中国股票市场IPO抑价现象研究
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摘要
中国股票市场从建立至今一直存在有严重的新股发行抑价现象，过高的新股发行抑价为股票市场的发展带来了一系列的问题。文章首先以对现有的有关发行抑价的研究回顾为起点，对国内外研究成果进行综述，在对已有研究进行分析归纳和总结后，对于我国股市发展追本溯源，概述了中国A股市场首次公开发行市场的发展历程。在充分了解研究对象和总结其他学者的研究成果及其不足的基础上，对所要研究的样本股票进行分类汇总，从不同角度对影响发行抑价的共性因素进行分析，并初步判定其对于抑价的影响程度，最终找出对抑价有影响的相关因素。在此基础上利用已有样本股票数据建立数学模型，使用定量研究的方法对于我国股票市场抑价现象进行研究，发现西方学者关于抑价现象的研究及其理论解释并不能很好地解释我国股票市场中的抑价现象，并得出我国股票市场中某些特有的因素是造成我国股票发行高抑价现象的主要原因这一结论。随后结合我国股市特点，从对政府及监管机构、投资者、承销商以及发行公司等我国股票发行市场参与主体各方面的分析中找出产生抑价现象的特殊根源，为我国股票市场健康发展提供了新的视点。
The phenomenon of underpricing in Initial Public Offerings (IPO) market was present from the beginning of Chinese stock market. The high underpricing in IPO has brought a series of problems to the development of the stock market. Firstly, this thesis reviews the underpricing related research, summarizes the achievement in China and the other countries. Secondly, backdates the history of Chinese stock market, summarizes the development course of the Chinese A stock IPO market. Baseing on comprehending the object of research and summarizing other scholar’s achievement and their limitation, this thesis classifies the sample stock, analyzes the underpricing factors from different point of views, preliminary decides the degree of these factors affect the underpricing and finally find out the underpricing related factor. Thirdly, using the data of sample stock to construct a mathmatic model and using quantitative method to study the underpricing phenomenon in Chinese stock market. The thesis discovers that the research and explain of west scholars is not very helpful to understanding the underpricing phenomenon in Chinese IPO market and concludes some of the special factors is the key reson. Afterwards, according to our stock market characteristics, the thesis finds out the special factors through the analyzing of the main participator in Chines IPO market, such as government, supervising institution, investor, consignee, issuer and gives some new point of views to our stock market.
The phenomenon of underpricing in Initial Public Offerings (IPO) market was present from the beginning of Chinese stock market. The high underpricing in IPO has brought a series of problems to the development of the stock market. Firstly, this thesis reviews the underpricing related research, summarizes the achievement in China and the other countries. Secondly, backdates the history of Chinese stock market, summarizes the development course of the Chinese A stock IPO market. Baseing on comprehending the object of research and summarizing other scholar’s achievement and their limitation, this thesis classifies the sample stock, analyzes the underpricing factors from different point of views, preliminary decides the degree of these factors affect the underpricing and finally find out the underpricing related factor. Thirdly, using the data of sample stock to construct a mathmatic model and using quantitative method to study the underpricing phenomenon in Chinese stock market. The thesis discovers that the research and explain of west scholars is not very helpful to understanding the underpricing phenomenon in Chinese IPO market and concludes some of the special factors is the key reson. Afterwards, according to our stock market characteristics, the thesis finds out the special factors through the analyzing of the main participator in Chines IPO market, such as government, supervising institution, investor, consignee, issuer and gives some new point of views to our stock market.
引文
[1]Ibbotson.R.G. Price performance of common stock new issues[J]. Journal of Financial Economics, 1975(2):235-272
[2]Ritter, Jay.R. Initial Public offerings[J]. Contemporary Finance Digest, 1998(1):5-30
[3]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，2000,8:1-12
[4]李险峰. 对新股神话的一点看法. 金融教学与研究. 1997(5):42-43
[5]J.G.McDonald and A.K.Fisher. New issue stock price behavior[J]. Journal of Finance, 1972:97-102
[6]Ritter, Jay.R. Investment banking and securities issuance, North-Holland Handbook of the Economics of Finance[C]. 2002
[7]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[J]. 经济研究，1997(12):17-24
[8]张人骥，朱海平，王怀芳，韩星. 上海股票市场发行价格过程分析[J]. 经济科学，1999(4)
[9]夏新平. 中国IPO市场效率性及其效率机制构建研究[D]. 华中科技大学管理学院博士论文，2000
[10]Ritter, Jay.R. The 'hot issues' market of 1980[J]. Journal of Business, 1984(57):215-240
[11]Michelle.L & William.S. IPO market cycles: Bubbles or sequential learing?[J]. Journal of Finance, 2002(3):1171-1200
[12]Halil Kiymaz.The initial and aftermarket performance of IPOs in an
emerging market:evidence from Istanbul stock exchange[J].Journal of Multinational Financial Management, 2000(l0):213-227
[13]Douglas A.Hensler,Martin J.Herrera,larry J.Lockwood. The performance of initial public offerings in the Mexican stock market, 1987-1993[J].journal of International Money and Finance, 2000(l9):93-116
[14]Koh F, T walter. A direct test of Rock's Model of the pricing of unseasoned issues[J]. Journal of Financial Economics, 1989(23):251-277
[15]Lee P.J. IPO Underpricing Explanations: Implications from Investor Application and Allocation Schedules[J]. Journal of Financial and Quantitative Analysis, 1999(4):425-444
[16]Taylor S. Australian IPOs underpricing in the short and long run[J]. Journal of Banking and Finance. 1996(20):1189-1210
[17]Levis M. The long-run performance of initial public offerings: The UK experience 1980-1988[J]. Financial Management, 1993(22):28-41
[18]Dawson S M. Selling unseasoned new shares in Hong Kong and Japan:A test of primary market efficiency and underpricing[J]. Hong Kong Journal of Business Management. 1985(1):125-134
[19]Loughran, T. Ritter, J. The new issues puzzle[J].Journal of Finance, 1995(50):23-51.
[20]Rock, K. Why New Issues are Underpriced[J]. Journal of Financial
Economics, 1986(15):187-212.
[21]Beatty, R. P. and J. R. Ritter. Investment Banking, Reputation, and the Underpricing of Initial Public Offerings[J]. Journal of Financial Economics,1986(15): 213-232.
[22]Baron, D. P. A Model of the Demand for Investment Banking Advising
and Distribution Services for New Issues[J]. Journal of Finance, 1982(
37):955-976.
[23]Allen, F. and Gerald R. Faulhaber. Signaling by Underpricing in the IPO Market[J]. Journal of Financial Economics. 1989(23):303-323
[24]Leland, H. E. and D. H. Pyle. Informational Asymmetries, Financial
Structure, and Financial Intermediation[J]. Journal of Finance, 1977(32):371-387
[25]Welch, I. Seasoned Offerings, Imitation Costs and the Underpricing of Initial Public Offerings[J]. Journal of Finance, 1989(44):421-449
[26]Grinblatt, M. and Huang, C.Y. Signaling and the Pricing of Unseasoned
New Issue[J]. Journal of Finance, 1989(44):393-420
[27]Baron, D. P and Bengt Holmstrom. The Investment Banking Contract for
New Issues Under Asymmetric Information: Delegation and the Incentive
Problem[J]. Journal of Finance, 1980(35):1115-1138
[28]Benveniste, L. and P. Spindt. How Investment Bankers Determine the Offer Price and the Allocation of New Issues[J]. Journal of Financial Economics, 1989(24):343-361
[29]Welch,I. Sequential Sales, Learning and Cascades[J]. Journal of Finance, 1992(47): 695-732
[30]Tinic S M. Anatomy of initial public offerings of common stock[J]. Journal of Finance, 1989(9):792-822
[31]Booth, J.R. and L. Chua. Ownership Dispersion, Costly Information and IPO Underpricing[J]. Journal of Financial Economics, 1996(44): 291-310
[32]Brennan M, J Franks. Underpricing, ownership and control in initial pubilc offerings of equity securities in the U.K.[J]. Journal of Financial Economics, 1995(45):391-413
[33]Grossman S, O Hart. Takeover bids, the free-rider problem and the theory of the corporation[J]. Bell Journal of Economics, 1980(11):42-64
[34]Jegadeesh, N. and Titman, S. Returns to buying winners and selling
losers:implications for stock market efficiency[J]. Journal of Finance, 1993(48):65-91
[35]Pio Baake, and Jorg Oechssler. Does rationing of shares increase revenues in initial public offerings?[D]. Working Paper, Humboldt University,Berlin, 1998
[36]lbbotson, R.G.and J.F.Jaffe. "Hot issue" Markets[J]. Journal of Finance, 1975(30):1027-1042
[37]Larry, L. DuCharme, Shivaram Rajgopal and Stephan E. Sefcik. Why was
internet IPO Underpricing so Severe?[D]. University of Washington Working
Paper, 2001
[38]杨朝军，刑靖. 上海股票市场价格行为研究[J]. 中国证券市场实证分析,1997: 80-82
[39]Henry M K Mok, Y V Hui. Underpricing and aftermarket performance of IPOs in Shanghai[J]. China Pacific-Basin Finance Journal,1998(6):453-474
[40]Su D, B M Fleisher. An empirical investigation of underpricing in Chinese IPOs[J]. Pacific-Basin Finance Journal,1999(7):173-202
[41]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 (1):29-41
[42]宋逢明，梁洪均. 发行市盈率放开后的A股市场初始回报研究[J]. 金融研究, 2001(2):94-100
[43]韩德宗，陈静. 中国IPO定价偏低的实证研究[J]. 统计研究，2001(4):29-35
[44]栾培强. 我国新股发行初始收益率实证分析[J]. 金融教学与研究, 2001(1):34-37
[45]徐文燕，武康平. 承销商托市对新股初始回报的影响[J]. 当代经济科学，2002(1):80-86
[46]任柏强，张一力，易晓文. 影响新股申购收益因素的分析[J]. 金融研究, 2001(4):88-96
[47]王莉. 中国新股发行抑价:一个假说的检验[J]. 复旦学报，2001(5):85-90
[48]郑振龙. 中国证券发展简史[M]. 北京：经济科学出版社，2000
[49]胡继之. 中国股市的演进与制度变迁[M]. 北京：经济科学出版社，1999
[50]赵锡军. 论证券监管[M]. 北京：中国人民大学出版社，2000
[51]张育军. 深圳证券交易所研究报告2000[C]. 北京：经济科学出版社，2001
[52]刘波. 中国证券市场实证分析[M]. 上海：学林出版社，1997
[53]张世英，李忠民，袁学民. 经济计量学教程[M]. 天津：天津大学出版社，2002
[54]张保法. 经济计量学[M]. 北京：经济科学出版社，2000
[55]李长风. 经济计量学[M]. 上海：上海财经大学出版社，1996
[56]古扎拉蒂（林少宫译）. 计量经济学[M]. 北京：中国人民大学出版社，2000
[57]戴维 R. 安德森，丹尼斯 J. 斯威尼，托马斯 A. 威廉姆斯（张建华，王健，冯燕奇等译）. 商务与经济统计[M]. 北京：机械工业出版社，2000
[58]Fama, Eugene F. Efficient Capital Markets: A Review of Theory and Empirical Work[J]. Journal of Finance, 1970(25):383-417
[59]Kahneman, D. and W. Riepe. Aspects of Investor Psychology[J]. Journal of Portfolio Management, 1998(24):52-65
[60]Shiller, R. Conversation, Information and Herd Behavior[J]. American Economic Review, 1990(85):181-185
[61]Shiller, R. Do stock Markets Move too much to be Justified by Subsequent Change in Dividends. American Economic Revies[J]. 1981(71):421-436
[62]Bondt, D. and R. H. Thaler. Does the Stock Market Over-react?[J]. 1985(40):793-805
[63]Long. D, A. Shleifer, L. H. Summers. and R. J. Waldmann. Noise Trader Risk in Financial Markets[J]. Journal of Political Economy, 1990(98):703-739
[2]Ritter, Jay.R. Initial Public offerings[J]. Contemporary Finance Digest, 1998(1):5-30
[3]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，2000,8:1-12
[4]李险峰. 对新股神话的一点看法. 金融教学与研究. 1997(5):42-43
[5]J.G.McDonald and A.K.Fisher. New issue stock price behavior[J]. Journal of Finance, 1972:97-102
[6]Ritter, Jay.R. Investment banking and securities issuance, North-Holland Handbook of the Economics of Finance[C]. 2002
[7]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[J]. 经济研究，1997(12):17-24
[8]张人骥，朱海平，王怀芳，韩星. 上海股票市场发行价格过程分析[J]. 经济科学，1999(4)
[9]夏新平. 中国IPO市场效率性及其效率机制构建研究[D]. 华中科技大学管理学院博士论文，2000
[10]Ritter, Jay.R. The 'hot issues' market of 1980[J]. Journal of Business, 1984(57):215-240
[11]Michelle.L & William.S. IPO market cycles: Bubbles or sequential learing?[J]. Journal of Finance, 2002(3):1171-1200
[12]Halil Kiymaz.The initial and aftermarket performance of IPOs in an
emerging market:evidence from Istanbul stock exchange[J].Journal of Multinational Financial Management, 2000(l0):213-227
[13]Douglas A.Hensler,Martin J.Herrera,larry J.Lockwood. The performance of initial public offerings in the Mexican stock market, 1987-1993[J].journal of International Money and Finance, 2000(l9):93-116
[14]Koh F, T walter. A direct test of Rock's Model of the pricing of unseasoned issues[J]. Journal of Financial Economics, 1989(23):251-277
[15]Lee P.J. IPO Underpricing Explanations: Implications from Investor Application and Allocation Schedules[J]. Journal of Financial and Quantitative Analysis, 1999(4):425-444
[16]Taylor S. Australian IPOs underpricing in the short and long run[J]. Journal of Banking and Finance. 1996(20):1189-1210
[17]Levis M. The long-run performance of initial public offerings: The UK experience 1980-1988[J]. Financial Management, 1993(22):28-41
[18]Dawson S M. Selling unseasoned new shares in Hong Kong and Japan:A test of primary market efficiency and underpricing[J]. Hong Kong Journal of Business Management. 1985(1):125-134
[19]Loughran, T. Ritter, J. The new issues puzzle[J].Journal of Finance, 1995(50):23-51.
[20]Rock, K. Why New Issues are Underpriced[J]. Journal of Financial
Economics, 1986(15):187-212.
[21]Beatty, R. P. and J. R. Ritter. Investment Banking, Reputation, and the Underpricing of Initial Public Offerings[J]. Journal of Financial Economics,1986(15): 213-232.
[22]Baron, D. P. A Model of the Demand for Investment Banking Advising
and Distribution Services for New Issues[J]. Journal of Finance, 1982(
37):955-976.
[23]Allen, F. and Gerald R. Faulhaber. Signaling by Underpricing in the IPO Market[J]. Journal of Financial Economics. 1989(23):303-323
[24]Leland, H. E. and D. H. Pyle. Informational Asymmetries, Financial
Structure, and Financial Intermediation[J]. Journal of Finance, 1977(32):371-387
[25]Welch, I. Seasoned Offerings, Imitation Costs and the Underpricing of Initial Public Offerings[J]. Journal of Finance, 1989(44):421-449
[26]Grinblatt, M. and Huang, C.Y. Signaling and the Pricing of Unseasoned
New Issue[J]. Journal of Finance, 1989(44):393-420
[27]Baron, D. P and Bengt Holmstrom. The Investment Banking Contract for
New Issues Under Asymmetric Information: Delegation and the Incentive
Problem[J]. Journal of Finance, 1980(35):1115-1138
[28]Benveniste, L. and P. Spindt. How Investment Bankers Determine the Offer Price and the Allocation of New Issues[J]. Journal of Financial Economics, 1989(24):343-361
[29]Welch,I. Sequential Sales, Learning and Cascades[J]. Journal of Finance, 1992(47): 695-732
[30]Tinic S M. Anatomy of initial public offerings of common stock[J]. Journal of Finance, 1989(9):792-822
[31]Booth, J.R. and L. Chua. Ownership Dispersion, Costly Information and IPO Underpricing[J]. Journal of Financial Economics, 1996(44): 291-310
[32]Brennan M, J Franks. Underpricing, ownership and control in initial pubilc offerings of equity securities in the U.K.[J]. Journal of Financial Economics, 1995(45):391-413
[33]Grossman S, O Hart. Takeover bids, the free-rider problem and the theory of the corporation[J]. Bell Journal of Economics, 1980(11):42-64
[34]Jegadeesh, N. and Titman, S. Returns to buying winners and selling
losers:implications for stock market efficiency[J]. Journal of Finance, 1993(48):65-91
[35]Pio Baake, and Jorg Oechssler. Does rationing of shares increase revenues in initial public offerings?[D]. Working Paper, Humboldt University,Berlin, 1998
[36]lbbotson, R.G.and J.F.Jaffe. "Hot issue" Markets[J]. Journal of Finance, 1975(30):1027-1042
[37]Larry, L. DuCharme, Shivaram Rajgopal and Stephan E. Sefcik. Why was
internet IPO Underpricing so Severe?[D]. University of Washington Working
Paper, 2001
[38]杨朝军，刑靖. 上海股票市场价格行为研究[J]. 中国证券市场实证分析,1997: 80-82
[39]Henry M K Mok, Y V Hui. Underpricing and aftermarket performance of IPOs in Shanghai[J]. China Pacific-Basin Finance Journal,1998(6):453-474
[40]Su D, B M Fleisher. An empirical investigation of underpricing in Chinese IPOs[J]. Pacific-Basin Finance Journal,1999(7):173-202
[41]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 (1):29-41
[42]宋逢明，梁洪均. 发行市盈率放开后的A股市场初始回报研究[J]. 金融研究, 2001(2):94-100
[43]韩德宗，陈静. 中国IPO定价偏低的实证研究[J]. 统计研究，2001(4):29-35
[44]栾培强. 我国新股发行初始收益率实证分析[J]. 金融教学与研究, 2001(1):34-37
[45]徐文燕，武康平. 承销商托市对新股初始回报的影响[J]. 当代经济科学，2002(1):80-86
[46]任柏强，张一力，易晓文. 影响新股申购收益因素的分析[J]. 金融研究, 2001(4):88-96
[47]王莉. 中国新股发行抑价:一个假说的检验[J]. 复旦学报，2001(5):85-90
[48]郑振龙. 中国证券发展简史[M]. 北京：经济科学出版社，2000
[49]胡继之. 中国股市的演进与制度变迁[M]. 北京：经济科学出版社，1999
[50]赵锡军. 论证券监管[M]. 北京：中国人民大学出版社，2000
[51]张育军. 深圳证券交易所研究报告2000[C]. 北京：经济科学出版社，2001
[52]刘波. 中国证券市场实证分析[M]. 上海：学林出版社，1997
[53]张世英，李忠民，袁学民. 经济计量学教程[M]. 天津：天津大学出版社，2002
[54]张保法. 经济计量学[M]. 北京：经济科学出版社，2000
[55]李长风. 经济计量学[M]. 上海：上海财经大学出版社，1996
[56]古扎拉蒂（林少宫译）. 计量经济学[M]. 北京：中国人民大学出版社，2000
[57]戴维 R. 安德森，丹尼斯 J. 斯威尼，托马斯 A. 威廉姆斯（张建华，王健，冯燕奇等译）. 商务与经济统计[M]. 北京：机械工业出版社，2000
[58]Fama, Eugene F. Efficient Capital Markets: A Review of Theory and Empirical Work[J]. Journal of Finance, 1970(25):383-417
[59]Kahneman, D. and W. Riepe. Aspects of Investor Psychology[J]. Journal of Portfolio Management, 1998(24):52-65
[60]Shiller, R. Conversation, Information and Herd Behavior[J]. American Economic Review, 1990(85):181-185
[61]Shiller, R. Do stock Markets Move too much to be Justified by Subsequent Change in Dividends. American Economic Revies[J]. 1981(71):421-436
[62]Bondt, D. and R. H. Thaler. Does the Stock Market Over-react?[J]. 1985(40):793-805
[63]Long. D, A. Shleifer, L. H. Summers. and R. J. Waldmann. Noise Trader Risk in Financial Markets[J]. Journal of Political Economy, 1990(98):703-739