深圳中小板IPO首日超额收益问题研究
摘要
中国资本市场经过20多年的发展,从幼稚逐渐日趋完善。而长期以来我国新股发行的首日超额收益过高一直是市场各方参与者和理论研究者关注的一个焦点。基于此,本文在总结借鉴国内外研究成果的基础上,对深圳证券交易所上市的中小企业板IPO首日超额收益现象进行了深入探讨。
本文把IPO首日超额收益分解为一级市场抑价和二级市场溢价两个部分。包括:一级市场抑价(under valuation):即由于内在价值高于其发行价格而带来的超额收益;二级市场溢价(overvaluation):即上市首日收盘价格高于内在价值而带来的超额收益。分别从一级市场上市公司盈余管理的角度考察中小板上市公司股票IPO首日超额收益问题,同时立足于二级市场考察上市首日收盘价高于发行价原因。由于深圳中小企业板与A股主板市场存在不同,故本文首先对深圳中小企业板现状进行论述,其次对深圳中小板与我国主板市场、创业板市场的差异进行了比较。并在此基础上,对其深圳中小板IPO首日超额收益问题进行了相关研究。
一方面,本文首先从一级市场的角度对中小企业板上市公司上市前的盈余管理行为进行研究,利用多元线性回归模型进行验证。结果表明,IPO抑价与IPO盈余管理水平之间具有正相关关系。另一方面,从二级市场中投资者非理性角度(尤其中小投资者)的投机行为进行了研究。为说明深圳中小板投资者的非理性投机行为与IPO二级市场溢价的关系,本文采用盈余管理程度、上市首日中签率、上市首日换手率以及IPO发行市盈率等作为自变量进行回归检验,回归结果显示深圳中小板IPO收入超额收益与投资者的非理性投机行存在一定程度的正相关关系。换句话说,在二级市场上投资者的非理性投资行为最终会导致新股价格的泡沫,而这种投机泡沫又会影响其他投资者对股票价格的正确判断。回归结果显示在二级市场上申购新股的投资者的非理性投资行为从一定程度上解释了深圳中小企业板的IPO首日超额收益过高的现象。
在结论部分,针对上述问题向IPO参与主体提供了相应的政策建议并对IPO发行进行了展望。
China's capital market after 20 years of development, gradually maturing from the naive. The long-standing issue of new shares over the first day of high yield market has been the theory of all participants and a focus of researchers. Based on this, this paper summarizes research results from home and abroad based on the SME board in Shenzhen Stock Exchange over the first day of IPO proceeds phenomena in depth.
This article first day of the IPO excess return is divided into the primary market and secondary market premium under pricing of two parts. Include: a market under pricing (under valuation): that, because of the intrinsic value is higher than its issue price and bring the excess proceeds; secondary market premium (overvaluation): namely, the closing price listed on the first day brought more than intrinsic value excess earnings. Markets respectively, from a perspective of earnings management small plates listed on the first day of IPO stock return over the issue, while the secondary market study based on the first day of listing the reasons for the closing price above the issue price. The Shenzhen SME Board and the A shares market, there is different motherboard, so this article first discusses the status of the SME board in Shenzhen, followed by China on the Shenzhen SME Board and Main Board, and GEM differences were compared. And on this basis, the Shenzhen SME board on its first day of IPO issue proceeds over the relevant research.
On the one hand, this paper from the perspective of the primary market listed companies listed on the SME board in front of earnings management research, using multiple linear regression model validation. The results show that, IPO under pricing and the level of IPO earnings management is significantly positive correlation. On the other hand, the secondary market from the perspective of non-rational investors (especially small investors) of the speculation was studied. To illustrate the Shenzhen SME Board of irrational investors and the IPO speculation the relationship between the secondary market premium, we use the level of earnings management, listing success rate of the first Japan-China, listed on the first day and the IPO issue price-earnings ratio and other turnover as the independent variable for regression testing , regression results show that the Shenzhen SME Board IPO income excess returns and investor speculation in the line of non-existence of rational positive correlation between the degree. In other words, investors in the secondary market, the irrational investment behavior will eventually lead to new stock price bubble, and this would affect the speculative bubble in stock prices of other investors the right to judge. Regression results show that in the secondary market, investors purchase shares of non-rational investment behavior to some extent explains the first IPO in Shenzhen SME board on the phenomenon of high excess returns.
In conclusion, to address the problem in the main to the IPO offer policy suggestions and IPO, were discussed.
本文把IPO首日超额收益分解为一级市场抑价和二级市场溢价两个部分。包括:一级市场抑价(under valuation):即由于内在价值高于其发行价格而带来的超额收益;二级市场溢价(overvaluation):即上市首日收盘价格高于内在价值而带来的超额收益。分别从一级市场上市公司盈余管理的角度考察中小板上市公司股票IPO首日超额收益问题,同时立足于二级市场考察上市首日收盘价高于发行价原因。由于深圳中小企业板与A股主板市场存在不同,故本文首先对深圳中小企业板现状进行论述,其次对深圳中小板与我国主板市场、创业板市场的差异进行了比较。并在此基础上,对其深圳中小板IPO首日超额收益问题进行了相关研究。
一方面,本文首先从一级市场的角度对中小企业板上市公司上市前的盈余管理行为进行研究,利用多元线性回归模型进行验证。结果表明,IPO抑价与IPO盈余管理水平之间具有正相关关系。另一方面,从二级市场中投资者非理性角度(尤其中小投资者)的投机行为进行了研究。为说明深圳中小板投资者的非理性投机行为与IPO二级市场溢价的关系,本文采用盈余管理程度、上市首日中签率、上市首日换手率以及IPO发行市盈率等作为自变量进行回归检验,回归结果显示深圳中小板IPO收入超额收益与投资者的非理性投机行存在一定程度的正相关关系。换句话说,在二级市场上投资者的非理性投资行为最终会导致新股价格的泡沫,而这种投机泡沫又会影响其他投资者对股票价格的正确判断。回归结果显示在二级市场上申购新股的投资者的非理性投资行为从一定程度上解释了深圳中小企业板的IPO首日超额收益过高的现象。
在结论部分,针对上述问题向IPO参与主体提供了相应的政策建议并对IPO发行进行了展望。
China's capital market after 20 years of development, gradually maturing from the naive. The long-standing issue of new shares over the first day of high yield market has been the theory of all participants and a focus of researchers. Based on this, this paper summarizes research results from home and abroad based on the SME board in Shenzhen Stock Exchange over the first day of IPO proceeds phenomena in depth.
This article first day of the IPO excess return is divided into the primary market and secondary market premium under pricing of two parts. Include: a market under pricing (under valuation): that, because of the intrinsic value is higher than its issue price and bring the excess proceeds; secondary market premium (overvaluation): namely, the closing price listed on the first day brought more than intrinsic value excess earnings. Markets respectively, from a perspective of earnings management small plates listed on the first day of IPO stock return over the issue, while the secondary market study based on the first day of listing the reasons for the closing price above the issue price. The Shenzhen SME Board and the A shares market, there is different motherboard, so this article first discusses the status of the SME board in Shenzhen, followed by China on the Shenzhen SME Board and Main Board, and GEM differences were compared. And on this basis, the Shenzhen SME board on its first day of IPO issue proceeds over the relevant research.
On the one hand, this paper from the perspective of the primary market listed companies listed on the SME board in front of earnings management research, using multiple linear regression model validation. The results show that, IPO under pricing and the level of IPO earnings management is significantly positive correlation. On the other hand, the secondary market from the perspective of non-rational investors (especially small investors) of the speculation was studied. To illustrate the Shenzhen SME Board of irrational investors and the IPO speculation the relationship between the secondary market premium, we use the level of earnings management, listing success rate of the first Japan-China, listed on the first day and the IPO issue price-earnings ratio and other turnover as the independent variable for regression testing , regression results show that the Shenzhen SME Board IPO income excess returns and investor speculation in the line of non-existence of rational positive correlation between the degree. In other words, investors in the secondary market, the irrational investment behavior will eventually lead to new stock price bubble, and this would affect the speculative bubble in stock prices of other investors the right to judge. Regression results show that in the secondary market, investors purchase shares of non-rational investment behavior to some extent explains the first IPO in Shenzhen SME board on the phenomenon of high excess returns.
In conclusion, to address the problem in the main to the IPO offer policy suggestions and IPO, were discussed.
引文
[1].袁明哲,股票定价模型[M],经济科学出版社,2006
[2].周战强,行为金融一理论与应用[M],清华大学出版社,2004
[3].李国平,行为金融学[M],北京大学出版社,2006
[4].王晋斌,新股申购预期超额报酬率的测度及其可能原因的解释,经济研究,1997,(12)
[5].陈工孟,高宁,中国股票一级市场长期投资回报的实证研究[J].经济科学,2000 (l)
[6].陈工孟,高宁,中国股票一级市场发行抑价的程度与原因[J].金融研究,2000 (8)
[7].夏新平,占为华,发行管制变迁下的中国股市IPO首日回报率研究[J],经济科学,2004(3)
[8].刘力,中国股票市场股票首次发行长期绩效研究[J],经济科学,2001(6)
[9].韩德宗,陈静.中国IPO定价偏低的实证研究[J],统计研究,2001.04
[10].浦剑悦、韩杨,新股发行抑价的两种模型检验,南开管理评论,2002,(4)
[11].杨丹,王莉,上市公司壳资源价值于新股定价实证研究[J],经济学家,2004(2)
[12].李金花,黄海滨,我国新股发行定价机制的市场化改革,中国金融,2004,(10)
[13].田嘉、占卫华,投资银行的声誉与IPO定价偏低关系的实证研究,中国社会科学院研究生院学报,2009,(4)
[14].杨记军,IPO定价机制与中国的现实选择[J] .经济问题,2006,(5).
[15].贺志新,于忠龙,我国证券市场保荐人制度法律问题探析[J].甘肃政法成人教育学院学报,2006,(6).
[16].赵威,王春峰,中国特色IPO抑价的本质研究发行制度[J].中国地质大学学报,2006,(7).
[17].蒋顺才,蒋永明,胡琦,不同发行制度下我国新股首日收益率研究[J].管理世界,2006,(7).
[18].阚京华,透视IPO询价制度,建立相应的修补机制[J].江苏商论,2006,(7).
[19].王进,香港新股发行方式对内地的借鉴[J].广东金融学院学报,2006,(9).
[20].付伟,我国股票发行定价机制问题研究[J].广东培正学院学报,2006,(9).
[21].周孝华,赵炜科,刘星,我国股票发行审批制与核准制下IPO定价效率的比较研究[J].管理世界2006,(11).
[22].郁玉环,我国上市公司IPO抑价分析[J].湖北汽车工业学院学报2006,(12).
[23].伏军,程向梅.我国证券保荐制度的外部制约与完善[J].河北法学2006,(12).
[24].苏树军,我国IPO定价机制模式选择[J].和田师范专科学校学报,2007,(1).
[25].巴曙松等,新股发行中机构投资者和中小投资者的利益平衡机制研究[J].海南金融,2007,(2).
[26]. Allen, Franklin. And Gerald. R.Faulhaber, Signaling Under pricing in the IPO Market [J], Journal of Financial Economics, 1989(23)
[27]. Barber, B. M., and J. D. Lyon., Detecting Long-Run Abnormal Stock Returns: the Empirical Power and Specification of Test Statistics Journal of Financial Economics, 1997(431)
[28]. Baron. D, A, Model of the Demand for Investment Banking Advising and Distribution Services for New Issues Journal of Finance, 1982(37)
[29]. Booth, James R., and L. Chua., Ownership Dispersion, Costly Information and IPO Under pricing .Journal of Financial Economics, 1996(41)
[30].Daniel, K, D, Hirshleifer, D and Subrahmanyam, A, investor psychology and security market under and over-reaction [J] Journal of Financial 1998(53)
[19]. Ellis, Katarina, Reni Michael, and Maureen O'Hara, "When the Underwriter is the Market Maker: An Examination of Trading in the IPO Aftermarket,Journal of Finance 2000(55).
[31]. Hin, T. and Mahmood, H., The Long-run Performance of Initial Public Offerings in Singapore ,Securities Industry Review, 1993(19)
[32]. Rock, Kevin, Why New Issues are Underpriced? Journal of Financial Economics, 1986(15)
[33].Teoh, Siew Hong, No Welch and T.J.Wong, Earnings Management and the Long-run Market Performance of Initial Public Offerings Journal of Finance, 1998(53)
[34]. Welch, L, Seasoned Offerings, Imitation Costs, and under pricing of Initial Public Offerings Journal of Finance, 1989(44)
[2].周战强,行为金融一理论与应用[M],清华大学出版社,2004
[3].李国平,行为金融学[M],北京大学出版社,2006
[4].王晋斌,新股申购预期超额报酬率的测度及其可能原因的解释,经济研究,1997,(12)
[5].陈工孟,高宁,中国股票一级市场长期投资回报的实证研究[J].经济科学,2000 (l)
[6].陈工孟,高宁,中国股票一级市场发行抑价的程度与原因[J].金融研究,2000 (8)
[7].夏新平,占为华,发行管制变迁下的中国股市IPO首日回报率研究[J],经济科学,2004(3)
[8].刘力,中国股票市场股票首次发行长期绩效研究[J],经济科学,2001(6)
[9].韩德宗,陈静.中国IPO定价偏低的实证研究[J],统计研究,2001.04
[10].浦剑悦、韩杨,新股发行抑价的两种模型检验,南开管理评论,2002,(4)
[11].杨丹,王莉,上市公司壳资源价值于新股定价实证研究[J],经济学家,2004(2)
[12].李金花,黄海滨,我国新股发行定价机制的市场化改革,中国金融,2004,(10)
[13].田嘉、占卫华,投资银行的声誉与IPO定价偏低关系的实证研究,中国社会科学院研究生院学报,2009,(4)
[14].杨记军,IPO定价机制与中国的现实选择[J] .经济问题,2006,(5).
[15].贺志新,于忠龙,我国证券市场保荐人制度法律问题探析[J].甘肃政法成人教育学院学报,2006,(6).
[16].赵威,王春峰,中国特色IPO抑价的本质研究发行制度[J].中国地质大学学报,2006,(7).
[17].蒋顺才,蒋永明,胡琦,不同发行制度下我国新股首日收益率研究[J].管理世界,2006,(7).
[18].阚京华,透视IPO询价制度,建立相应的修补机制[J].江苏商论,2006,(7).
[19].王进,香港新股发行方式对内地的借鉴[J].广东金融学院学报,2006,(9).
[20].付伟,我国股票发行定价机制问题研究[J].广东培正学院学报,2006,(9).
[21].周孝华,赵炜科,刘星,我国股票发行审批制与核准制下IPO定价效率的比较研究[J].管理世界2006,(11).
[22].郁玉环,我国上市公司IPO抑价分析[J].湖北汽车工业学院学报2006,(12).
[23].伏军,程向梅.我国证券保荐制度的外部制约与完善[J].河北法学2006,(12).
[24].苏树军,我国IPO定价机制模式选择[J].和田师范专科学校学报,2007,(1).
[25].巴曙松等,新股发行中机构投资者和中小投资者的利益平衡机制研究[J].海南金融,2007,(2).
[26]. Allen, Franklin. And Gerald. R.Faulhaber, Signaling Under pricing in the IPO Market [J], Journal of Financial Economics, 1989(23)
[27]. Barber, B. M., and J. D. Lyon., Detecting Long-Run Abnormal Stock Returns: the Empirical Power and Specification of Test Statistics Journal of Financial Economics, 1997(431)
[28]. Baron. D, A, Model of the Demand for Investment Banking Advising and Distribution Services for New Issues Journal of Finance, 1982(37)
[29]. Booth, James R., and L. Chua., Ownership Dispersion, Costly Information and IPO Under pricing .Journal of Financial Economics, 1996(41)
[30].Daniel, K, D, Hirshleifer, D and Subrahmanyam, A, investor psychology and security market under and over-reaction [J] Journal of Financial 1998(53)
[19]. Ellis, Katarina, Reni Michael, and Maureen O'Hara, "When the Underwriter is the Market Maker: An Examination of Trading in the IPO Aftermarket,Journal of Finance 2000(55).
[31]. Hin, T. and Mahmood, H., The Long-run Performance of Initial Public Offerings in Singapore ,Securities Industry Review, 1993(19)
[32]. Rock, Kevin, Why New Issues are Underpriced? Journal of Financial Economics, 1986(15)
[33].Teoh, Siew Hong, No Welch and T.J.Wong, Earnings Management and the Long-run Market Performance of Initial Public Offerings Journal of Finance, 1998(53)
[34]. Welch, L, Seasoned Offerings, Imitation Costs, and under pricing of Initial Public Offerings Journal of Finance, 1989(44)