我国新股询价制下IPO定价相关问题研究
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摘要
随着我国国民经济的高速发展,各项政治、经济制度改革的不断深入,证券市场在我国金融体系中扮演着越来越重要的角色。2004年中小板的开板、2009年创业板的推出,都极大地扩充和完善了我国直接融资市场的融资规模与融资渠道。截止2013年底,沪深两市总市值达23.76万亿元,合计拥有上市公司2469家,其中主板1413家、中小板701家、创业板355家上市公司。我国证券市场从创立至今经历了短短20余年的发展,而新股发行制度却在20余年间经历了从行政色彩浓厚的审批制,证监会发审委审核的核准制到目前采取的以市场作为配置金融资源主体的询价制三个阶段,其间大小改革多达9次。新股发行机制与定价效率相关问题一直是金融学理论和实证研究的热点,与此同时也是市场改革的难点,针对新股发行定价制度与定价效率的问题国内外学者进行了广泛的理论和实证研究,给出了一系列理论假说与实证结果。二十年来我国新股发行制度改革不断向市场化方向前进,特别是2005年1月1日确立的询价制新股股发行定价制度,标志着我国IPO市场化改革进入了崭新的阶段。在新股发行采取询价制的大背景,对IPO定价相关问题进行系统研究。
笔者在回顾国内外文献的基础上,期望对以下几个问题进行深入探讨：
(1)2010年11月1日实施的《证券发行与承销管理办法》及《关于深化新股发行体制改革的指导意见》对网下超额申购分配方式进行了重大调整,取消了原有超额申购在所有有效报价投资者间平均配售的规定,此次分配机制改革能否提升IPO定价效率,降低IPO首日发行抑价是本文探讨的第一个问题。
(2)新股发行询价制的核心是发行人委托承销商收集并分析投资者申购报价信息,同时综合各方因素确定新股发行价格的过程。承销商利用自主分配权对异质性投资者分配不同数量的新股,目的在于激励参与询价的投资者如实传递其拥有的信息。我国新股发行询价制度下,机构投资者作为最重要的市场参与主体,其在一级市场的具体申购报价行为将如何影响IPO定价?2012年5月证监会颁布并实施的《证券发行与承销管理办法》及《关于进一步深化新股发行体制改革的指导意见》大幅提高了网下机构投资者配售比例,同时取消了网下配股原有的3个月锁定期,此次发行制度改革将如何影响询价对象的申购报价行为是本文探讨的第二个问题。
(3)询价制下新股发行过程中包含三个关于新股价格的变量：无法观测到的新股内在价格、一级市场新股发行价格以及二级市场首日收盘价格。文献中通常使用首日收盘价和新股发行价构建IPO抑价率衡量新股发行效率。西方经典文献基于有效市场基本假设,认为新股首日二级市场收盘价能够充分反映市场各方面信息,因此使用首日收盘价构建的IPO抑价率衡量发行效率是合理的。而大量国内文献实证表明我国二级市场并未达到弱势有效,网下询价对象和二级市场散户投资者可能对新股的价值判断方式存在显著差异,简单的使用首日收盘价计算出的IPO抑价率可能会过高估计二级市场首日散户投资者非理性情绪(sentiment)对IPO定价效率的影响。因此本章研究了在询价制下,我国新股发行一级市场定价效率是否达到充分有效?询价制阶段证监会进行的三次发行制度改革及配套的“窗口指导”政策对一级市场定价效率将产生何种影响?询价制下,哪些因素将最终导致新股首日“破发”?是本文期望探讨的第三大问题。
(4)风险投资作为产业创新与金融创新相结合的金融中介,近年来在我国证券市场蓬勃发展,尤其是中小板与创业板推出之后,大量风险投资机构出现在上市公司股东名单之中。风险投资对拟上市公司的股权投资行为如何影响该公司IPO定价效率；风险投资对公司投资的时间长短、投资参股比例的大小、以及风险投资机构的声誉状况等因素将如何影响被投资公司IPO发行定价效率；风险投资持股锁定期结束时,二级市场股票价格将发生何种变化是本文探讨的第四个问题。
为了回答上述四个问题,本文结合我国询价机制的实际情况,利用资本市场的公开数据,并通过手工搜集整理投资者询价阶段详细报价数据、风险投资相关数据,使用多种计量经济研究方法力求得到更为稳健的实证结果。具体章节安排如下：
第一章：本文导论。本章简明介绍了本文的研究背景及研究意义,并勾勒出本文的研究逻辑结构和主要研究内容及相关研究方法,并介绍了本文的主要学术贡献。
第二章：新股发行制度回顾与现行新股发行流程。本章简要回顾了我国新股发行制度经历的三大阶段,介绍了每个阶段内特定的新股发行方式,全面描述了询价制下新股发行上市的具体流程。
第三章：文献综述。本章集中回顾了国内外相关研究文献,梳理了IPO相关研究的理论脉络,归纳了研究方法及研究结果,在分析现有文献不足的基础上,寻找本文研究的切入点。
第四章：分配机制改革与新股发行效率。本章利用了2009年至2011年主板、中小板和创业板的IPO相关数据,构建了新股分配制度改革的自然实验过程,使用双重差分模型(DID)消除了不同板块之间由于不可观测的异质性所导致的内生性问题,考察了新股发行询价制度第二阶段分配机制改革对新股发行定价效率产生的影响,并指出进一步完善承销商自主配售权是未来发行制度改革的方向。实证结果表明,在控制不同板块异质性条件下,第二阶段分配机制改革取消超额申购平均配售有助于提升中小板IPO发行定价效率,而对创业板没有产生显著影响。二级市场“爆炒”创业板新股的非理性情绪可能是影响创业板IPO定价效率的重要因素。
第五章：询价机构报价行为与新股发行效率。本章基于2010年11月至2012年10月,我国A股463家IPO公司,443家询价对象共45630组详细报价与申购的微观数据,使用描述统计及方差分析对参与新股申购过程中询价对象报价行为特征进行了刻画；利用询价阶段详细报价数据,构建了信息优势与信息劣势询价对象平均报价之差代理变量,使用普通最小二乘法对询价制下A股市场是否存在“赢者诅咒”假说进行了检验；利用询价阶段详细报价数据,构建了三个衡量机构投资者审慎报价的代理变量,实证检验了第三阶段发行制度改革对询价对象的报价行为的影响。实证结果表明：信息优势的询价对象与信息劣势询价对象报价均值之差与网下超额申购倍数成正比,网下超额申购倍数越高,信息优劣投资者平均报价之差越大,从而直接验证了“赢者诅咒”假说；2012年5月实施的增大网下新股配售比例与取消网下机构投资者配股锁定期等相关发行制度改革,显著提高了询价对象报价的审慎程度；二级市场氛围仍是影响我国新股发行定价效率的重要因素。
第六章,询价制下新股发行效率的随机前沿分析。本章利用2006年6月至2012年11月中小板647家IPO公司为研究样本,使用随机前沿分析模型对新股发行一级市场定价效率作出了实证检验。实证结果表明,对全体样本而言,我国询价制下新股一级市场存在人为压低发行价格的现象,新股发行价格低于随机前沿边界；询价制下三次发行制度改革对新股一级市场定价有显著影响。2009年6月第一次改革前以及2012年5月第三次改革后,由于证监会对新股价格进行了“窗口指导”导致一级市场存在故意压价现象,新股一级市场定价非完全有效。二级市场低迷氛围导致首日收盘价偏低是新股破发的主要原因。
第七章：风险投资参股与新股发行效率。本章以2009年至2012年间我国中小板与创业板上市公司为研究样本,使用倾向得分配比(propensity score matching)与事件研究(events study)方法考察了风险投资参股、风险投资声望对股票发行定价效率的影响,检验了风险投资参股股票锁定期解除前后显著的量价效应。实证结果表明,在本章研究样本中,风险投资并不具备“认证效应”与“逐名效应”；而在锁定期解除后,风险投资参股的上市公司股票二级市场的异常成交量与异常收益率更为显著；同时风险投资机构的累计投资收益率与解禁期股票的异常收益率存在负相关关系。
第八章：研究结论与研究展望。本章对全文主要研究结论进行了总结,在此基础上探讨了未来可能的研究内容。
本文的创新主要体现在以下几个方面：
(1)使用双重差分模型(DID)考察了2010年新股发行制度改革可能的政策效果。由于新政策仅对中小板和创业板定价分配制度产生影响,并不涉及主板市场,可将该政策变更视为一个近似的自然实验(natural experiment):将创业板和中小板市场作为“处理组(treatment group)",主板市场作为“控制组(control group)",使用双重差分模型考察该政策变化对新股发行定价效率的影响。该方法在经济学领域已得到广泛应用,而用于分析我国IPO定价效率尚属首次。采用双重差分模型通过“控制组(主板)”与“处理组(中小板、创业板)”在政策变化前后的差分,消除不可观测的异质性,从而得到更为稳健的政策评估结论。
(2)首次以手工收集整理的2010年11月至2012年10月,我国A股463家IPO公司,443家询价对象共45630组详细报价与申购的微观数据为研究样本,实证分析了不同类别、不同区域、不同声望询价对象的报价特征；首次使用询价阶段机构投资者详细微观报价数据,通过构建信息优劣投资者报价均值之差代理变量,直接检验了Rock(1986;“赢者诅咒”假说；实证检验了2012年5月实施的第三次新股发行制度改革对机构投资者报价行为的影响。
(3)依据新股发行询价制阶段三次重要发行制度改革,将询价制分为四个阶段,利用随机前沿分析(Stochastic frontier analysis)模型对四个阶段新股一级市场定价效率进行了实证研究；考察了证监会对新股发行价“窗口指导”政策与一级市场定价效率的关系,并实证检验了询价制下新股破发的影响因素。
(4)本文将研究样本扩展到642个,有效弥补了以往研究中由于样本数量不足可能导致的结论不稳健问题。使用倾向值配比(PSM)的实证方法,有效处理了风险投资机构与被投资公司的内生性选择(heterogeneous choice)司题,在配比变量的选择上考虑到理论无法给出明确的配比关系,本文由简至繁给出了三类配比变量,使得配比后的研究结果更为稳健。通过实证检验得到了新的结论：风险投资支持的公司与无风险投资支持的公司在IPO抑价率上没有显著差异；在拥有风险投资支持的子样本中,风险投资机构的声望并不对风险投资参股公司的IPO抑价率产生显著影响。与此同时,本文首次对风险投资参股公司IPO锁定期解除效应进行了实证分析。
With the rapid development of China's national economy as well as the continual deepening of the reform of all political and economic systems, security market is playing a more and more important role in China's financial system. The opening of small and medium enterprise board in2009and establishment of growth enterprise market in2009both enrich and perfect the scale and channel of China's direct financing market. As of the end of2013, the total value of stock markets of Shanghai and Shenzhen were reported to be23.76trillion yuan, and there were a total of2,469public companies, including1413listed on the main board,701listed on the small and medium enterprise board and355on the growth enterprise market. The stock market of China has been established for only more than two decades, but the new share issuance system has undergone three steps and nine reforms. The three steps are the examination approval system with heavy administrative color, approval system of the issuance examination system of China Securities Regulatory Commission and the present enquiry system with the market leading the resource allocation. The issue concerning the new share issuing mechanism and pricing efficiency has been the hot issue in the theoretical and empirical research and in the meantime the difficulty in the market reform. About the pricing system and pricing efficiency of the new share issuance, the researchers at home and abroad have conducted vast theoretical and empirical researches and gained a series of theoretical hypotheses and empirical results. However, the real world is far complicated than the financial theory. All theories are the abstract of the real world, and all demonstrations are based on certain hypotheses. China's new share issuance system becomes more and more market-oriented. In particular, the establishment of enquiry system of the new share issuance in January1st,2005became an important milestone in China's IPO market reform. In the background of the new share issuance system, this paper conducts the study on the issues concerning IPO pricing.
The author, based on reviewing the domestic and foreign literature, expects to discuss the following issues:
(1) The Measures for the Administration of Securities Issuance and Underwriting and Instructions about Deepening the Reform of New Share Issuance System, implemented on November1st,2010, largely adjust the type of distribution of excessive subscription offline and cancelled the former regulations on the subscription, i.e. average ration. The question is whether the reform of the distribution system can improve IPO pricing efficiency and reduce the IPO under-pricing on the first of issuance.
(2) The core of the enquiry system of new share issuance is that the publisher entrusts the underwriter to collect and analyze the pricing information of the investors with advantages in information before deciding the issue price, and then issues the new share in different numbers to encourage the investors participating in enquiry deliver the useful information truthfully. As the most important market participant under the enquiry, what influence do the institutional investors have on the IPO pricing when they report the specific information during the market enquiry on the primary market. The Measures for the Administration of Securities Issuance and Underwriting and Instructions about Further Deepening the Reform of New Share Issuance System issued and implemented by CSRC in May,2012, largely increase the ration of the offline institutional investors. In the meantime, the former-regulated three-month lockup period were cancelled. The specific influence of these reforms on the issuance system on the enquiry will be the second question that this paper is to answer.
(3) There are three kinds of variable price information in the process of IPO under inquiry system, namely the unobservable intrinsic price of new share, the offer price of IPO in the primary market and the closing price for the first day in the secondary market. In previous literature, the IPO underpricing is constructed by the closing price for the first day and the offer price of IPO, so as to measure the issuing efficiency of IPOs. Base on the basic assumptions of the efficient market, it is believed in the western literature that the new share closing price for the first day in the secondary market can fully reflect the market information in a comprehensive way. Therefore, it is reasonable to establish the IPO underpricing through the closing price for the first day to measure the issuing efficiency. Since, the secondary market in our country has not reached the weak-form efficiency, there is significant difference in the judge of the new share value between the off-line inquirers and the retail investors in the secondary market. The IPO underpricing, simply calculated through the closing price for the first day, might overestimates the influence which the retail investors'sentiments for the first day in the secondary market have on the pricing efficiency of IPO. So, in this chapter, what are researched are as follows. Does our pricing efficiency of IPO in the primary market performs fully and efficiently under inquiry system? what's the impact of the three reforms in issue system by the CSRC, on the pricing efficiency in the primary market during the stage of the inquiry system? What factors will finally cause the new share to fall on debut? These are the third group of questions which are expected to be investigated in this paper.
(4) As the financial medium integrating the industrial innovation and financial innovation, the venture investment has developed prosperously on China's stock market. Especially, since the small and medium enterprise board and growth enterprise market were established, a lot of venture capitals appeared on the public companies'lists of share holders. What influence would the venture capital invested in the equities of the companies applying for list on the IPO pricing efficiency? How do the numerous factors including the time of equity investment, ratio of investment of share and the reputation of the venture capital institutions influence the IPO pricing efficiency? When the lockup period of share holding of venture capitals is over, do influence will be made on the secondary stock market. This is the third question that this paper is to answer.
In order to answer the above four questions and obtain more robust empirical results, this paper combines the practical situation of China enquiry system with the data published on the capital market, collects manually the investors'data about the pricing items and venture investment at the enquiry stage and applies numerous research methods of econometrics. This paper consists of the following chapters:
Chapter One is the introduction of this paper. This chapter briefly introduces the research background and research meaning of this paper and maps the logical structure of research, main research contents and related research methods. Then, it introduces the major academic contributions of this paper.
Chapter2is reviewing of the IPO System and Process of the Current IPO.In this chapter, we will briefly review the three stages experienced by the IPO system in our country, and introduce the specific way to issue the new shares in each stage, and describe the specific processes of the new stock issuing under inquiry system in an all round way.
Chapter Three is the literature review. This chapter focuses on reviewing the relevant research literature at home and abroad, organizes the research front of IPO area as well as the gained results, lists the research and analytical methods applied in this study, and finally analyzes the defects in the existing literature in order to find out the deeper research orientation.
Chapter Four is about the reform of distribution system and new share issuance efficiency. This paper makes use of the data about the public companies issuing stocks for the first time from2009to2011and doing the transactions on the stock market. By constructing a natural experimentation, it uses the double difference model to remove the internal problem caused by the unobservable heterogeneity. Then, it investigates the influence of the second-step reform of the distribution system of the new share issuance enquiry system on the pricing efficiency of new share issuance. Finally, it points out that the direction of the future reform of issuance system is to further improve the autonomous ration rights of the principal underwriter. According to the empirical result, under the heterogeneous condition of controlling different boards, it's helpful that the second-step reform of the distribution system cancels the average ration of the excessive subscription to the improvement of the IPO issuance pricing efficiency of small and medium boards, and this reform doesn't noticeably affect the growth enterprise market. The irrational emotion of blinding promoting the secondary market may be the important factor that influences the IPO pricing efficiency of the growth enterprise market.
Chapter Five is about the quotation behavior of the enquiry institution and new share issuance efficiency. Based on the data of the China's463A-share IPO companies from November2010to October2012-to be specific,45630groups of micro data of detailed pricing and subscription, this chapter applies the empirical data to map the characteristics of the enquiry object's quotation behavior during the subscription of new shares and to sketch the influence of the third-phase reform of issuance system on the quotation behaviors of the enquiry institutions participating in the new share issuance. In addition, it tests whether there is the hypothesis of "winner's curse" on the A-share market. According to the findings, as to the enquiry object with advantages in information, the average value of the quotation during the enquiry is positively proportional to offline Oversubscription on the first of new share issuance. In this way, the above-mentioned hypothesis of "winner's curse" is verified. In May2005, the reform of increasing the offline new share ration and cancelling the offline institutional investors'allotment lockup period was implemented, thus making the enquiry object more careful about the quotation. The atmosphere of the secondary market is still an important factor that affects China's new share issuance pricing efficiency.
Chapter6is the Stochastic Frontier Analysis of the Issuing Efficiency of IPO under Inquiry System. In this chapter, I pick647IPO enterprises from the small-and-medium-sized enterprise board during the period from June,2006to November,2012as the study samples to take an empirical test of the IPO pricing efficiency in the primary market with the help of the stochastic frontier analysis model. It turns out that there exists the artificially underpricing phenomenon in the new share primary market under inquiry system for all the samples, and the offer price of the new share is lower than the stochastic frontier boundary. The three reforms in issue system have significant influence over the IPO pricing in the primary market under inquiry system.Before the first reform in June,2009and after the third reform in May,2012, the CSRC conducted the "window guidance" to the new share price. As a result, the artificially low offer price appears in the primary market, and the new share primary market is not completely valid. The downturn atmosphere in the secondary market causes the low closing price for the first day. This is the main reason why the new share falls on debut.
Chapter Seven is about the venture investment participation and new share issuance efficiency. Taking Chinese companies listed on the small and medium enterprise board and growth enterprise market (GEM) during the period of2009and2012as the sample, this paper conducts a empirical research on the influence of the venture investment participation and venture investment reputation on the share issuance pricing efficiency and on the capacity price effect before and after the cancellation of the lockup period of venture capital participation by using the propensity score matching and event study method. In the research sample of this paper, the venture investment is not equipped with authentication effect and grandstanding effect, but abnormal turnover and abnormal yield of the public companies with participation of venture investment are more noticeable after the lockup period is cancelled. In addition, the accumulated rate of return to investment is inversely proportional to the abnormal rate return of the stocks in lock-up period.
Chapter Eight is about the research conclusion and research prospect. This chapter summaries the principal research conclusions and, base on this, further discusses the possible research content in the future.
The innovation of this paper is manifested in the following aspects:
(1) The DID is applied to identify the possible policy effects of the reform of new share issuance system in2010. As the new policy only affects the pricing distribution system of the small and medium enterprise board and growth enterprise board instead of the main board market, this allows us to deem this policy as a approximately natural experiment:the small and medium enterprise board and growth enterprise board are combined and taken as a treatment group, and the main board market as the control group. In addition, the DID is used to investigate the influence of this policy change on the pricing efficiency of the new share issuance. This method has been widely used in economics, but in analyzing China's IPO pricing efficiency for the first time. The DID is applied to removed the unobservable heterogeneity of the differences of the treatment group and control group before and after the policy change, in order to gain more robust conclusion on the policy evaluation.
(2) it's the first time that the research sample of China's463IPO public companies and the443enquiry objects as well as their45630groups of detailed micro pricing and subscription number is used to empirically analyze the pricing features of the institutional investors (enquiry objects) of different types, regions and reputations. In the meantime, it's the first time that the data of the detailed micro pricing of the institutional investors during the enquiry are applied to construct two kinds of enquiry objects with informational advantage. Furthermore, the real micro pricing data of the enquiry objects are applied to prove the Rock's (1986)"winner's curse" hypothesis. Moreover, it empirically confirms the influence of the implementation of the third reform in the new share issuance system in May2012on the quotation behavior of the institutional investors.
(3) Based on these three important IPOs reforms, this paper divides the research samples into four stages, and using stochastic frontier analysis models investigate the efficiency of Chinese IPO Inquiry System and the impact of CSRC's "window guidance" policies. This paper also tests the main influence factors of the inquiry system under the new issues fall on debut.
(4) As few samples were used in the former literature about the venture investment, this paper expands the number of the research sample to642, thus effectively solving the problem that the insufficient research samples may lead to unsteady conclusions. As for the method of estimation, PSM is used to effectively handle the internal selection between the venture investment and invested enterprises. Considering it's unable to provide the specific matching relation theoretically on the selection of the matching variable, this paper provides three proxy variables, from the simple to the complicated, thereby making the research result more robust. Through the experimental test, the new conclusion is gained: the enterprises supported by the venture capital have no noticeable difference in the IPO under-price rate compared against those enterprises without the support of venture capitals. Among the sub-sample composed of the enterprises with the support of venture capitals, the reputation of the venture capitals doesn't have noticeable influence on the IPO under-pricing rate of the enterprises that the venture capitals hold shares. In the meantime, this paper for the first time conducts empirical analysis on the effect of the cancellation of the IPO lockup period of the enterprises whose partial shares are held by the venture capital.
笔者在回顾国内外文献的基础上,期望对以下几个问题进行深入探讨：
(1)2010年11月1日实施的《证券发行与承销管理办法》及《关于深化新股发行体制改革的指导意见》对网下超额申购分配方式进行了重大调整,取消了原有超额申购在所有有效报价投资者间平均配售的规定,此次分配机制改革能否提升IPO定价效率,降低IPO首日发行抑价是本文探讨的第一个问题。
(2)新股发行询价制的核心是发行人委托承销商收集并分析投资者申购报价信息,同时综合各方因素确定新股发行价格的过程。承销商利用自主分配权对异质性投资者分配不同数量的新股,目的在于激励参与询价的投资者如实传递其拥有的信息。我国新股发行询价制度下,机构投资者作为最重要的市场参与主体,其在一级市场的具体申购报价行为将如何影响IPO定价?2012年5月证监会颁布并实施的《证券发行与承销管理办法》及《关于进一步深化新股发行体制改革的指导意见》大幅提高了网下机构投资者配售比例,同时取消了网下配股原有的3个月锁定期,此次发行制度改革将如何影响询价对象的申购报价行为是本文探讨的第二个问题。
(3)询价制下新股发行过程中包含三个关于新股价格的变量：无法观测到的新股内在价格、一级市场新股发行价格以及二级市场首日收盘价格。文献中通常使用首日收盘价和新股发行价构建IPO抑价率衡量新股发行效率。西方经典文献基于有效市场基本假设,认为新股首日二级市场收盘价能够充分反映市场各方面信息,因此使用首日收盘价构建的IPO抑价率衡量发行效率是合理的。而大量国内文献实证表明我国二级市场并未达到弱势有效,网下询价对象和二级市场散户投资者可能对新股的价值判断方式存在显著差异,简单的使用首日收盘价计算出的IPO抑价率可能会过高估计二级市场首日散户投资者非理性情绪(sentiment)对IPO定价效率的影响。因此本章研究了在询价制下,我国新股发行一级市场定价效率是否达到充分有效?询价制阶段证监会进行的三次发行制度改革及配套的“窗口指导”政策对一级市场定价效率将产生何种影响?询价制下,哪些因素将最终导致新股首日“破发”?是本文期望探讨的第三大问题。
(4)风险投资作为产业创新与金融创新相结合的金融中介,近年来在我国证券市场蓬勃发展,尤其是中小板与创业板推出之后,大量风险投资机构出现在上市公司股东名单之中。风险投资对拟上市公司的股权投资行为如何影响该公司IPO定价效率；风险投资对公司投资的时间长短、投资参股比例的大小、以及风险投资机构的声誉状况等因素将如何影响被投资公司IPO发行定价效率；风险投资持股锁定期结束时,二级市场股票价格将发生何种变化是本文探讨的第四个问题。
为了回答上述四个问题,本文结合我国询价机制的实际情况,利用资本市场的公开数据,并通过手工搜集整理投资者询价阶段详细报价数据、风险投资相关数据,使用多种计量经济研究方法力求得到更为稳健的实证结果。具体章节安排如下：
第一章：本文导论。本章简明介绍了本文的研究背景及研究意义,并勾勒出本文的研究逻辑结构和主要研究内容及相关研究方法,并介绍了本文的主要学术贡献。
第二章：新股发行制度回顾与现行新股发行流程。本章简要回顾了我国新股发行制度经历的三大阶段,介绍了每个阶段内特定的新股发行方式,全面描述了询价制下新股发行上市的具体流程。
第三章：文献综述。本章集中回顾了国内外相关研究文献,梳理了IPO相关研究的理论脉络,归纳了研究方法及研究结果,在分析现有文献不足的基础上,寻找本文研究的切入点。
第四章：分配机制改革与新股发行效率。本章利用了2009年至2011年主板、中小板和创业板的IPO相关数据,构建了新股分配制度改革的自然实验过程,使用双重差分模型(DID)消除了不同板块之间由于不可观测的异质性所导致的内生性问题,考察了新股发行询价制度第二阶段分配机制改革对新股发行定价效率产生的影响,并指出进一步完善承销商自主配售权是未来发行制度改革的方向。实证结果表明,在控制不同板块异质性条件下,第二阶段分配机制改革取消超额申购平均配售有助于提升中小板IPO发行定价效率,而对创业板没有产生显著影响。二级市场“爆炒”创业板新股的非理性情绪可能是影响创业板IPO定价效率的重要因素。
第五章：询价机构报价行为与新股发行效率。本章基于2010年11月至2012年10月,我国A股463家IPO公司,443家询价对象共45630组详细报价与申购的微观数据,使用描述统计及方差分析对参与新股申购过程中询价对象报价行为特征进行了刻画；利用询价阶段详细报价数据,构建了信息优势与信息劣势询价对象平均报价之差代理变量,使用普通最小二乘法对询价制下A股市场是否存在“赢者诅咒”假说进行了检验；利用询价阶段详细报价数据,构建了三个衡量机构投资者审慎报价的代理变量,实证检验了第三阶段发行制度改革对询价对象的报价行为的影响。实证结果表明：信息优势的询价对象与信息劣势询价对象报价均值之差与网下超额申购倍数成正比,网下超额申购倍数越高,信息优劣投资者平均报价之差越大,从而直接验证了“赢者诅咒”假说；2012年5月实施的增大网下新股配售比例与取消网下机构投资者配股锁定期等相关发行制度改革,显著提高了询价对象报价的审慎程度；二级市场氛围仍是影响我国新股发行定价效率的重要因素。
第六章,询价制下新股发行效率的随机前沿分析。本章利用2006年6月至2012年11月中小板647家IPO公司为研究样本,使用随机前沿分析模型对新股发行一级市场定价效率作出了实证检验。实证结果表明,对全体样本而言,我国询价制下新股一级市场存在人为压低发行价格的现象,新股发行价格低于随机前沿边界；询价制下三次发行制度改革对新股一级市场定价有显著影响。2009年6月第一次改革前以及2012年5月第三次改革后,由于证监会对新股价格进行了“窗口指导”导致一级市场存在故意压价现象,新股一级市场定价非完全有效。二级市场低迷氛围导致首日收盘价偏低是新股破发的主要原因。
第七章：风险投资参股与新股发行效率。本章以2009年至2012年间我国中小板与创业板上市公司为研究样本,使用倾向得分配比(propensity score matching)与事件研究(events study)方法考察了风险投资参股、风险投资声望对股票发行定价效率的影响,检验了风险投资参股股票锁定期解除前后显著的量价效应。实证结果表明,在本章研究样本中,风险投资并不具备“认证效应”与“逐名效应”；而在锁定期解除后,风险投资参股的上市公司股票二级市场的异常成交量与异常收益率更为显著；同时风险投资机构的累计投资收益率与解禁期股票的异常收益率存在负相关关系。
第八章：研究结论与研究展望。本章对全文主要研究结论进行了总结,在此基础上探讨了未来可能的研究内容。
本文的创新主要体现在以下几个方面：
(1)使用双重差分模型(DID)考察了2010年新股发行制度改革可能的政策效果。由于新政策仅对中小板和创业板定价分配制度产生影响,并不涉及主板市场,可将该政策变更视为一个近似的自然实验(natural experiment):将创业板和中小板市场作为“处理组(treatment group)",主板市场作为“控制组(control group)",使用双重差分模型考察该政策变化对新股发行定价效率的影响。该方法在经济学领域已得到广泛应用,而用于分析我国IPO定价效率尚属首次。采用双重差分模型通过“控制组(主板)”与“处理组(中小板、创业板)”在政策变化前后的差分,消除不可观测的异质性,从而得到更为稳健的政策评估结论。
(2)首次以手工收集整理的2010年11月至2012年10月,我国A股463家IPO公司,443家询价对象共45630组详细报价与申购的微观数据为研究样本,实证分析了不同类别、不同区域、不同声望询价对象的报价特征；首次使用询价阶段机构投资者详细微观报价数据,通过构建信息优劣投资者报价均值之差代理变量,直接检验了Rock(1986;“赢者诅咒”假说；实证检验了2012年5月实施的第三次新股发行制度改革对机构投资者报价行为的影响。
(3)依据新股发行询价制阶段三次重要发行制度改革,将询价制分为四个阶段,利用随机前沿分析(Stochastic frontier analysis)模型对四个阶段新股一级市场定价效率进行了实证研究；考察了证监会对新股发行价“窗口指导”政策与一级市场定价效率的关系,并实证检验了询价制下新股破发的影响因素。
(4)本文将研究样本扩展到642个,有效弥补了以往研究中由于样本数量不足可能导致的结论不稳健问题。使用倾向值配比(PSM)的实证方法,有效处理了风险投资机构与被投资公司的内生性选择(heterogeneous choice)司题,在配比变量的选择上考虑到理论无法给出明确的配比关系,本文由简至繁给出了三类配比变量,使得配比后的研究结果更为稳健。通过实证检验得到了新的结论：风险投资支持的公司与无风险投资支持的公司在IPO抑价率上没有显著差异；在拥有风险投资支持的子样本中,风险投资机构的声望并不对风险投资参股公司的IPO抑价率产生显著影响。与此同时,本文首次对风险投资参股公司IPO锁定期解除效应进行了实证分析。
With the rapid development of China's national economy as well as the continual deepening of the reform of all political and economic systems, security market is playing a more and more important role in China's financial system. The opening of small and medium enterprise board in2009and establishment of growth enterprise market in2009both enrich and perfect the scale and channel of China's direct financing market. As of the end of2013, the total value of stock markets of Shanghai and Shenzhen were reported to be23.76trillion yuan, and there were a total of2,469public companies, including1413listed on the main board,701listed on the small and medium enterprise board and355on the growth enterprise market. The stock market of China has been established for only more than two decades, but the new share issuance system has undergone three steps and nine reforms. The three steps are the examination approval system with heavy administrative color, approval system of the issuance examination system of China Securities Regulatory Commission and the present enquiry system with the market leading the resource allocation. The issue concerning the new share issuing mechanism and pricing efficiency has been the hot issue in the theoretical and empirical research and in the meantime the difficulty in the market reform. About the pricing system and pricing efficiency of the new share issuance, the researchers at home and abroad have conducted vast theoretical and empirical researches and gained a series of theoretical hypotheses and empirical results. However, the real world is far complicated than the financial theory. All theories are the abstract of the real world, and all demonstrations are based on certain hypotheses. China's new share issuance system becomes more and more market-oriented. In particular, the establishment of enquiry system of the new share issuance in January1st,2005became an important milestone in China's IPO market reform. In the background of the new share issuance system, this paper conducts the study on the issues concerning IPO pricing.
The author, based on reviewing the domestic and foreign literature, expects to discuss the following issues:
(1) The Measures for the Administration of Securities Issuance and Underwriting and Instructions about Deepening the Reform of New Share Issuance System, implemented on November1st,2010, largely adjust the type of distribution of excessive subscription offline and cancelled the former regulations on the subscription, i.e. average ration. The question is whether the reform of the distribution system can improve IPO pricing efficiency and reduce the IPO under-pricing on the first of issuance.
(2) The core of the enquiry system of new share issuance is that the publisher entrusts the underwriter to collect and analyze the pricing information of the investors with advantages in information before deciding the issue price, and then issues the new share in different numbers to encourage the investors participating in enquiry deliver the useful information truthfully. As the most important market participant under the enquiry, what influence do the institutional investors have on the IPO pricing when they report the specific information during the market enquiry on the primary market. The Measures for the Administration of Securities Issuance and Underwriting and Instructions about Further Deepening the Reform of New Share Issuance System issued and implemented by CSRC in May,2012, largely increase the ration of the offline institutional investors. In the meantime, the former-regulated three-month lockup period were cancelled. The specific influence of these reforms on the issuance system on the enquiry will be the second question that this paper is to answer.
(3) There are three kinds of variable price information in the process of IPO under inquiry system, namely the unobservable intrinsic price of new share, the offer price of IPO in the primary market and the closing price for the first day in the secondary market. In previous literature, the IPO underpricing is constructed by the closing price for the first day and the offer price of IPO, so as to measure the issuing efficiency of IPOs. Base on the basic assumptions of the efficient market, it is believed in the western literature that the new share closing price for the first day in the secondary market can fully reflect the market information in a comprehensive way. Therefore, it is reasonable to establish the IPO underpricing through the closing price for the first day to measure the issuing efficiency. Since, the secondary market in our country has not reached the weak-form efficiency, there is significant difference in the judge of the new share value between the off-line inquirers and the retail investors in the secondary market. The IPO underpricing, simply calculated through the closing price for the first day, might overestimates the influence which the retail investors'sentiments for the first day in the secondary market have on the pricing efficiency of IPO. So, in this chapter, what are researched are as follows. Does our pricing efficiency of IPO in the primary market performs fully and efficiently under inquiry system? what's the impact of the three reforms in issue system by the CSRC, on the pricing efficiency in the primary market during the stage of the inquiry system? What factors will finally cause the new share to fall on debut? These are the third group of questions which are expected to be investigated in this paper.
(4) As the financial medium integrating the industrial innovation and financial innovation, the venture investment has developed prosperously on China's stock market. Especially, since the small and medium enterprise board and growth enterprise market were established, a lot of venture capitals appeared on the public companies'lists of share holders. What influence would the venture capital invested in the equities of the companies applying for list on the IPO pricing efficiency? How do the numerous factors including the time of equity investment, ratio of investment of share and the reputation of the venture capital institutions influence the IPO pricing efficiency? When the lockup period of share holding of venture capitals is over, do influence will be made on the secondary stock market. This is the third question that this paper is to answer.
In order to answer the above four questions and obtain more robust empirical results, this paper combines the practical situation of China enquiry system with the data published on the capital market, collects manually the investors'data about the pricing items and venture investment at the enquiry stage and applies numerous research methods of econometrics. This paper consists of the following chapters:
Chapter One is the introduction of this paper. This chapter briefly introduces the research background and research meaning of this paper and maps the logical structure of research, main research contents and related research methods. Then, it introduces the major academic contributions of this paper.
Chapter2is reviewing of the IPO System and Process of the Current IPO.In this chapter, we will briefly review the three stages experienced by the IPO system in our country, and introduce the specific way to issue the new shares in each stage, and describe the specific processes of the new stock issuing under inquiry system in an all round way.
Chapter Three is the literature review. This chapter focuses on reviewing the relevant research literature at home and abroad, organizes the research front of IPO area as well as the gained results, lists the research and analytical methods applied in this study, and finally analyzes the defects in the existing literature in order to find out the deeper research orientation.
Chapter Four is about the reform of distribution system and new share issuance efficiency. This paper makes use of the data about the public companies issuing stocks for the first time from2009to2011and doing the transactions on the stock market. By constructing a natural experimentation, it uses the double difference model to remove the internal problem caused by the unobservable heterogeneity. Then, it investigates the influence of the second-step reform of the distribution system of the new share issuance enquiry system on the pricing efficiency of new share issuance. Finally, it points out that the direction of the future reform of issuance system is to further improve the autonomous ration rights of the principal underwriter. According to the empirical result, under the heterogeneous condition of controlling different boards, it's helpful that the second-step reform of the distribution system cancels the average ration of the excessive subscription to the improvement of the IPO issuance pricing efficiency of small and medium boards, and this reform doesn't noticeably affect the growth enterprise market. The irrational emotion of blinding promoting the secondary market may be the important factor that influences the IPO pricing efficiency of the growth enterprise market.
Chapter Five is about the quotation behavior of the enquiry institution and new share issuance efficiency. Based on the data of the China's463A-share IPO companies from November2010to October2012-to be specific,45630groups of micro data of detailed pricing and subscription, this chapter applies the empirical data to map the characteristics of the enquiry object's quotation behavior during the subscription of new shares and to sketch the influence of the third-phase reform of issuance system on the quotation behaviors of the enquiry institutions participating in the new share issuance. In addition, it tests whether there is the hypothesis of "winner's curse" on the A-share market. According to the findings, as to the enquiry object with advantages in information, the average value of the quotation during the enquiry is positively proportional to offline Oversubscription on the first of new share issuance. In this way, the above-mentioned hypothesis of "winner's curse" is verified. In May2005, the reform of increasing the offline new share ration and cancelling the offline institutional investors'allotment lockup period was implemented, thus making the enquiry object more careful about the quotation. The atmosphere of the secondary market is still an important factor that affects China's new share issuance pricing efficiency.
Chapter6is the Stochastic Frontier Analysis of the Issuing Efficiency of IPO under Inquiry System. In this chapter, I pick647IPO enterprises from the small-and-medium-sized enterprise board during the period from June,2006to November,2012as the study samples to take an empirical test of the IPO pricing efficiency in the primary market with the help of the stochastic frontier analysis model. It turns out that there exists the artificially underpricing phenomenon in the new share primary market under inquiry system for all the samples, and the offer price of the new share is lower than the stochastic frontier boundary. The three reforms in issue system have significant influence over the IPO pricing in the primary market under inquiry system.Before the first reform in June,2009and after the third reform in May,2012, the CSRC conducted the "window guidance" to the new share price. As a result, the artificially low offer price appears in the primary market, and the new share primary market is not completely valid. The downturn atmosphere in the secondary market causes the low closing price for the first day. This is the main reason why the new share falls on debut.
Chapter Seven is about the venture investment participation and new share issuance efficiency. Taking Chinese companies listed on the small and medium enterprise board and growth enterprise market (GEM) during the period of2009and2012as the sample, this paper conducts a empirical research on the influence of the venture investment participation and venture investment reputation on the share issuance pricing efficiency and on the capacity price effect before and after the cancellation of the lockup period of venture capital participation by using the propensity score matching and event study method. In the research sample of this paper, the venture investment is not equipped with authentication effect and grandstanding effect, but abnormal turnover and abnormal yield of the public companies with participation of venture investment are more noticeable after the lockup period is cancelled. In addition, the accumulated rate of return to investment is inversely proportional to the abnormal rate return of the stocks in lock-up period.
Chapter Eight is about the research conclusion and research prospect. This chapter summaries the principal research conclusions and, base on this, further discusses the possible research content in the future.
The innovation of this paper is manifested in the following aspects:
(1) The DID is applied to identify the possible policy effects of the reform of new share issuance system in2010. As the new policy only affects the pricing distribution system of the small and medium enterprise board and growth enterprise board instead of the main board market, this allows us to deem this policy as a approximately natural experiment:the small and medium enterprise board and growth enterprise board are combined and taken as a treatment group, and the main board market as the control group. In addition, the DID is used to investigate the influence of this policy change on the pricing efficiency of the new share issuance. This method has been widely used in economics, but in analyzing China's IPO pricing efficiency for the first time. The DID is applied to removed the unobservable heterogeneity of the differences of the treatment group and control group before and after the policy change, in order to gain more robust conclusion on the policy evaluation.
(2) it's the first time that the research sample of China's463IPO public companies and the443enquiry objects as well as their45630groups of detailed micro pricing and subscription number is used to empirically analyze the pricing features of the institutional investors (enquiry objects) of different types, regions and reputations. In the meantime, it's the first time that the data of the detailed micro pricing of the institutional investors during the enquiry are applied to construct two kinds of enquiry objects with informational advantage. Furthermore, the real micro pricing data of the enquiry objects are applied to prove the Rock's (1986)"winner's curse" hypothesis. Moreover, it empirically confirms the influence of the implementation of the third reform in the new share issuance system in May2012on the quotation behavior of the institutional investors.
(3) Based on these three important IPOs reforms, this paper divides the research samples into four stages, and using stochastic frontier analysis models investigate the efficiency of Chinese IPO Inquiry System and the impact of CSRC's "window guidance" policies. This paper also tests the main influence factors of the inquiry system under the new issues fall on debut.
(4) As few samples were used in the former literature about the venture investment, this paper expands the number of the research sample to642, thus effectively solving the problem that the insufficient research samples may lead to unsteady conclusions. As for the method of estimation, PSM is used to effectively handle the internal selection between the venture investment and invested enterprises. Considering it's unable to provide the specific matching relation theoretically on the selection of the matching variable, this paper provides three proxy variables, from the simple to the complicated, thereby making the research result more robust. Through the experimental test, the new conclusion is gained: the enterprises supported by the venture capital have no noticeable difference in the IPO under-price rate compared against those enterprises without the support of venture capitals. Among the sub-sample composed of the enterprises with the support of venture capitals, the reputation of the venture capitals doesn't have noticeable influence on the IPO under-pricing rate of the enterprises that the venture capitals hold shares. In the meantime, this paper for the first time conducts empirical analysis on the effect of the cancellation of the IPO lockup period of the enterprises whose partial shares are held by the venture capital.
引文
① 参考《2013年中国A股市值年度报告》http://finance.ce.cn/rolling/201401/15/t20140115_2127707.shtml
② 刘煜辉,沈可挺,2011.是一级市场抑价,还是二级市场溢价——关于我国新股高抑价的一种检验和-个解释[J].金融研究.11：183-196
③ 数据来源http://zdb.pedaily.cn/投资界《中国创投暨私募股权投资市场2012年全年数据回顾》
④ 刘煜辉和熊鹏,2005,股权分置、政府管制和中国IPO抑价,经济研究,5：85-95
⑤ 杨纪军和赵昌文,2006,定价机制、承销方式与发行成本[J],金融研究.6：51-69
⑦ 刘志远等：询价对象之间是竞争还是合谋[J],证券市场导报,2011年第3期
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② 刘煜辉,沈可挺,2011.是一级市场抑价,还是二级市场溢价——关于我国新股高抑价的一种检验和-个解释[J].金融研究.11：183-196
③ 数据来源http://zdb.pedaily.cn/投资界《中国创投暨私募股权投资市场2012年全年数据回顾》
④ 刘煜辉和熊鹏,2005,股权分置、政府管制和中国IPO抑价,经济研究,5：85-95
⑤ 杨纪军和赵昌文,2006,定价机制、承销方式与发行成本[J],金融研究.6：51-69
⑦ 刘志远等：询价对象之间是竞争还是合谋[J],证券市场导报,2011年第3期
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