发行中介声誉、IPO抑价及滞后效应
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摘要
IPO过程中存在首日抑价、IPO长期表现欠佳、火爆的发行市场等三大异常现象。半个世纪以来,国外学者对这一现象进行了大量研究,并提出了多种理论和假说,其中,主要有基于有效市场假设的一级市场IPO定价不合理和基于市场无效假设的二级市场过度反应两种解释,但学者们的实证研究结论都不完全支持某一种解释。因此,IPO抑价问题一直是金融学的热点之一,并极大的激发了金融理论界和实务界的兴趣,越来越多的学者投入到对其理论和实证研究之中。
我国股票市场是新兴经济市场,新股发行市场上同样存在IPO抑价现象,但与成熟股票市场不同的是,新股抑价幅度很高且长期居高不下。“新股不败神话”带来的后果:一是大量的资金非正常囤积在一级市场导致市场资源配置低效;二是如何分配IPO新股及其背后的巨额无风险利润。事实上,IPO抑价也是一直困扰市场监管者的一个实际课题,频繁的发行制度变迁足以说明这一点。遗憾的是,IPO首日抑价并没有随着发行制度的改革而显示出相应的明显的降低趋势,因此,有必要更深入研究我国IPO抑价的内在规律。国内研究同行们从IPO抑价与承销商声誉、发行制度改革、投资者理性等角度对此展开了大量的研究,但得出的研究结论不统一。
有鉴于此,本文将对我国新股发行市场上的IPO高抑价现象进行实证研究,以实证结论来回答发行中介声誉对抑价的解释作用有多大?如何影响IPO的抑价程度?IPO在二级市场上是否存在滞后效应等问题。
本文首先根据信号理论,选取股权分置改革后的中小板市场IPO公司为研究对象,通过单独排名、联合排名、费用比率等方式来度量承销商、会计师事务所声誉和内部控制信息披露质量,实证研究了发行中介声誉与IPO首日抑价、中期超额收益率之间的关系,得到的结论是发行中介对IPO抑价没有显著的影响,对定价效率没有明显的促进作用。
其次,通过随机前沿方法对IPO抑价进行分解与实证,旨在分析一级市场和二级市场对IPO抑价有多大程度的解释作用,进而把IPO抑价问题的研究角度延伸到二级市场。
再者,基于行为金融学的研究背景,针对二级市场上有限理性的投资者参与IPO交易的特征之一是参考上期IPO抑价程度,其呈现出序列相关性,因而采用GARCH模型来描述二级市场中IPO抑价的滞后效应。得出的结论是,二级市场存在滞后效应,拟合效果最优的GARCH(1,2)模型表明,第t期上市公司IPO抑价水平的波动性与第t-1期上市公司IPO抑价水平的波动性之间存在显著的正相关关系,与第t-2期则出现了显著的负相关,并且IPO抑价率波动之间也高相关。基于此,本文提出了合理引导IPO投资者等政策建议。
本文的主要创新之处在于:
第一,本文从投资者有限理性实际出发,基于上期IPO的抑价水平是IPO首日交易投资者的决策因素之一,进而构造了不同时点上IPO首日抑价率的非连续时间序列,在方法上就采用数理金融分析的GARCH族模型,得出了IPO首日抑价存在滞后影响的实证结论。这样的做法相对于将IPO二级市场研究完全集中于投资者情绪度量及其对IPO抑价影响的已有文献而言,行为金融与数理金融分析方法的有机结合,是一种有益的尝试。
第二,本文选取了IPO公司的内部控制信息及其披露情况作为切入点。已有的内部控制研究多是从风险管理、合规审计等角度出发,很少有从IPO视角展开分析的。而内部控制信息及其披露作为IPO发行中介的会计师事务声誉的载体之一,其表现形式有别于IPO财务报告出具的四个层次的审计意见而更具有灵活性,其能对IPO抑价的有一定的解释作用,研究结论也印证了内部控制信息及其披露与IPO抑价作为切入点的价值。
第三,本文采取把承销商声誉与会计师事务声誉合并处理构成发行中介声誉,同时以IPO公司的总发行费用占总筹资额的比率作为补充指标,以一组信号来判别发行中介声誉与IPO抑价,相对于现有大量的单独以承销商声誉、会计师事务所声誉对IPO抑价的研究而言,这样处理更贴近IPO发行中介机构的实际业务,但需要进一步的深入研究。
There are chiefly three abnormal phenomena in the process of IPO, namely, initial under-pricing, IPO’s long-run underperformance hot-issue market. Scholars overseas have conducted vast researches on these phenomena for decades, and put forward many theories and hypothesis, of which there are mainly two explanations: unreasonable primary market IPO pricing based on effective market hypothesis, and second market over-reaction based on un-effective market hypothesis. But none of scholars’empirical research completely supports a certain explanation. Therefore, IPO under-pricing extremely inspires the interest of finance theory field and practical field, the problem of IPO under-pricing is still one hotspot in finance, more and more scholars devote in its theoretical and empirical researches.
The stock market in China is an emerging economic market, and inevitably, IPO under-pricing phenomenon exists in new stock issue market, what is different with matured stock market is that the degree of IPO under-pricing is high and hardly falls down for a long time. The aftermath of“undefeatable new stock saga”includes: huge amount of capital unreasonably stock up in issuing market, resulting low effect of market resource allocation, and how to assign IPO new stock, furthermore, the huge non-risk profits behind it. Actually, IPO under-pricing also remains a practical problem that plagues market supervisors, frequent issue regulation change may be a good evidence for this. Unfortunately, IPO initial under-pricing hasn’t shown corresponding obvious decline with the reform of issue regulation. Therefore, it is necessarily to study the inherent rules of China IPO under-pricing intensively. Domestic scholars have conducted a lot of research from the aspect of IPO under-pricing with underwriter’s reputation, issue regulation reform, and investor’s sentiments, but they get different study conclusion.
Whereas, this paper will conduct empirical research on IPO high under-pricing phenomenon in China’s new stock issue market, and to answer with empirical conclusion the explanation effect of issuing intermediation reputation on under-pricing, how to influence IPO under-pricing extent, if there exist lag effect in second stage market for IPO, etc.
In this paper, begin with the signal theory, we select IPO companies in Small and Medium Enterprise Board,these companies have finished share allocation reform, through separate rank, joint rank, fee ratio to evaluate underwriter and Client Firm Agency’s reputation and internal control information disclosure quality, empirical study relationship between issuing intermediation reputation and IPO initial under-pricing, middle term abnormal return rate, and get a conclusion that issuing intermediation has no significant influence on IPO under-pricing, and no obvious promotion on pricing efficiency.
Secondly, by Stochastic Front Approach method, to decompose and empirical study IPO under-pricing, on the purpose of analyzing explanation effect on IPO under-pricing of primary and second market, thus to extend IPO under-pricing research to second market.
What is more, based on behavior finance study, as to finite rational investors on second market, one feature they participate in IPO transaction is to refer last IPO under-pricing extent, and present serial relativity, thus to use GARCH model to describe lag effect of IPO under-pricing on second market. The conclusion is: there is lag effect in second market, GARCH(1,2)model with best fit effect show that, there is significant positive correlativity relation between the IPO under-pricing level’s volatility of listed company at t and t-1, but negative correlativity relation at t and t-2, and IPO under-pricing rate volatility is highly relevant with that. Based upon this, policy and advice of reasonably guide IPO investor are put forward.
The main innovations of this paper are as follows:
First, the paper starts from investors’finite sense, last IPO under-pricing level is the decisive factor for IPO initial transaction investors, then construct non-continuous time series of IPO initial under-pricing rate, GARCH model is adopted as numerical finance method, and get the empirical conclusion that there is lag influence on IPO initial under-pricing. Comparing with existing literature on concentrating IPO second market study to investors’sentiment measuring and its influence on IPO under-pricing, the combination of behavior finance with numerical finance analysis is a beneficial attempt.
Second, the paper selects internal control information and disclosure situation of IPO companies as cut-in point. Most extant internal control research start from the aspects of risk management and criterion audit, few of them develop analysis from IPO aspect. But internal control information and its disclosure is one of reputation index of Client Firm Agency which acts as IPO issuing intermediation, its activity is different with the four level audit opinion listed in IPO financial report, and is more flexible, it has certain explanation function on IPO under-pricing, study conclusion also proves the value of selecting internal control information disclosure and IPO under-pricing as cut-in point.
Third, the paper integrate underwriter reputation and Client Firm Agency reputation as issuing intermediation reputation, and use ratio of IPO company’s total issue expenditure to total funds collected as supplementary index at the same time, to judge issuing intermediation reputation and IPO under-pricing by one group of signals. Comparing with vast extant studies that only use underwriter reputation or Client Firm Agency reputation on IPO under-pricing, this treatment is closer to actual business of IPO issue agency, but needs further study.
我国股票市场是新兴经济市场,新股发行市场上同样存在IPO抑价现象,但与成熟股票市场不同的是,新股抑价幅度很高且长期居高不下。“新股不败神话”带来的后果:一是大量的资金非正常囤积在一级市场导致市场资源配置低效;二是如何分配IPO新股及其背后的巨额无风险利润。事实上,IPO抑价也是一直困扰市场监管者的一个实际课题,频繁的发行制度变迁足以说明这一点。遗憾的是,IPO首日抑价并没有随着发行制度的改革而显示出相应的明显的降低趋势,因此,有必要更深入研究我国IPO抑价的内在规律。国内研究同行们从IPO抑价与承销商声誉、发行制度改革、投资者理性等角度对此展开了大量的研究,但得出的研究结论不统一。
有鉴于此,本文将对我国新股发行市场上的IPO高抑价现象进行实证研究,以实证结论来回答发行中介声誉对抑价的解释作用有多大?如何影响IPO的抑价程度?IPO在二级市场上是否存在滞后效应等问题。
本文首先根据信号理论,选取股权分置改革后的中小板市场IPO公司为研究对象,通过单独排名、联合排名、费用比率等方式来度量承销商、会计师事务所声誉和内部控制信息披露质量,实证研究了发行中介声誉与IPO首日抑价、中期超额收益率之间的关系,得到的结论是发行中介对IPO抑价没有显著的影响,对定价效率没有明显的促进作用。
其次,通过随机前沿方法对IPO抑价进行分解与实证,旨在分析一级市场和二级市场对IPO抑价有多大程度的解释作用,进而把IPO抑价问题的研究角度延伸到二级市场。
再者,基于行为金融学的研究背景,针对二级市场上有限理性的投资者参与IPO交易的特征之一是参考上期IPO抑价程度,其呈现出序列相关性,因而采用GARCH模型来描述二级市场中IPO抑价的滞后效应。得出的结论是,二级市场存在滞后效应,拟合效果最优的GARCH(1,2)模型表明,第t期上市公司IPO抑价水平的波动性与第t-1期上市公司IPO抑价水平的波动性之间存在显著的正相关关系,与第t-2期则出现了显著的负相关,并且IPO抑价率波动之间也高相关。基于此,本文提出了合理引导IPO投资者等政策建议。
本文的主要创新之处在于:
第一,本文从投资者有限理性实际出发,基于上期IPO的抑价水平是IPO首日交易投资者的决策因素之一,进而构造了不同时点上IPO首日抑价率的非连续时间序列,在方法上就采用数理金融分析的GARCH族模型,得出了IPO首日抑价存在滞后影响的实证结论。这样的做法相对于将IPO二级市场研究完全集中于投资者情绪度量及其对IPO抑价影响的已有文献而言,行为金融与数理金融分析方法的有机结合,是一种有益的尝试。
第二,本文选取了IPO公司的内部控制信息及其披露情况作为切入点。已有的内部控制研究多是从风险管理、合规审计等角度出发,很少有从IPO视角展开分析的。而内部控制信息及其披露作为IPO发行中介的会计师事务声誉的载体之一,其表现形式有别于IPO财务报告出具的四个层次的审计意见而更具有灵活性,其能对IPO抑价的有一定的解释作用,研究结论也印证了内部控制信息及其披露与IPO抑价作为切入点的价值。
第三,本文采取把承销商声誉与会计师事务声誉合并处理构成发行中介声誉,同时以IPO公司的总发行费用占总筹资额的比率作为补充指标,以一组信号来判别发行中介声誉与IPO抑价,相对于现有大量的单独以承销商声誉、会计师事务所声誉对IPO抑价的研究而言,这样处理更贴近IPO发行中介机构的实际业务,但需要进一步的深入研究。
There are chiefly three abnormal phenomena in the process of IPO, namely, initial under-pricing, IPO’s long-run underperformance hot-issue market. Scholars overseas have conducted vast researches on these phenomena for decades, and put forward many theories and hypothesis, of which there are mainly two explanations: unreasonable primary market IPO pricing based on effective market hypothesis, and second market over-reaction based on un-effective market hypothesis. But none of scholars’empirical research completely supports a certain explanation. Therefore, IPO under-pricing extremely inspires the interest of finance theory field and practical field, the problem of IPO under-pricing is still one hotspot in finance, more and more scholars devote in its theoretical and empirical researches.
The stock market in China is an emerging economic market, and inevitably, IPO under-pricing phenomenon exists in new stock issue market, what is different with matured stock market is that the degree of IPO under-pricing is high and hardly falls down for a long time. The aftermath of“undefeatable new stock saga”includes: huge amount of capital unreasonably stock up in issuing market, resulting low effect of market resource allocation, and how to assign IPO new stock, furthermore, the huge non-risk profits behind it. Actually, IPO under-pricing also remains a practical problem that plagues market supervisors, frequent issue regulation change may be a good evidence for this. Unfortunately, IPO initial under-pricing hasn’t shown corresponding obvious decline with the reform of issue regulation. Therefore, it is necessarily to study the inherent rules of China IPO under-pricing intensively. Domestic scholars have conducted a lot of research from the aspect of IPO under-pricing with underwriter’s reputation, issue regulation reform, and investor’s sentiments, but they get different study conclusion.
Whereas, this paper will conduct empirical research on IPO high under-pricing phenomenon in China’s new stock issue market, and to answer with empirical conclusion the explanation effect of issuing intermediation reputation on under-pricing, how to influence IPO under-pricing extent, if there exist lag effect in second stage market for IPO, etc.
In this paper, begin with the signal theory, we select IPO companies in Small and Medium Enterprise Board,these companies have finished share allocation reform, through separate rank, joint rank, fee ratio to evaluate underwriter and Client Firm Agency’s reputation and internal control information disclosure quality, empirical study relationship between issuing intermediation reputation and IPO initial under-pricing, middle term abnormal return rate, and get a conclusion that issuing intermediation has no significant influence on IPO under-pricing, and no obvious promotion on pricing efficiency.
Secondly, by Stochastic Front Approach method, to decompose and empirical study IPO under-pricing, on the purpose of analyzing explanation effect on IPO under-pricing of primary and second market, thus to extend IPO under-pricing research to second market.
What is more, based on behavior finance study, as to finite rational investors on second market, one feature they participate in IPO transaction is to refer last IPO under-pricing extent, and present serial relativity, thus to use GARCH model to describe lag effect of IPO under-pricing on second market. The conclusion is: there is lag effect in second market, GARCH(1,2)model with best fit effect show that, there is significant positive correlativity relation between the IPO under-pricing level’s volatility of listed company at t and t-1, but negative correlativity relation at t and t-2, and IPO under-pricing rate volatility is highly relevant with that. Based upon this, policy and advice of reasonably guide IPO investor are put forward.
The main innovations of this paper are as follows:
First, the paper starts from investors’finite sense, last IPO under-pricing level is the decisive factor for IPO initial transaction investors, then construct non-continuous time series of IPO initial under-pricing rate, GARCH model is adopted as numerical finance method, and get the empirical conclusion that there is lag influence on IPO initial under-pricing. Comparing with existing literature on concentrating IPO second market study to investors’sentiment measuring and its influence on IPO under-pricing, the combination of behavior finance with numerical finance analysis is a beneficial attempt.
Second, the paper selects internal control information and disclosure situation of IPO companies as cut-in point. Most extant internal control research start from the aspects of risk management and criterion audit, few of them develop analysis from IPO aspect. But internal control information and its disclosure is one of reputation index of Client Firm Agency which acts as IPO issuing intermediation, its activity is different with the four level audit opinion listed in IPO financial report, and is more flexible, it has certain explanation function on IPO under-pricing, study conclusion also proves the value of selecting internal control information disclosure and IPO under-pricing as cut-in point.
Third, the paper integrate underwriter reputation and Client Firm Agency reputation as issuing intermediation reputation, and use ratio of IPO company’s total issue expenditure to total funds collected as supplementary index at the same time, to judge issuing intermediation reputation and IPO under-pricing by one group of signals. Comparing with vast extant studies that only use underwriter reputation or Client Firm Agency reputation on IPO under-pricing, this treatment is closer to actual business of IPO issue agency, but needs further study.
引文
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