我国IPO首日抑价及新股发行体制改革研究
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摘要
本文对我国IPO定价、抑价及由此引出的新股发行体制改革相关问题进行了全面、深入的研究。IPO抑价现象也是证券监管部门、投资者、中介机构和发行人在股票市场发展过程中始终关注的重要问题。2005年询价制度实施之后,市场参与各方希望这一新的定价方式能够解决"IPO抑价”、“一级市场囤积巨额打新资金”的问题,但从近几年的实施情况来看,其效果并不理想。为此,投资者与理论界对IPO定价与发行方式的改革呼声日渐高涨,以协调一、二级市场扭曲的关系、维护中小投资者的利益。在这样的现实背景下,对IPO定价方式在中国股票市场的实施情况进行系统的研究显得尤为重要。
从上世纪90年代建立股票交易市场之后,我国IPO定价制度一直处于不断完善与改进的过程之中。在1999年《证券法》实施之前,我国IPO定价主要是政府主导的行政定价方式,之后逐渐向市场定价方式过渡。不少学者对IPO定价问题进行了有益的探讨和研究,并取得了研究成果,但主要集中于对IPO抑价的解释。2009年6月10日,中国证监会发布了《关于进一步改革和完善新股发行体制的指导意见》,进一步推进了新股发行制度市场化改革进程。本轮新股发行制度改革以市场化为核心,在考虑我国资本市场目前运行基本特征的基础上,充分吸收借鉴了境外成熟市场的新股市场化定价机制。本轮改革后新股发行制度的整体流程架构已基本与国际惯例趋于一致,新股发行市场化机制使市场内在的定价机制得以发挥作用。核准制实施之后,我国股票定价经历了几次制度调整,初期放开市盈率,后来有限度地控制市盈率,最后实行比较流行的累计投标询价制度,再到2009年的新股发行体制改革,制度的变迁为研究提供了客观条件。
本文主要考察基于我国IPO实施核准制之后的发行定价问题,特别是分析了2009年中国证监会实施新股发行体制改革的实质性措施,并对重启发行后IPO抑价情况给予了实证检验,在得出实证研究成果的基础上对本次新股发行体制改革的得失及下一步的政策走向给出了自己的建议。具体的研究目标和问题是：
1)系统分析中国IPO定价和发行制度的改革过程,理清各阶段的改革目标与主要思路；
2)研究IPO发行制度与IPO定价效率的关系；
3)探寻IPO发行价格和二级市场的首日价格与反映公司内在价值的会计指标之间的关系；
4)检验本次新股发行体制改革对IPO抑价现象的影响；
5)提出新股发行体制改革下一步政策建议。
本文的基本内容包括三大部分：第一部分(第2章和第3章)为理论综述与制度背景；第二部分(第4章、第5章和第6章)是本文主体,第4章主要运用实证的方法对实施核准制后至2008年9月暂停新股发行之前这一阶段IPO发行价格和上市价格的关系及影响因素进行实证分析,第5章是2009年新股发行体制改革的内容及实施效果分析,第6章主要运用实证的方法对2009年6月新股重启发行之后的IPO发行价格和上市价格关系及影响因素进行实证分析；第三部分(第7章)是对本文的主要结论的总结,并在此基础上提出政策建议,同时检查了本文的局限性及未来研究方向。
第一部分是理论综述和制度背景,第2章的理论和文献综述分为四个方面：(1)国外IPO抑价相关研究现状；(2)国内IPO抑价相关研究现状；(3)股票二级市场定价理论及研究述评；(4)股票IPO后短期价格表现研究文献的回顾。第3章分析了我国股市的发展过程、我国IPO审核及定价方式的演变情况以及IPO抑价的背景。理论综述和制度背景分析为实证研究奠定了理论和实践基础。
第二部分是实证研究,特别是2009年新股发行体制改革实证研究的内容,也是本文的主体。
第4章根据前面章节的IPO抑价研究理论和A股发行定价机制的回顾和分析,提出对A股IPO首日抑价水平产生影响的一些因素和相关假设,并用A股市场数据验证这些因素对IPO首日抑价水平统计上的影响。为了使模型建立的更为合理、准确,在借鉴前人研究成果的基础上,本文研究时主要从以下几个方面考虑选取影响IPO抑价的影响变量：发行PE、发行前一年ROE、新股开盘价、申购户数、发行规模、换手率、发行前一年ROA(总资产收益率)、发行前一年销售毛利率、发行前三年利润总额增长率。第5章是2009年新股发行体制改革的主要内容及实施效果分析,而第6章通过2009年6月新股重启发行之后IPO数据进行的实证研究,对本次新股发行体制改革成效的检验。
第三部分是对我国不同阶段实证研究结论的总结,并在此基础上,就下一步新股发行体制改革提出政策建议。最后,本部分归纳了不足和进一步研究需要注意的问题。
本文的创新主要体现在研究视角及研究内容较新。本文利用公开数据,对实施核准制之后IPO价格与财务指标的关系、对本轮新股发行体制改革的实质性举措进行了认真对比分析,并收集2009年9月重启发行后的市场数据对本次新股发行改革进行了实证检验,在此基础上,给出了本文的建议,具有较强的政策时效性。这在国内的研究中尚不多见。
A thorough and embedded research on IPO pricing in China stock market is studied in this dissertation after the implement of examination system. Ipo underpricing is a highly concerned problem by China Securities Regulatory Commissions, investors, intermediary institutions and issuers during the development of stock market. After the implement of Inquiry System in 2005, all the participants want this new offering system to resolve the problems of "IPO underpricing", "the substantive stock of fund on the primary market for IPO" and so on. However, from the actual situation of these years, this method did in a poor way. Therefore, there are more and more voices that ask for the reform of IPO pricing and offering from the investors and theory horizon. They ask for harmony the twisty relation between the primary market and the secondary market, and the maintenance of the small investors'benefits. In this situation, it is quite important for a research for the IPO pricing system in China capital market and some suggestions have been provided in this research.
After the Chinese stock exchange market was built in the 20 centuries, there has been unceasing development of IPO pricing system. Before the "Security Act" put into practice, the main method of IPO pricing in China is the government leading system through administrative offering, then the method is transmitted into market offering. Many scholars made beneficial researches in the IPO pricing, most of them focus on the explanation of IPO underpricing, and they made plenty of results in this field. This dissertation chooses a relatively new perspective, which studies IPO pricing mainly after the implement of the examination system of IPO in China. After the examination system of IPO was implemented, China stock pricing has experienced several system adjustments, early days with liberalization of P/E ratio, later limited control over P/E ratio and finally a more popular accumulated tender Inquiry System. Institution transitions provide objective conditions for our study. In addition, this dissertation considers that the IPO process includes issuance, listing, and short-term trade. Only when this process has been gone on smoothly, IPO could be considered successfully. Based on this thought, this dissertation mainly studies three aspects: issuance and listing pricing, IPO underpricing, and aftermarket performance. The specific research objectives and questions are:
1) Analyzing the reform process of China IPO pricing and distribution system systematically, and clarifying reform objectives and main ideas of various stages.
2) Exploring IPO issue price and the relationship between the secondary market prices during the first day and financial indicators reflecting the company's intrinsic value.
3) Testing the relationship between IPO issuance system and IPO pricing efficiency;
4) Proof-testing the effects on discount price of IPO after the IPO reform measures put into practice.
5) Providing the recommendations on the new IPO policy.
This dissertation mainly contains three parts:the first part, Chapter 2 and Chapter 3, is theoretical synthesis and institution background; the second part,including Chapter 4、Chapter 5 and Chapter 6, is the main body. The Chapter 4 testifies and analyzes the correlations between IPO issuance and listing prices before September 2008, when the IPO came to halt. The Chapter 5 analyzes the new IPO rules passed on 2009 and its effects. The chapter 6 testifies and analyzes the correlations between IPO issuance and listing prices after June 2009, when the IPO restarted. The third part, Chapter 7 and Chapter 8, is the research conclusions and policy recommendations about IPO issuance institution reform. The final part also reviews the limits of this dissertation and the further research areas.
The first part is theoretical synthesis and institution background. The theory of Chapter 2 is divided into four parts:(1) current situation of international research about IPO underpricing; (2) current situation of domestic research about IPO underpricing; (3) the theory of secondary market stock pricing and related comments; and (4) a review about research publications of shot-run stock price performance after IPO issuance. Chapter 3 studies the development of our stock market, the evolving progress of our IPOs and the background of our IPO underpricing. This part provides a theoretical and practical basis for the empirical research.
The second part is the main body, testifying the research, based on the theory of IPO underpricing. Chapter 4 illustrates some factors that affect the closing price on first day of A share IPO and related assumptions. In addition, through the A share market indicators, Chapter 4 shows how these financial indicators affect the closing price on first day of IPO on statistical basis. This part provides verification for research conclusions and policy recommendations in next chapters. In order to establish a more reasonable and accurate model for verification, the following variables that affect IPO underpricing are considered in this dissertation with the insight of the former researches:PE, ROE in previous year of the issuance, IPO opening price, number of subscribers, size of issuance, turnover rate, ROA in previous year of the issuance (Total return on asset), gross margin of sales in previous year of the issuance, and growth rate of total profit in previous 3 years before issuance. Chapter 5 includes the main reform measures of the new IPO rules passed on 2009 and its effects, and Chapter 6 is the proof-test of the new IPO reform through the empirical research on the IPO data after June 2009, when the IPO restarted.
The third part is the summary of this dissertation. Based on the empirical research conclusions, the author proposes some policy recommendations on the 2009 new IPO rules. Finally, this part points out the shortages and some questions deserved our attentions in the future study.
The main innovation of this dissertation is the new contents and the new perspectives. By leveraging the public data, this dissertation systemically studies the correlations between IPO price after implementing authorized mechanism and financial indicators, and analyses the acts of IPO reform measures. By collecting the market data after the IPO restarted, this dissertation does a thorough empirical research on the IPO reform measures. Based on those researches and conclusions, the author provides some suggestions on the IPO policy, which is time effectiveness.
从上世纪90年代建立股票交易市场之后,我国IPO定价制度一直处于不断完善与改进的过程之中。在1999年《证券法》实施之前,我国IPO定价主要是政府主导的行政定价方式,之后逐渐向市场定价方式过渡。不少学者对IPO定价问题进行了有益的探讨和研究,并取得了研究成果,但主要集中于对IPO抑价的解释。2009年6月10日,中国证监会发布了《关于进一步改革和完善新股发行体制的指导意见》,进一步推进了新股发行制度市场化改革进程。本轮新股发行制度改革以市场化为核心,在考虑我国资本市场目前运行基本特征的基础上,充分吸收借鉴了境外成熟市场的新股市场化定价机制。本轮改革后新股发行制度的整体流程架构已基本与国际惯例趋于一致,新股发行市场化机制使市场内在的定价机制得以发挥作用。核准制实施之后,我国股票定价经历了几次制度调整,初期放开市盈率,后来有限度地控制市盈率,最后实行比较流行的累计投标询价制度,再到2009年的新股发行体制改革,制度的变迁为研究提供了客观条件。
本文主要考察基于我国IPO实施核准制之后的发行定价问题,特别是分析了2009年中国证监会实施新股发行体制改革的实质性措施,并对重启发行后IPO抑价情况给予了实证检验,在得出实证研究成果的基础上对本次新股发行体制改革的得失及下一步的政策走向给出了自己的建议。具体的研究目标和问题是：
1)系统分析中国IPO定价和发行制度的改革过程,理清各阶段的改革目标与主要思路；
2)研究IPO发行制度与IPO定价效率的关系；
3)探寻IPO发行价格和二级市场的首日价格与反映公司内在价值的会计指标之间的关系；
4)检验本次新股发行体制改革对IPO抑价现象的影响；
5)提出新股发行体制改革下一步政策建议。
本文的基本内容包括三大部分：第一部分(第2章和第3章)为理论综述与制度背景；第二部分(第4章、第5章和第6章)是本文主体,第4章主要运用实证的方法对实施核准制后至2008年9月暂停新股发行之前这一阶段IPO发行价格和上市价格的关系及影响因素进行实证分析,第5章是2009年新股发行体制改革的内容及实施效果分析,第6章主要运用实证的方法对2009年6月新股重启发行之后的IPO发行价格和上市价格关系及影响因素进行实证分析；第三部分(第7章)是对本文的主要结论的总结,并在此基础上提出政策建议,同时检查了本文的局限性及未来研究方向。
第一部分是理论综述和制度背景,第2章的理论和文献综述分为四个方面：(1)国外IPO抑价相关研究现状；(2)国内IPO抑价相关研究现状；(3)股票二级市场定价理论及研究述评；(4)股票IPO后短期价格表现研究文献的回顾。第3章分析了我国股市的发展过程、我国IPO审核及定价方式的演变情况以及IPO抑价的背景。理论综述和制度背景分析为实证研究奠定了理论和实践基础。
第二部分是实证研究,特别是2009年新股发行体制改革实证研究的内容,也是本文的主体。
第4章根据前面章节的IPO抑价研究理论和A股发行定价机制的回顾和分析,提出对A股IPO首日抑价水平产生影响的一些因素和相关假设,并用A股市场数据验证这些因素对IPO首日抑价水平统计上的影响。为了使模型建立的更为合理、准确,在借鉴前人研究成果的基础上,本文研究时主要从以下几个方面考虑选取影响IPO抑价的影响变量：发行PE、发行前一年ROE、新股开盘价、申购户数、发行规模、换手率、发行前一年ROA(总资产收益率)、发行前一年销售毛利率、发行前三年利润总额增长率。第5章是2009年新股发行体制改革的主要内容及实施效果分析,而第6章通过2009年6月新股重启发行之后IPO数据进行的实证研究,对本次新股发行体制改革成效的检验。
第三部分是对我国不同阶段实证研究结论的总结,并在此基础上,就下一步新股发行体制改革提出政策建议。最后,本部分归纳了不足和进一步研究需要注意的问题。
本文的创新主要体现在研究视角及研究内容较新。本文利用公开数据,对实施核准制之后IPO价格与财务指标的关系、对本轮新股发行体制改革的实质性举措进行了认真对比分析,并收集2009年9月重启发行后的市场数据对本次新股发行改革进行了实证检验,在此基础上,给出了本文的建议,具有较强的政策时效性。这在国内的研究中尚不多见。
A thorough and embedded research on IPO pricing in China stock market is studied in this dissertation after the implement of examination system. Ipo underpricing is a highly concerned problem by China Securities Regulatory Commissions, investors, intermediary institutions and issuers during the development of stock market. After the implement of Inquiry System in 2005, all the participants want this new offering system to resolve the problems of "IPO underpricing", "the substantive stock of fund on the primary market for IPO" and so on. However, from the actual situation of these years, this method did in a poor way. Therefore, there are more and more voices that ask for the reform of IPO pricing and offering from the investors and theory horizon. They ask for harmony the twisty relation between the primary market and the secondary market, and the maintenance of the small investors'benefits. In this situation, it is quite important for a research for the IPO pricing system in China capital market and some suggestions have been provided in this research.
After the Chinese stock exchange market was built in the 20 centuries, there has been unceasing development of IPO pricing system. Before the "Security Act" put into practice, the main method of IPO pricing in China is the government leading system through administrative offering, then the method is transmitted into market offering. Many scholars made beneficial researches in the IPO pricing, most of them focus on the explanation of IPO underpricing, and they made plenty of results in this field. This dissertation chooses a relatively new perspective, which studies IPO pricing mainly after the implement of the examination system of IPO in China. After the examination system of IPO was implemented, China stock pricing has experienced several system adjustments, early days with liberalization of P/E ratio, later limited control over P/E ratio and finally a more popular accumulated tender Inquiry System. Institution transitions provide objective conditions for our study. In addition, this dissertation considers that the IPO process includes issuance, listing, and short-term trade. Only when this process has been gone on smoothly, IPO could be considered successfully. Based on this thought, this dissertation mainly studies three aspects: issuance and listing pricing, IPO underpricing, and aftermarket performance. The specific research objectives and questions are:
1) Analyzing the reform process of China IPO pricing and distribution system systematically, and clarifying reform objectives and main ideas of various stages.
2) Exploring IPO issue price and the relationship between the secondary market prices during the first day and financial indicators reflecting the company's intrinsic value.
3) Testing the relationship between IPO issuance system and IPO pricing efficiency;
4) Proof-testing the effects on discount price of IPO after the IPO reform measures put into practice.
5) Providing the recommendations on the new IPO policy.
This dissertation mainly contains three parts:the first part, Chapter 2 and Chapter 3, is theoretical synthesis and institution background; the second part,including Chapter 4、Chapter 5 and Chapter 6, is the main body. The Chapter 4 testifies and analyzes the correlations between IPO issuance and listing prices before September 2008, when the IPO came to halt. The Chapter 5 analyzes the new IPO rules passed on 2009 and its effects. The chapter 6 testifies and analyzes the correlations between IPO issuance and listing prices after June 2009, when the IPO restarted. The third part, Chapter 7 and Chapter 8, is the research conclusions and policy recommendations about IPO issuance institution reform. The final part also reviews the limits of this dissertation and the further research areas.
The first part is theoretical synthesis and institution background. The theory of Chapter 2 is divided into four parts:(1) current situation of international research about IPO underpricing; (2) current situation of domestic research about IPO underpricing; (3) the theory of secondary market stock pricing and related comments; and (4) a review about research publications of shot-run stock price performance after IPO issuance. Chapter 3 studies the development of our stock market, the evolving progress of our IPOs and the background of our IPO underpricing. This part provides a theoretical and practical basis for the empirical research.
The second part is the main body, testifying the research, based on the theory of IPO underpricing. Chapter 4 illustrates some factors that affect the closing price on first day of A share IPO and related assumptions. In addition, through the A share market indicators, Chapter 4 shows how these financial indicators affect the closing price on first day of IPO on statistical basis. This part provides verification for research conclusions and policy recommendations in next chapters. In order to establish a more reasonable and accurate model for verification, the following variables that affect IPO underpricing are considered in this dissertation with the insight of the former researches:PE, ROE in previous year of the issuance, IPO opening price, number of subscribers, size of issuance, turnover rate, ROA in previous year of the issuance (Total return on asset), gross margin of sales in previous year of the issuance, and growth rate of total profit in previous 3 years before issuance. Chapter 5 includes the main reform measures of the new IPO rules passed on 2009 and its effects, and Chapter 6 is the proof-test of the new IPO reform through the empirical research on the IPO data after June 2009, when the IPO restarted.
The third part is the summary of this dissertation. Based on the empirical research conclusions, the author proposes some policy recommendations on the 2009 new IPO rules. Finally, this part points out the shortages and some questions deserved our attentions in the future study.
The main innovation of this dissertation is the new contents and the new perspectives. By leveraging the public data, this dissertation systemically studies the correlations between IPO price after implementing authorized mechanism and financial indicators, and analyses the acts of IPO reform measures. By collecting the market data after the IPO restarted, this dissertation does a thorough empirical research on the IPO reform measures. Based on those researches and conclusions, the author provides some suggestions on the IPO policy, which is time effectiveness.
引文
1以下关于发行方式的介绍整理自上海证券交易所和深圳证券交易所的相关公开文件。
2何剑,2008,《中国股票市场IPO抑价实证研究》,P1
1刘力、李文德,中国股市股票首次公开发行首日超额收益研究,《中国股票市场实证研究》(陈工盂、芮萌编),东北财经大学出版社,2003年11月版,P19。
2江洪波,2007,中国A股IPO价格行为研究,P3
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9.耿建新,周芳,王虹,“新股价格制定及市场反应中的会计信息”,《经济理论与经济管理》,2002年第3期
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12.胡淑娟,《询价制的定价行为博弈分析》,《中外企业家》,2007年第4期
13.韩杨,“新规则下的新股发行抑价：券商决策模型”,《南开经济研究》,2002年第四期
14.何沛利,章早立,“透析我国IPO公司利润操纵”,《证券时报》,2002第十一期
15.黄鑫,沈艺峰,“承销商托市与新股折价”,《证券市场导报》,2002年第十一期
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17.孔爱国,李哲,“IPO定价的信号模型：信息披露机制有效性检验(1992-2002)”,《复旦学报(自然科学版)》,2003年第五期
18.刘晓峰,李梅,《IPO询价制在中美实施效果的比较及博弈分析》,《国际金融研究》,2007年第2期
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39.熊维勤,孟卫东,周孝华,《IPO累计投标询价研究现状综述》,《生产力研究》,2007年第12期
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2何剑,2008,《中国股票市场IPO抑价实证研究》,P1
1刘力、李文德,中国股市股票首次公开发行首日超额收益研究,《中国股票市场实证研究》(陈工盂、芮萌编),东北财经大学出版社,2003年11月版,P19。
2江洪波,2007,中国A股IPO价格行为研究,P3
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2.曹凤岐,董秀良,“我国IPO定价合理性的实证分析”,《财经研究》,2006年第六期
3.陈工孟,高宁,“中国股票一级市场长期投资回报的实证研究”,《经济科学》,2000年第一期
4.陈工孟,高宁,“中国股票一级市场发行抑价的程度与原因”,《金融研究》,2000年第八期
5.陈工孟,高宁,“中国股票一级市场发行溢价的程度与原因”,《中国资本市场前沿理论研究文集》,社会科学文献出版社,2000年
6.陈建梁,卢万青,“股权分置下不同类型股东分配与收益的差别分析——以上证180指数成份股为例”,《对外经济贸易大学学报》,2005年第三期
7.杜莘,梁洪昀,宋逢明,“中国A股市场初始回报率研究”,《管理科学学报》,2001年第四期
8.段进东,陈海明,“我国新股发行定价信息效率实证研究”,《金融研究》,2004年第二期,5-13
9.耿建新,周芳,王虹,“新股价格制定及市场反应中的会计信息”,《经济理论与经济管理》,2002年第3期
10.耿建新,蒋力,“中国上市公司IPO后经营业绩变化情况的分析——来自A股公司的经验数据”,《财会通讯》,2005年第7期
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18.刘晓峰,李梅,《IPO询价制在中美实施效果的比较及博弈分析》,《国际金融研究》,2007年第2期
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29.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年第四期
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