我国股份制商业银行IPO定价研究
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摘要
随着中国加入WTO,银行业改革步伐加快,众多股份制商业银行力图通过上市提高自身的核心竞争力,IPO(首次公开发行定价)是上市最关键的问题之一,其是否合理直接影响到银行的整体效率及国有股东的利益。
本文首先对IPO定价的基本理论和国内外研究动态进行系统比较,采用宏观经济指标和8家商业银行的财务数据分析影响我国IPO定价的因素。其次,运用主成分分析法提取影响IPO定价的主要因素(即行业增长率,每股收益,余额存贷比率,净资产增长率及外资入股),借助多因素定价法得出IPO定价回归方程。最后,以该回归方程对两家商业银行IPO定价进行估值。研究表明,该回归方程拟合度良好,但中信银行和工商银行数据显示,其IPO存在抑价现象。研究认为,抑价产生的原因在于我国证券市场尚不完善,银行的管理及股权结构欠佳等。建议应完善证券市场,提高核心竞争力,改善投资者结构,积极应对外资入胶,逐步消除商业银行IPO中的抑价现象。
As China entered WTO, the banking industry accelerates the pace of reform. Many shareholding commercial banks improved their core competition power by listing. IPO is one of the key points of listed company. Whether the IPO is reasonable or not influences whole efficiency of banks and profits of domestic shareholders directly.
At the beginning, this paper analyses the related domestic and abroad research and IPO theories systematically. Also, this paper analyses the factors that influence IPO by using macroscopic economic index and financial data of eight commercial banks. Then, the paper draws the main factors that influence IPO by using the method of Principal component analysis. The main factors are as follows: Industry growth rate, earnings per share, the balance of loan-to-deposit ratio, the net assets of growth and foreign investment shares. This paper gets pricing regression equation by drawing assistance from multi-factors pricing method. At last, this paper takes Citic bank and Industry and Commercial Bank of China as example and according to the research, the equation is well but it reflects IPO is under-pricing. The research reflects that the reasons of under-pricing are imperfective security market and the poor management and ownership structure of banking industry. The paper suggests that we should gradually eliminate IPO under-pricing phenomenon of banks by improving the securities market, enhancing core competitiveness, improving the structure and responding the foreign capital positively.
本文首先对IPO定价的基本理论和国内外研究动态进行系统比较,采用宏观经济指标和8家商业银行的财务数据分析影响我国IPO定价的因素。其次,运用主成分分析法提取影响IPO定价的主要因素(即行业增长率,每股收益,余额存贷比率,净资产增长率及外资入股),借助多因素定价法得出IPO定价回归方程。最后,以该回归方程对两家商业银行IPO定价进行估值。研究表明,该回归方程拟合度良好,但中信银行和工商银行数据显示,其IPO存在抑价现象。研究认为,抑价产生的原因在于我国证券市场尚不完善,银行的管理及股权结构欠佳等。建议应完善证券市场,提高核心竞争力,改善投资者结构,积极应对外资入胶,逐步消除商业银行IPO中的抑价现象。
As China entered WTO, the banking industry accelerates the pace of reform. Many shareholding commercial banks improved their core competition power by listing. IPO is one of the key points of listed company. Whether the IPO is reasonable or not influences whole efficiency of banks and profits of domestic shareholders directly.
At the beginning, this paper analyses the related domestic and abroad research and IPO theories systematically. Also, this paper analyses the factors that influence IPO by using macroscopic economic index and financial data of eight commercial banks. Then, the paper draws the main factors that influence IPO by using the method of Principal component analysis. The main factors are as follows: Industry growth rate, earnings per share, the balance of loan-to-deposit ratio, the net assets of growth and foreign investment shares. This paper gets pricing regression equation by drawing assistance from multi-factors pricing method. At last, this paper takes Citic bank and Industry and Commercial Bank of China as example and according to the research, the equation is well but it reflects IPO is under-pricing. The research reflects that the reasons of under-pricing are imperfective security market and the poor management and ownership structure of banking industry. The paper suggests that we should gradually eliminate IPO under-pricing phenomenon of banks by improving the securities market, enhancing core competitiveness, improving the structure and responding the foreign capital positively.
引文
[1]Allen.F.,Faulhaber,G.R,Signalling by Under pricing in the IPO Market,Journal of Financial Economics,Vol,23,1989,PP:303-323
[2]Benveniste,Lawrence M.,and Paul A.Spindt,1989,How investment Bankers determine the offer price and allocation of new issues,Journalof Financial Economics 24,343-362.
[3]Baron,David P.,1982,a model of the demand for investment banking advising and distribution services for new issues,Journal of Finance 37955-976.
[4]Cornelli,Frabcesca,David Goldreid.Book building and Strategic allocation.[J].Journal of fiance,2001,(56):2337-2369.
[5]Grinblatt.M.,Hwang.C.Y.,Singalling and the Pricing of New Issues,The Journal of Finance,Vol,XLIV,No,2,June 1989,PP:393-420
[6]Hanley,Kathleen Weiss,1993,the under pricing of initial public offerings and the partial adjustment phenomenon,Journal of Financial Economics 34,231-250.
[7]Jegadeesh,Narasilnhan,Mark Weinstein and IvoWelch,1993,An empirical investigation of IPO returns and subsequent equity offerings,Journal of Financial Economics34,153-175.
[8]Jensen,MiehaelC.and WilliamH.Meekling,1976,Theory of the firm:managerial behavior,agency costs and ownership structure,Journal of FinancialEconomics3,no.4:305-360.
[9]JAY R.RITTER and LVO WELCH,A review of IPO activity,pricing,and allocations [J].Journal of Finance,2002,(57).
[10]KIM,and RITTER J.R.,Valuing IPOs.[J]Journal of Financial Economics 1999(53)
[11]Pumananda,AmiyatoshK,and B.Swaminathan,2001,Are IPOs under priced? Unpublished Cornell University working paper.
[12]Rock.K,Why New Issue Are Under pricing,Journal of Financial Economics,1986,PP:187-212
[13]William-F-Sharp,Gordon-J-Alexander.Investments(4th Edition)[M],1995
[14]Welch.I.,Seasoned offerings,imitation costs and the under pricing of initial public offerings,Journal of Finance,1989,PP:421-450
[15]陈工孟,高宁.中国股票一级市场发行抑价的程度及原因[J].金融研究,2000(8).
[16]陈超、陈文斌,2003,“中国股票首次公开发行真的被低估了吗?”,《中国会计评论》第1期。
[17]曹凤岐,董秀良;我国IPO定价合理性的实证分析[J];财经研究;2006年06期
[18]段小明,刘玉山.中国IPO抑价问题及其影响因素分析.哈尔滨理工大学学报[J]2006(2
[19]方莉.我国银行股IPO定价分析及实证研究.[硕士学位论文].东北财经大学.2006(12)
[20]耿建新、周芳.新股发行定价市场化改革实证研究.经济理论经济管理[J]2002(11)
[21]管征.新股发行定价理论回顾及评价.证券与保险[J]2005(8)
[22]贺薇,我国IPO定价机制问题研究,[硕士学位论文].2004,(11)
[23]霍学文、赵军.关于股票定价理论的发展脉络.南开经济研究[J].1998(1)
[24]韩德宗,陈静.中国IPO定价偏低的实证研究.统计研究[J]2001(4)
[25]蒋顺才,蒋永明;我国新股发行制度变迁与IPO高抑价的实证研究[J];海南大学学报(人文社会科学版);2005年03期;
[26]蒋永明,蒋顺才;西方IPO抑价理论及对中国IPO研究的启示[J];财经理论与实践;2006年03.期
[27]刘力 李文德.《中国股市股票上市首日超额收益研究》[J].《中国会计与财务研究》,2000年,第4期
[28]刘康民;新股发行定价方式的演进[J];统计与信息论坛;2001年02期;94-96
[29]刘爱华,孙小波;关于股票发行定价方法的思考[J];会计之友;1997年02期;
[30]刘伟;我国A股IPO抑价因素研究[D];暨南大学;2007年中国博士学位论文全文.
[31]李博,吴世农;首次公开发行股票(IPO)定价模型的评析[J];孝感学院学报;2004年02期;30-34 5
[32]齐春宇.股票发行市场化的顺序--兼论核准制.经济理论与经济管理[J]2001(3)
[33]宋扬;中国A股市场发行抑价问题分析[J];商业研究;2003年03期
[34]唐利民,冯玉明,何旭强;非流通股流通对股市影响的定量分析[J];经济理论与经济管理;2001年04期
[35]王英晓.国有商业银行股票首发(IPO)的定价研究--以中国建设银行IPO定价为视角[硕士学位论文].2006,(5)
[36]王应贵.市盈率与我国新股定价方法.申银万国研究报告。
[37]徐文燕,武康平:《对中国股市新股发行抑价的再思考》[J],山西财经大学学报,2001年第12期.
[38]于栋.股票IPO理论研究新进展.哈尔滨工业大学学报[J]2004(4)
[39]叶华,陈海明.我国新股发行定价的市场化改革的政策效应.南京农业大学学报[J]2005(5)
[40]张洪磊;中国股票市场比较制度分析[D];对外经济贸易大学;2006年
[41]周观君;基于量价分析的中国股票市场价格行为研究[D];首都经济贸易大学;2005年
[2]Benveniste,Lawrence M.,and Paul A.Spindt,1989,How investment Bankers determine the offer price and allocation of new issues,Journalof Financial Economics 24,343-362.
[3]Baron,David P.,1982,a model of the demand for investment banking advising and distribution services for new issues,Journal of Finance 37955-976.
[4]Cornelli,Frabcesca,David Goldreid.Book building and Strategic allocation.[J].Journal of fiance,2001,(56):2337-2369.
[5]Grinblatt.M.,Hwang.C.Y.,Singalling and the Pricing of New Issues,The Journal of Finance,Vol,XLIV,No,2,June 1989,PP:393-420
[6]Hanley,Kathleen Weiss,1993,the under pricing of initial public offerings and the partial adjustment phenomenon,Journal of Financial Economics 34,231-250.
[7]Jegadeesh,Narasilnhan,Mark Weinstein and IvoWelch,1993,An empirical investigation of IPO returns and subsequent equity offerings,Journal of Financial Economics34,153-175.
[8]Jensen,MiehaelC.and WilliamH.Meekling,1976,Theory of the firm:managerial behavior,agency costs and ownership structure,Journal of FinancialEconomics3,no.4:305-360.
[9]JAY R.RITTER and LVO WELCH,A review of IPO activity,pricing,and allocations [J].Journal of Finance,2002,(57).
[10]KIM,and RITTER J.R.,Valuing IPOs.[J]Journal of Financial Economics 1999(53)
[11]Pumananda,AmiyatoshK,and B.Swaminathan,2001,Are IPOs under priced? Unpublished Cornell University working paper.
[12]Rock.K,Why New Issue Are Under pricing,Journal of Financial Economics,1986,PP:187-212
[13]William-F-Sharp,Gordon-J-Alexander.Investments(4th Edition)[M],1995
[14]Welch.I.,Seasoned offerings,imitation costs and the under pricing of initial public offerings,Journal of Finance,1989,PP:421-450
[15]陈工孟,高宁.中国股票一级市场发行抑价的程度及原因[J].金融研究,2000(8).
[16]陈超、陈文斌,2003,“中国股票首次公开发行真的被低估了吗?”,《中国会计评论》第1期。
[17]曹凤岐,董秀良;我国IPO定价合理性的实证分析[J];财经研究;2006年06期
[18]段小明,刘玉山.中国IPO抑价问题及其影响因素分析.哈尔滨理工大学学报[J]2006(2
[19]方莉.我国银行股IPO定价分析及实证研究.[硕士学位论文].东北财经大学.2006(12)
[20]耿建新、周芳.新股发行定价市场化改革实证研究.经济理论经济管理[J]2002(11)
[21]管征.新股发行定价理论回顾及评价.证券与保险[J]2005(8)
[22]贺薇,我国IPO定价机制问题研究,[硕士学位论文].2004,(11)
[23]霍学文、赵军.关于股票定价理论的发展脉络.南开经济研究[J].1998(1)
[24]韩德宗,陈静.中国IPO定价偏低的实证研究.统计研究[J]2001(4)
[25]蒋顺才,蒋永明;我国新股发行制度变迁与IPO高抑价的实证研究[J];海南大学学报(人文社会科学版);2005年03期;
[26]蒋永明,蒋顺才;西方IPO抑价理论及对中国IPO研究的启示[J];财经理论与实践;2006年03.期
[27]刘力 李文德.《中国股市股票上市首日超额收益研究》[J].《中国会计与财务研究》,2000年,第4期
[28]刘康民;新股发行定价方式的演进[J];统计与信息论坛;2001年02期;94-96
[29]刘爱华,孙小波;关于股票发行定价方法的思考[J];会计之友;1997年02期;
[30]刘伟;我国A股IPO抑价因素研究[D];暨南大学;2007年中国博士学位论文全文.
[31]李博,吴世农;首次公开发行股票(IPO)定价模型的评析[J];孝感学院学报;2004年02期;30-34 5
[32]齐春宇.股票发行市场化的顺序--兼论核准制.经济理论与经济管理[J]2001(3)
[33]宋扬;中国A股市场发行抑价问题分析[J];商业研究;2003年03期
[34]唐利民,冯玉明,何旭强;非流通股流通对股市影响的定量分析[J];经济理论与经济管理;2001年04期
[35]王英晓.国有商业银行股票首发(IPO)的定价研究--以中国建设银行IPO定价为视角[硕士学位论文].2006,(5)
[36]王应贵.市盈率与我国新股定价方法.申银万国研究报告。
[37]徐文燕,武康平:《对中国股市新股发行抑价的再思考》[J],山西财经大学学报,2001年第12期.
[38]于栋.股票IPO理论研究新进展.哈尔滨工业大学学报[J]2004(4)
[39]叶华,陈海明.我国新股发行定价的市场化改革的政策效应.南京农业大学学报[J]2005(5)
[40]张洪磊;中国股票市场比较制度分析[D];对外经济贸易大学;2006年
[41]周观君;基于量价分析的中国股票市场价格行为研究[D];首都经济贸易大学;2005年