股权结构对IPO抑价影响的研究
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摘要
IPO抑价是指股票市场的发行价格低于二级市场价格的现象。此现象在世界所有的股票市场都几乎存在,但是不同国家其抑价程度的差别却各不相同。大量研究表明:发达国家股票市场的抑价程度远远小于一些新兴市场国家和发展中国家。和发达国家几百年的股票市场发展经历相比,我国的股票市场起步较晚,从上世纪90年代初开始到现在仅仅几十年的时间,市场还不成熟,投资者也不理性,对市场的理解与发达国家存在着巨大的差别, IPO抑价现象也具有独特性,对其影响因素的解释也与国外市场不尽相同。
本文针对我国股票市场上所存在股权分置的特殊情况,以IPO企业的股权结构为出发点来研究IPO抑价的问题。首先,以现代企业理论和公司治理理论为基础简要地论述了股权结构的基本概念,分析了股权结构对公司价值所存在的影响,并用统计分析的方法简要地描述了从2001年到2007年我国上市公司股权结构的主要特点和变化情况。其次,通过选择从2001年6月到2007年6月在上海证券交易所上市的IPO企业数据,采用实证的方法来分析IPO抑价程度的变化情况和股权结构对其所存在的影响:文章在理论分析的基础之上,选择了具有代表性的多个因素,采用统计分析和回归分析的方法,研究了他们之间的定量关系,揭示了股权结构对我国IPO抑价所存在的影响和各种影响因素在我国股票市场上所表现出的,不同于国外市场研究成果的特殊性。
IPO underpricing refers to the phenomenon that Issue price of stock are lower than the prices in the secondary market. This phenomenon nearly exists in the capital markets of many countries, but its degree of underpricing is not the same in different countries. The massive research indicated: the underpricing is graver in the developing countries than in the developed countries. To compare with the developed country' Stock market of several hundred years, China's stock market starting is late, started from the early-1990s to present is merely several dozens year, which is still not mature with irrational investors. the understanding has the huge difference to the market in different countries. IPO underpricing phenomenon is unique in china and
the explanation of underpricing was also different to the foreign market In this paper, in view of the special circumstances of the stock market, the IPO business ownership structure is the starting point to examine the issue of IPO underpricing. First, based on the modern theory of the firm and company management, Briefly discusses the basic concepts of ownership structure and analysis the influence of the ownership structure on company value. Second, by choosing IPO enterprises’dates between June 2001 to June 2007, Empirical methods is used to analyze the extent of IPO underpricing changes and ownership structure’impact on the existence of it. Through regression analysis to study the relationship between the quantitative, and reveals the relationship between shareholding structure and various factors in China's stock markets, which has a different characteristics from the research in the foreign market .
本文针对我国股票市场上所存在股权分置的特殊情况,以IPO企业的股权结构为出发点来研究IPO抑价的问题。首先,以现代企业理论和公司治理理论为基础简要地论述了股权结构的基本概念,分析了股权结构对公司价值所存在的影响,并用统计分析的方法简要地描述了从2001年到2007年我国上市公司股权结构的主要特点和变化情况。其次,通过选择从2001年6月到2007年6月在上海证券交易所上市的IPO企业数据,采用实证的方法来分析IPO抑价程度的变化情况和股权结构对其所存在的影响:文章在理论分析的基础之上,选择了具有代表性的多个因素,采用统计分析和回归分析的方法,研究了他们之间的定量关系,揭示了股权结构对我国IPO抑价所存在的影响和各种影响因素在我国股票市场上所表现出的,不同于国外市场研究成果的特殊性。
IPO underpricing refers to the phenomenon that Issue price of stock are lower than the prices in the secondary market. This phenomenon nearly exists in the capital markets of many countries, but its degree of underpricing is not the same in different countries. The massive research indicated: the underpricing is graver in the developing countries than in the developed countries. To compare with the developed country' Stock market of several hundred years, China's stock market starting is late, started from the early-1990s to present is merely several dozens year, which is still not mature with irrational investors. the understanding has the huge difference to the market in different countries. IPO underpricing phenomenon is unique in china and
the explanation of underpricing was also different to the foreign market In this paper, in view of the special circumstances of the stock market, the IPO business ownership structure is the starting point to examine the issue of IPO underpricing. First, based on the modern theory of the firm and company management, Briefly discusses the basic concepts of ownership structure and analysis the influence of the ownership structure on company value. Second, by choosing IPO enterprises’dates between June 2001 to June 2007, Empirical methods is used to analyze the extent of IPO underpricing changes and ownership structure’impact on the existence of it. Through regression analysis to study the relationship between the quantitative, and reveals the relationship between shareholding structure and various factors in China's stock markets, which has a different characteristics from the research in the foreign market .
引文
6 Fama, Eugene, Agency. Problems and the Theory of the Firm. Journal of Political Economy[J]. 1980(88), 288-307.
7 Jense M C. The market for corporate contral. Journal of Financial Economics[J]. 1987(11), 5-15.
8 Brennan M, J Franks. Underpricing, Owership, and Contral in Initial Public Offerings of Equity Securities in the UK. Journal of Financial Economics[J]. 1991(45), 391-404.
[1] 陈工孟,芮萌.中国股票市场实证研究[M].大连:东北财经大学,2003.1-31 页.
[2] 施东晖.现代金融学前言[M].上海:上海交通大学出版社,2002.28-96 页.
[3] 翁学东.证券投资心理学[M].北京:经济科学出版社,2003.90-112 页.
[4] 莫琳·伯顿,隆贝拉.金融学[M].北京:中国人民大学,2004.116-258 页.
[5] 上海政权交易所.上证研究[M].上海:复丹大学出版社,2003.68-102 页.
[6] 田政,郭剑,朱晓旭.系统的股市投资研究[M].北京:中国建材工业出版社,2002.78-116 页.
[7] 王江.金融经济学[M].北京:中国人民出版社,2004.56-77 页.
[8] 安东尼·桑德斯.现代金融管理[M].大连:东北财经大学出版社,2003.86-112 页.
[9] 淡儒勇.金融的微观效应考察[J].当代财经.2002(9),46-51 页.
[10] 奥利弗·哈特.企业.合同与财务结构[M].上海:上海三联书社,2004.220-350 页.
[11] 陈上悦,徐晓东.股权结构,企业绩效与投资者利益保护[J].经济研究.2001(1),67-73 页.
[12] 唐宗明,蒋位.中国上市公司大股东侵害度实症研究[J].经济研究.2002(11),98-106 页.
[13] 杨之曙,李子奈.上海股市日内流动性——深度变化实症研究[J].金融研究.2003(6),68-160 页.
[14] 杨之曙,李子奈,汤翼.上海与深圳股票市场开盘方式比较研究[J].中国金融学.2003(1),75-83 页.
[15] 刘力,李文德.中国股票市场首日超额收益研究[J].中国会计与财务研究.2004(4),46-52 页.
[16] 于增彪,梁洪昀.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),45-50 页.
[17] 韩德宗,陈静.中国 IPO 定价偏低的实证研究[J].统计研究.2001(4),12-19 页.
[18] 桑榕.国外股票的 IPO 实证研究及理论解释[J].证券市场导报.2002(5),8-15 页.
[19] 王俊.当代全球 IPO 抑价现象及理论综述[J].证券市场导报.2002(1),43-50 页.
[20] 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),27-32 页.
[21] 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[J].金融研究.2001(2),51-56 页.
[22] 于增彪,梁文涛.股票发行定价体制与新上市 A 股初始投资收益[J].金融研究.2004 (8),9-15 页.
[23] 李江林.中小企业板块的政策效应[J].巨田证券研究.2004(5),16-21 页.
[24] 邹健.核准制下 IPO 抑价率及长期异常收益率影响因素研究[J].深交所研究报告.2003 (9),98-136 页.
[25] 何小锋等.投资银行学[M].北京:中国发展出版社,2002 .77-150 页.
[26] 李广存,陈海明.中国新股短期发行抑价的原因、影响及对策[J].商业研究.2004(16),67-71 页.
[27] 王军波,邓述慧.中国证券一级市场分析[J].管理科学学报.2000 (1),19-23 页.
[28] 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(5),68-91 页.
[29] 卢铁男.抑价理论及其在我国股票发行市场的适用性[J].上海投资.2002(12),31-37 页.
[30] 朱南,卓贤.对我国股票首次公开发行抑价的实征分析[J].财经科学.2004(2),46-53 页.
[31] 张宗新,跳力,厉格非.中国证券市场制度风险的生成及化解[J].经济研究.2001(10),26-33 页.
[32] 杨丹,王莉.中国新股发行抑价:一个假说的检验[J].复旦学报.2002(5),41-47页.
[33] Reena Aggarwal.Allocation of initial public offerings and flipping activity.Journal of Financial Economics[J].2002(68),111—135.
[34] Josvan Bommel.Messages from market to management:the case of IPOs.Journal of Corporate Finance[J].2002(8),123—138.
[35] James R Booth,Lena Chua.Ownership dispersion,costly information,and IPO Underpricing.Journal of Financial Economics[J].1996(41),291—310.
[36] Joseph H Callaghan,Robert T Kleiman,Anandi P Sahu.The market-adjusted Investment performance of ADR IPOs and SEOs.Global Finance Journal[J].2002(10),123—145.
[37] Laura Casares Field,Dennis P Sheehan.IPO underpricing and outside Blockholdings.Journal of Corporate Finance[J].2003(15),18—36.
[38] Kalo k Chan,Junbo Wang,K John Wei.Underpricing and long-term performance Of IPOs in China.Journal of Corporate Finance1[J].2003(83),1—22.
[39] Paul K Chaney,Craig M Lewis.Incoming smoothing and underperformane ininitial public offerings.Journal of Corporate Finance[J].2001(4),1—29.
[40] Bhagwan Chowdhry,Ann Sherman.The winner's curse and international methods Of allocating initial public offerings.Pacific-Basin Finance Journal[J].2000(4),15—30.
[41] Bhagwan Chowdhry,Ann Sherman.International differences in oversubscription and underpricing of IPOs.Journal of Corporate Finance[J].2002(2),359—381.
[42] Yasushi Hamao,Frank Packer,JayR .Riter.Institutional affiliation and the role of Venture capital:Evidence from initial public offerings in Japan.Pacific-Basin Finance Journal[J].2002(8),29—558.
[43] Robert S Hansen.Do investment banks compete in IPOs?the advent of the“7% Plus contract”.Journal of Financial Economics[J].2001(59),313—346.
[44] Kathleen Weiss Harley,William J Wilhelm.Evidence on strategic allocation of initial public offerings.Journal of Financial Economics[J].2004(37),239—257.
[45] Douglas A Hensler,Martin J Herrera,Lary J Lockwood.The performance of Initial public offerings in the Mexican stock market.Journal of In ternational Money and Finance[J].2004(19),93 —116.
7 Jense M C. The market for corporate contral. Journal of Financial Economics[J]. 1987(11), 5-15.
8 Brennan M, J Franks. Underpricing, Owership, and Contral in Initial Public Offerings of Equity Securities in the UK. Journal of Financial Economics[J]. 1991(45), 391-404.
[1] 陈工孟,芮萌.中国股票市场实证研究[M].大连:东北财经大学,2003.1-31 页.
[2] 施东晖.现代金融学前言[M].上海:上海交通大学出版社,2002.28-96 页.
[3] 翁学东.证券投资心理学[M].北京:经济科学出版社,2003.90-112 页.
[4] 莫琳·伯顿,隆贝拉.金融学[M].北京:中国人民大学,2004.116-258 页.
[5] 上海政权交易所.上证研究[M].上海:复丹大学出版社,2003.68-102 页.
[6] 田政,郭剑,朱晓旭.系统的股市投资研究[M].北京:中国建材工业出版社,2002.78-116 页.
[7] 王江.金融经济学[M].北京:中国人民出版社,2004.56-77 页.
[8] 安东尼·桑德斯.现代金融管理[M].大连:东北财经大学出版社,2003.86-112 页.
[9] 淡儒勇.金融的微观效应考察[J].当代财经.2002(9),46-51 页.
[10] 奥利弗·哈特.企业.合同与财务结构[M].上海:上海三联书社,2004.220-350 页.
[11] 陈上悦,徐晓东.股权结构,企业绩效与投资者利益保护[J].经济研究.2001(1),67-73 页.
[12] 唐宗明,蒋位.中国上市公司大股东侵害度实症研究[J].经济研究.2002(11),98-106 页.
[13] 杨之曙,李子奈.上海股市日内流动性——深度变化实症研究[J].金融研究.2003(6),68-160 页.
[14] 杨之曙,李子奈,汤翼.上海与深圳股票市场开盘方式比较研究[J].中国金融学.2003(1),75-83 页.
[15] 刘力,李文德.中国股票市场首日超额收益研究[J].中国会计与财务研究.2004(4),46-52 页.
[16] 于增彪,梁洪昀.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),45-50 页.
[17] 韩德宗,陈静.中国 IPO 定价偏低的实证研究[J].统计研究.2001(4),12-19 页.
[18] 桑榕.国外股票的 IPO 实证研究及理论解释[J].证券市场导报.2002(5),8-15 页.
[19] 王俊.当代全球 IPO 抑价现象及理论综述[J].证券市场导报.2002(1),43-50 页.
[20] 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),27-32 页.
[21] 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[J].金融研究.2001(2),51-56 页.
[22] 于增彪,梁文涛.股票发行定价体制与新上市 A 股初始投资收益[J].金融研究.2004 (8),9-15 页.
[23] 李江林.中小企业板块的政策效应[J].巨田证券研究.2004(5),16-21 页.
[24] 邹健.核准制下 IPO 抑价率及长期异常收益率影响因素研究[J].深交所研究报告.2003 (9),98-136 页.
[25] 何小锋等.投资银行学[M].北京:中国发展出版社,2002 .77-150 页.
[26] 李广存,陈海明.中国新股短期发行抑价的原因、影响及对策[J].商业研究.2004(16),67-71 页.
[27] 王军波,邓述慧.中国证券一级市场分析[J].管理科学学报.2000 (1),19-23 页.
[28] 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(5),68-91 页.
[29] 卢铁男.抑价理论及其在我国股票发行市场的适用性[J].上海投资.2002(12),31-37 页.
[30] 朱南,卓贤.对我国股票首次公开发行抑价的实征分析[J].财经科学.2004(2),46-53 页.
[31] 张宗新,跳力,厉格非.中国证券市场制度风险的生成及化解[J].经济研究.2001(10),26-33 页.
[32] 杨丹,王莉.中国新股发行抑价:一个假说的检验[J].复旦学报.2002(5),41-47页.
[33] Reena Aggarwal.Allocation of initial public offerings and flipping activity.Journal of Financial Economics[J].2002(68),111—135.
[34] Josvan Bommel.Messages from market to management:the case of IPOs.Journal of Corporate Finance[J].2002(8),123—138.
[35] James R Booth,Lena Chua.Ownership dispersion,costly information,and IPO Underpricing.Journal of Financial Economics[J].1996(41),291—310.
[36] Joseph H Callaghan,Robert T Kleiman,Anandi P Sahu.The market-adjusted Investment performance of ADR IPOs and SEOs.Global Finance Journal[J].2002(10),123—145.
[37] Laura Casares Field,Dennis P Sheehan.IPO underpricing and outside Blockholdings.Journal of Corporate Finance[J].2003(15),18—36.
[38] Kalo k Chan,Junbo Wang,K John Wei.Underpricing and long-term performance Of IPOs in China.Journal of Corporate Finance1[J].2003(83),1—22.
[39] Paul K Chaney,Craig M Lewis.Incoming smoothing and underperformane ininitial public offerings.Journal of Corporate Finance[J].2001(4),1—29.
[40] Bhagwan Chowdhry,Ann Sherman.The winner's curse and international methods Of allocating initial public offerings.Pacific-Basin Finance Journal[J].2000(4),15—30.
[41] Bhagwan Chowdhry,Ann Sherman.International differences in oversubscription and underpricing of IPOs.Journal of Corporate Finance[J].2002(2),359—381.
[42] Yasushi Hamao,Frank Packer,JayR .Riter.Institutional affiliation and the role of Venture capital:Evidence from initial public offerings in Japan.Pacific-Basin Finance Journal[J].2002(8),29—558.
[43] Robert S Hansen.Do investment banks compete in IPOs?the advent of the“7% Plus contract”.Journal of Financial Economics[J].2001(59),313—346.
[44] Kathleen Weiss Harley,William J Wilhelm.Evidence on strategic allocation of initial public offerings.Journal of Financial Economics[J].2004(37),239—257.
[45] Douglas A Hensler,Martin J Herrera,Lary J Lockwood.The performance of Initial public offerings in the Mexican stock market.Journal of In ternational Money and Finance[J].2004(19),93 —116.