实证研究，本文建立了影响中国IPO股票发行价格确定的因素的多元线形回归模型并应用案例的数据进行分析。本文研究发现，影响中国股票IPO发行价格的因素主要包括：(1)市场利率，高市场利率导致了发行公司的股票预期收益率降低，从而导致股票IPO发行价格定价偏低；(2)招股数量，IPO股票发行的数量越多，承销商为了控制发行风险，越倾向于调低股票的发行价格，即股票IPO价格确定具有显著规模负效应；(3)发行市盈率水平，市盈率越高，表明发行人对公司价值预期越高，IPO股票发行价格越高；(4)企业财务指标，主要表现为企业预期投资回报越高、预期盈利能力越强、则IPO价格定价越高，并且财务指标是影响IPO股票发行价格确定的主要因素。
第二，关于中国IPO股票上市后首日价格形成阶段的实证研究，本文建立了影响中国IPO股票首日价格形成的因素回归模型。本文研究发现，在中国IPO股票市场，投资者特别是个人投资者，普遍存在投机性的交易心理，投资者对公司负债比例高等投资风险不敏感，上市首日换手率高；但是，如果投资者参与IPO股票发行价格确定的程度越高，对IPO股票的信息收集越多，越有利于减少信息的不对称性，从而有助于降低抑价现象。从发行公司层面看，普遍存在发行市盈率高的现象，一方面说明，发行公司以及承销商对公司预期乐观，另一方面也说明投资者也对上市公司盈利预期普遍乐观。从承销商来看，承销商的特征不会影响IPO股票上市后首日价格的形成，这间接说明承销商之间的差异性对股票IPO价格形成方面无实质性影响。同时本文还发现：IPO上市后的交易价格在短期内不会有太大的改变，抑价将持续近一个月。除此之外，虽然大部分国有企业有着较高的非流通股比例，但非流通股的存在对IPO的交易价格并没有产生显著的影响，它只会影响公司治理以及公司股票IPO后的其他层面。
第三，关于中国IPO股票上市后短期价格调整阶段的实证研究，采用市场收益率法则对IPO股票上市后的短期价格调整速度进行实证检验。本文研究发现，中国IPO股票上市后，首日交易所形成的高初始收益率现象，将持续一段时间，收益率变动不大，基本上在2-3％之间波动。进一步研究发现，针对股票短期内价格调整的速度，中国IPO股票上市后交易价格调整到其基本价值的天数，即达到均衡价格的天数平均来看大约为2周左右，但是个股之间的差异性比较大，这说明中国股票IPO价格调整天数受个股特征因素影响比较大。此外，随着年份增加，中国股票IPO价格调整天数在逐渐减小，基本上处于下降趋势，说明市场投资者正在不断成熟，市场价格形成机制正在不断改善。
第四，本文结合中国实际情况，针对股票IPO定价的特殊问题——非流通股的影响进行了分析，对非流通股的定价进行了研究，建立了一个关于非流通股全流通定价的补偿定价理论模型，并运用此理论模型进行了案例分析。本文更合理地解释了非流通股票的存在对中国股票IPO定价过程的影响，补偿定价理论模型有助于解决非流通股票这样一个特殊的IPO进行定价。
从整体来看，中国IPO股票发行价格确定阶段，承销商与发行人主要依据企业的各种财务指标以及其他辅助性指标决定IPO股票发行价格，投资者的定价参与对发行价格的确定不具有显著影响。但是，这个阶段确定的发行价格并未包含关于股票IPO价值的全部信息，股票IPO均衡价格需要在二级市场通过短期调整来确定。在中国IPO股票市场，投资者特别是个人投资者，普遍存在投机性交易心理、对公司负债比例高等投资风险不敏感等非理性行为。因此，在中国股票IPO首日价格形成阶段，投资者投机性心理以及过度交易行为是导致首日价格偏高的主要原因。这样，股票价格需要经过大约2个交易周的时间，均衡价格(即价格等于内在价值)才会最终形成。
IPO pricing is one of the most difficult puzzle recognized by the international financial field. Theoretically speaking,the IPO prices of well-performed firms should be higher than those of bad-performed firms,and the trade prices after going public should reflect intrinsic value of the companies as well. But as a matter of fact,the IPO prices are not always consistent with companies' intrinsic value,the first-day trade prices after IPO sometimes deviate its intrinsic value,leading to the underpricing of IPO. What's more, IPO underpricing is more serious in China,bringing about excess returns in the IPO market. But the excess returns will go back to equilibrium during a short-term adjustment.Then,what factors influence the establishment of IPO offering prices? Why there is such a phenomenon as IPO underpricing,and how does it change in a short-term period?These are the core issues of the paper.
We believe:the final equlibrium price formation of IPO shares in the stock market is determined by stock supply and potential demand. When the stock issuing price equals to the buyers' expected price,and the number of shares issued equals to the potential demand,the price tends to be equilibrium, which reflects the stock market average profits and the company's intrinsic value. As a matter of fact,the process contains two mainly stages: the ex-ante offering price formation stage,and the ex-post short-term adjustment in the second market. Therefore this paper investigates on IPO price formation and short-term price adjustment in China. The analysis of price formation is focusing on the ex-ante formation stage of IPO price,while the short-term price adjustment is focusing on the first-day trade price and the short-term adjustment after going public. The main conclusions of this dissertation are as follows:
Firstly, in the stage for the issue price formation. The research indicates there are four factors influencing the issue price: (l)the influence of market rate level. The higher the market rate, the higher the issue price; (2) the influence of IPO quantity. The more the issue quantity, the higher the issue price; (3) the P/E level. The higher the P/E level, the higher the issue price ; (4)the corporate financial capability, mainly the prospected profitability and operation ability, and so on. It is found that better profitability and operation ability are related to higher issue price.
Secondly, in the first day for IPO aftermarket trading, the paper focuses on IPO underpricing. The research shows that: In the IPO market in China, the investors are generally have a tendency of speculation, the investors are not sensitive to the high debt rates of companies, nor the high investment risk., The issuer more informed than the investors ,so the turnover rate and the underpricing on the IPO day is very high; and furthermore, from the prospect of the listed companies, there is a popular phenomenon of high P/E. This means not only the issuers and the underwriter, but also the investors have an overoptimistic expection from the window of opportunity. When it refers to the underwriters, we find the characteristics of the underwriters have no effect on the IPO pricing. And it is concluded that there is no big changes of the short-term prices after IPO' listing, the IPO underpricing will sustain at least one month after that. What's more, although there is a high rate of non-tradable shares in most of State-Owned Enterprises, it has a little effect on the IPO' trade prices. In other words, the existence of non-tradable shares will only influence the company governance and other aspects after IPO.
And then, in the stage for the IPOs aftermarket price adjustment, the paper mainly computes the speed price adjustment. The mainly foundings in this chapter are as follows. In the aftermarket trading days, the initial retuns volatility do change over the times, with the volatility in the 2-3%. In mean, the aftermarket speed of price adjustment is about 2 trading week. Moreover, the days for price adjustment tend to become smaller with year.
Finally, considering the real situation in China,we turn to the particular problem in IPO pricing, which is the existence of non-circulating shares. We design a compensative pricing model, and at the same time, by using the theoretical model, we offer a case analysis. The paper explains the possible inflence of non-tradable shares on IPO pricing, and it proves that the model proposed here can do a better job in the reasonable pricing of non-tradable shares .
In summary, the IPO Price formation in China are composed three stages, ie the stage for issue price formation, the first days of IPO, and the stage for aftermarket price adjustment. In the stage for issue price formation, the underwriters and the issuers dominate the control right for the issue price, and issue pricing is mainly based on some corporate financial indicates. In the first days, the high initial underpricing are mainly raise on the speclitive behaviors and over-optimistic trading in the first day trading. Then, in the stage for the aftermarket price adjustment price, the final equilibrium price is discovered about 2 trading weeks later. At last the paper probes into the non-tradable shares problem and design a non-tradable shares pricing model.
引文
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