政府窗口指导、询价制与IPO抑价研究
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摘要
首次公开发行新股的上市首日收益显著为正的现象被称为新股抑价。目前为止,学术界对新股抑价的来源及其形成的原因并没有形成统一的认识,也没有一个理论能够完全解释这一现象。国内学者对我国的IPO抑价现象进行了大量的研究,但是从政府窗口指导视角的研究并不多见,对我国实行询价定价后的IPO抑价研究也较少,故本论文期望通过对IPO发行抑价的实证研究,为认识我国IPO高抑价现象和提高IPO定价效率提供参考借鉴。
本论文研究的问题主要有三个：一是立足于我国IPO市场特殊的制度安排和特点,从政府对IPO进行“窗口指导”视角,探索制度因素对我国IPO定价效率的影响；二是对我国IPO市场化定价机制改革实施询价制以来的IPO高抑价现象进行解释；三是以我国推进新股市场化定价机制改革的进程为研究背景,探索解释我国IPO抑价现象的新思路和评价IPO定价效率问题的新视角。
本论文以我国2001-2008年问首次公开发行的上市A股为研究样本,采用大样本、分阶段检验和多元回归分析等研究方法,得出如下实证研究结果：(1)政府在IPO发行定价中的“窗口指导’’对IPO市场的运行效率有着直接影响,但随着IPO定价市场化程度的提高,政府窗口指导的效应正在被弱化,IPO发行的市场机制正逐步增强,体现了政府监管的政策目标。(2)询价IPO的事后风险,询价区间和定价调整的幅度能够很好对询价IPO抑价的来源进行解释。(3)与非询价IPO相比,市场化询价提高了IPO股价的信息含量且与上市首日收益率显著正相关。本文提出以股价的信息效率作为衡量定价效率的标准,研究结果支持了询价的信息搜集理论,弥补了目前该理论缺乏实证证据的不足。
本论文的研究结果对于认识我国IPO发行高抑价问题有着重要的理论和实践意义。首先,从政府窗口指导的角度研究我国IPO抑价问题更符合我国1PO市场的实际情况,比简单基于西方理论的验证性研究更有针对性。其次,对于厘清我国证券发行监管、市场化定价改革路径与提高IPO定价效率的关系提供了实证证据和参考；最后,市场化询价提高了IPO股价的信息含量,IPO定价的市场机制开始发挥主要作用,进一步推进新股定价的市场化有助于IPO定价效率的提高。
The phenomenon of significantly positive first-day initial return of Initial Public Offerings (IPOs), also known as IPO underpricing, generally occurs all over the world. There is still no consensus about the source and the reasons for IPO underpricing and no single theory can fully explain this phenomenon. A lot of research focused on China IPO underpricing, but the research from the perspective of the window guidance is rarer, and the research on inquiry IPO underpricing is fewer. This empirical study is helpful for understanding the high underpricing in China and making a reference for improving the pricing efficiency.
In order to gain a better understanding of the high initial return of IPOs phenomenon in China, this paper focus on the first-day initial return in our empirical study. Moreover, on the base of the analysis, the feasible experience for improving the pricing efficiency of IPOs will be discussed. This study has three main research questions:First, based on the unique institutional arrangements and features and combined with the government's "window guidance" perspective in China's IPO market, the study explores the patterns of the impact on institutional factors on the pricing efficiency of IPOs. Second, the study tries to explain the pattern of IPO underpricing under the inquiry pricing mechanism and the factors that have influence on the underpricing. Third, based on the process of market-oriented pricing mechanism reform, this study also explores the new perspective on evaluating the pricing efficiency for the further discussion to provide us a better understanding on China's IPO underpricing.
Using a large sample of A-share IPOs during 2001-2008, this paper performed phased test and multiple regression to analysis the effects of government "windows guidance". The results suggest that, (1) the effects of government "windows guidance" is weakening under a higher market-driven pricing mechanism, indicating an improvement in pricing efficiency and achievement of the government's regulation goals; (2) the post-IPO uncertainty risk, the initial inquiry price range and the price adjustment can be good explanation for inquiry IPOs' underpricing; (3) compared with non-inquiry IPOs, market-oriented pricing mechanism improves the information content of IPO prices. The first-day initial return is significantly positively correlated to the stock price information content. Using the information efficiency as a measure of pricing efficiency, the research results support the inquiry theory of information-gathering hypothesis in IPO underpricing and make up for the lack of empirical evidence of information-gathering hypothesis.
The results have important theoretical and practical significance. First of all, from the perspective of China's regulation settings, it is more applicable to use government "window guidance" to understand the IPO underpricing than simply based on the western IPO underpricing theories. Secondly, this study clarified the relationship among the China's securities regulation, the path of market-oriented pricing reform process and the improvement of pricing efficiency of IPOs. Finally, the information content of IPO price is improved by the market-based inquiry pricing method. Moreover, the market mechanism began to play a major role in pricing IPOs. Furthermore, continuous improvement in the market-oriented pricing mechanism will be helpful to improve the IPO pricing efficiency.
本论文研究的问题主要有三个：一是立足于我国IPO市场特殊的制度安排和特点,从政府对IPO进行“窗口指导”视角,探索制度因素对我国IPO定价效率的影响；二是对我国IPO市场化定价机制改革实施询价制以来的IPO高抑价现象进行解释；三是以我国推进新股市场化定价机制改革的进程为研究背景,探索解释我国IPO抑价现象的新思路和评价IPO定价效率问题的新视角。
本论文以我国2001-2008年问首次公开发行的上市A股为研究样本,采用大样本、分阶段检验和多元回归分析等研究方法,得出如下实证研究结果：(1)政府在IPO发行定价中的“窗口指导’’对IPO市场的运行效率有着直接影响,但随着IPO定价市场化程度的提高,政府窗口指导的效应正在被弱化,IPO发行的市场机制正逐步增强,体现了政府监管的政策目标。(2)询价IPO的事后风险,询价区间和定价调整的幅度能够很好对询价IPO抑价的来源进行解释。(3)与非询价IPO相比,市场化询价提高了IPO股价的信息含量且与上市首日收益率显著正相关。本文提出以股价的信息效率作为衡量定价效率的标准,研究结果支持了询价的信息搜集理论,弥补了目前该理论缺乏实证证据的不足。
本论文的研究结果对于认识我国IPO发行高抑价问题有着重要的理论和实践意义。首先,从政府窗口指导的角度研究我国IPO抑价问题更符合我国1PO市场的实际情况,比简单基于西方理论的验证性研究更有针对性。其次,对于厘清我国证券发行监管、市场化定价改革路径与提高IPO定价效率的关系提供了实证证据和参考；最后,市场化询价提高了IPO股价的信息含量,IPO定价的市场机制开始发挥主要作用,进一步推进新股定价的市场化有助于IPO定价效率的提高。
The phenomenon of significantly positive first-day initial return of Initial Public Offerings (IPOs), also known as IPO underpricing, generally occurs all over the world. There is still no consensus about the source and the reasons for IPO underpricing and no single theory can fully explain this phenomenon. A lot of research focused on China IPO underpricing, but the research from the perspective of the window guidance is rarer, and the research on inquiry IPO underpricing is fewer. This empirical study is helpful for understanding the high underpricing in China and making a reference for improving the pricing efficiency.
In order to gain a better understanding of the high initial return of IPOs phenomenon in China, this paper focus on the first-day initial return in our empirical study. Moreover, on the base of the analysis, the feasible experience for improving the pricing efficiency of IPOs will be discussed. This study has three main research questions:First, based on the unique institutional arrangements and features and combined with the government's "window guidance" perspective in China's IPO market, the study explores the patterns of the impact on institutional factors on the pricing efficiency of IPOs. Second, the study tries to explain the pattern of IPO underpricing under the inquiry pricing mechanism and the factors that have influence on the underpricing. Third, based on the process of market-oriented pricing mechanism reform, this study also explores the new perspective on evaluating the pricing efficiency for the further discussion to provide us a better understanding on China's IPO underpricing.
Using a large sample of A-share IPOs during 2001-2008, this paper performed phased test and multiple regression to analysis the effects of government "windows guidance". The results suggest that, (1) the effects of government "windows guidance" is weakening under a higher market-driven pricing mechanism, indicating an improvement in pricing efficiency and achievement of the government's regulation goals; (2) the post-IPO uncertainty risk, the initial inquiry price range and the price adjustment can be good explanation for inquiry IPOs' underpricing; (3) compared with non-inquiry IPOs, market-oriented pricing mechanism improves the information content of IPO prices. The first-day initial return is significantly positively correlated to the stock price information content. Using the information efficiency as a measure of pricing efficiency, the research results support the inquiry theory of information-gathering hypothesis in IPO underpricing and make up for the lack of empirical evidence of information-gathering hypothesis.
The results have important theoretical and practical significance. First of all, from the perspective of China's regulation settings, it is more applicable to use government "window guidance" to understand the IPO underpricing than simply based on the western IPO underpricing theories. Secondly, this study clarified the relationship among the China's securities regulation, the path of market-oriented pricing reform process and the improvement of pricing efficiency of IPOs. Finally, the information content of IPO price is improved by the market-based inquiry pricing method. Moreover, the market mechanism began to play a major role in pricing IPOs. Furthermore, continuous improvement in the market-oriented pricing mechanism will be helpful to improve the IPO pricing efficiency.
引文
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