股票市场企业首次公开发行定价理论与方法研究
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摘要
中国股票市场建立14年以来,经历了多次循环周期的转换。股票市场的发展实践表明,对于一个兼具发展与转轨特征的经济体而言,由于市场经济环境和制度体系与西方国家相比存在明显差异,对企业价值的判断也会受到更多因素尤其是制度性因素的影响。本文基于中国股票市场的这一特点,结合国内企业和股票市场的特殊性,对企业股票首次公开发行定价的理论与方法进行研究。
本文首先介绍了研究的背景与意义、研究目标、论文框架及研究方法与思路等,然后是对股票首次公开发行定价理论的文献综述,包括了对股票首次公开发行抑价、长期弱势现象和热销现象的理论解释,以及学术界在新制度经济学框架内对股票首次公开发行定价的研究。之后,对各国企业股票首次公开发行定价方式进行了比较分析,对各种估价理论模型及其适用性进行了详细的比较研究。在理论研究的基础上,本文对中国企业股票首次公开发行定价进行了系统的实证分析,包括对企业股票首次公开发行抑价影响因素的实证研究、对企业股票首次公开发行定价影响因素的实证研究和对企业股票首次公开发行定价模型应用的研究。
以理论研究与实证分析为依据,本文提出了对于企业股票首次公开发行定价的政策建议,并得出了相关结论,认为企业股票首次公开发行定价与公司价值是密切相关,但是国内企业股票首次公开发行定价存在不合理性的现象,因此国内企业在股票首次公开发行定价时,一方面要借鉴国际通行的估价方法,并结合本企业的具体情况如所属行业、发行时机等来选择合适的估价方法,另一方面更重要的是改变传统的估价思想,即改变以往把公司盈利作为估价唯一标准的观念,重视公司创造现金流量的能力。
As being established for 14 years, the Chinese stock market experienced several circulation. Due to the differences of market economic environment and system between China and western countries, the enterprises and stock market of China have their own special characteristics, such as developing and revolution. Therefore the enterprises valuation is influenced by more factors, especially the systematic ones.Based on that character of China's stock market, considered the specialty of Chinese market and the enterprises, this paper does researches on the theories and methods of an enterprise's initial public offering(IPO).First, this research gives a brief introduction of the background, the significance, the aim of IPO pricing research, the framework, research method and the thinking clew of this paper. Then there is a summary of the theories and documents about the IPO pricing, including the IPO underpricing, the long-term underpricing, and the IPO pricing under the institutional economics framework.Then the research does a comparative analysis of the way of IPO pricing between domestic and foreign enterprises. And detailed comparison is made between every pricing model.On the foundation of theoretical researches, this paper does systemic empirical researches including the empirical research on factors affecting the underpricing of IPOs, the empirical research on factors affecting the pricing of IPOs, the empirical research on models that applied in the pricing of IPOs.According to the theoretical analysis and empirical researches, the paper offers the suggestions on the IPO pricing policy, and gets the persuasive conclusion that, the IPO price is closely relative to the value of the enterprise, but that's not the whole story. That could be seen clearly in the widespread underpricing of Chinese enterprises. Therefore, in the complicated process of determining the IPO price, on one hand, we should consider the international accepted pricing methods, as well as the industry of the enterprise and time it offers, on the other hand, we should change the traditional pricing thoughts, namely, the ability of creating cash flow instead of the ability of making profit.
本文首先介绍了研究的背景与意义、研究目标、论文框架及研究方法与思路等,然后是对股票首次公开发行定价理论的文献综述,包括了对股票首次公开发行抑价、长期弱势现象和热销现象的理论解释,以及学术界在新制度经济学框架内对股票首次公开发行定价的研究。之后,对各国企业股票首次公开发行定价方式进行了比较分析,对各种估价理论模型及其适用性进行了详细的比较研究。在理论研究的基础上,本文对中国企业股票首次公开发行定价进行了系统的实证分析,包括对企业股票首次公开发行抑价影响因素的实证研究、对企业股票首次公开发行定价影响因素的实证研究和对企业股票首次公开发行定价模型应用的研究。
以理论研究与实证分析为依据,本文提出了对于企业股票首次公开发行定价的政策建议,并得出了相关结论,认为企业股票首次公开发行定价与公司价值是密切相关,但是国内企业股票首次公开发行定价存在不合理性的现象,因此国内企业在股票首次公开发行定价时,一方面要借鉴国际通行的估价方法,并结合本企业的具体情况如所属行业、发行时机等来选择合适的估价方法,另一方面更重要的是改变传统的估价思想,即改变以往把公司盈利作为估价唯一标准的观念,重视公司创造现金流量的能力。
As being established for 14 years, the Chinese stock market experienced several circulation. Due to the differences of market economic environment and system between China and western countries, the enterprises and stock market of China have their own special characteristics, such as developing and revolution. Therefore the enterprises valuation is influenced by more factors, especially the systematic ones.Based on that character of China's stock market, considered the specialty of Chinese market and the enterprises, this paper does researches on the theories and methods of an enterprise's initial public offering(IPO).First, this research gives a brief introduction of the background, the significance, the aim of IPO pricing research, the framework, research method and the thinking clew of this paper. Then there is a summary of the theories and documents about the IPO pricing, including the IPO underpricing, the long-term underpricing, and the IPO pricing under the institutional economics framework.Then the research does a comparative analysis of the way of IPO pricing between domestic and foreign enterprises. And detailed comparison is made between every pricing model.On the foundation of theoretical researches, this paper does systemic empirical researches including the empirical research on factors affecting the underpricing of IPOs, the empirical research on factors affecting the pricing of IPOs, the empirical research on models that applied in the pricing of IPOs.According to the theoretical analysis and empirical researches, the paper offers the suggestions on the IPO pricing policy, and gets the persuasive conclusion that, the IPO price is closely relative to the value of the enterprise, but that's not the whole story. That could be seen clearly in the widespread underpricing of Chinese enterprises. Therefore, in the complicated process of determining the IPO price, on one hand, we should consider the international accepted pricing methods, as well as the industry of the enterprise and time it offers, on the other hand, we should change the traditional pricing thoughts, namely, the ability of creating cash flow instead of the ability of making profit.
引文
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[4] Chen, G., M. Firth, J. Kim. The post issue market performance of initial public offerings in China's new stock markets. Working paper, the Hong Kong Polytechnic University, 1999
[5] Liu Li, Li Wende.The Research on the Abnormal Initial Return in China's Stock Market. China Accounting and Finance Review, 2000, (4): 1-25
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[7] Mok, H: M. K., Y. V. Hui. Underpricing and aftermarket performance of IPOs in Shanghai, China. Pacific Basin Finance Journal, 1998, (6): 453-474
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[9] Chen, G., M. Firth, J. Kim. The post issue market performance of initial public offerings in China's new stock markets. Working paper, the Hong Kong Polytechnic University, 1999
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[12] 宋逢明,梁洪昀.发行市盈率放开后的A股市场初始回报研究.金融研究,2001,(2):22-25
[13] 吕斌,李国秋.新股发行方式与上市方式的联动改革.经济导刊,1999,(2):31-33
[14] Su, D. and B. M. Fleisher. An empirical investigation of undrpricing in Chinese IPOs, Pacific Basin Finance Journal, 1999, 7:173-202
[15] Jegadeesh, N., M. Weinstein and I. Welch. An empirical investigation of IPO returns and subsequent equity offerings, Journal of Financial Economics, 1993, 34: 153-175
[16] Baron D. A Model of the demand for investment banking advising and distribution services for new issues. Journal of Finance, 1982, 37: 307-332
[17] Rock, K. Why new issues are underpriced. Journal of Financial Economics, 1986, 15:187-212
[18] Leland H. and D. Pyle. Information asymmetries, financial structure and financial intermediation. Journal of Finance, 1977, 32: 371-387
[19] Allen, E and G. Faulhaber. Signalling by underpricing in the IPO market. Journal of Financial Economics, 1989, 23: 303-323
[20] Titman, S. and B. Yrueman. Information Quality and the Valuation of New Issues. Journal of Accounting and Economics, 1986, 8: 159-172
[21] Ritter J. R. The Hot Issues of 1980. Journal of Business, 1984, 157: 215-240
[22] Tinic, S. M. Anatomy of Initial Public Offerings of Common Stock. Journal of Finance, 1988, 43: 789-822
[23] Welch, Ivo. Sequential Sales, learning and information cascades. Journal of Finance, 1992, 47: 695-732
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