中国上证A股IPO折价实证研究—不同发行准入制度下的比较分析
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摘要
IPO折价是指股票的发行价格低于上市首日价格,从而产生正的初始回报的现象。IPO折价问题普遍存在于全球新股发行市场,到目前为止,IPO折价仍然是困扰金融学界的难题,国内外许多学者从不同的理论和实证角度对这一现象进行了解释。
全文共分为五章:
第一章为绪论,简单介绍了本文的背景意义、研究思路及特点等。
第二章为国内外文献综述,介绍了国外关于IPO折价的理论以及国内外的实证研究结果,并对国内外理论及实证结果进行了简要评价。
第三章为发行制度概述,简单阐述了不同的股票发行制度以及各种制度的特点及影响。
第四章为IPO折价实证研究部分,分四阶段研究了我国在不同发行制度下的IPO折价特征。通过研究我们发现我国证券市场IPO折价率呈现两个主要特征:一是其绝对值远远高于国外市场平均水平;二是近年来有逐年下降的趋势,但仍处于高位运行状态。同时,我们发现随着发行制度的完善,大部分指标的显著性逐渐增强,更具有解释能力。
第五章为结论与政策建议,深入分析了我国IPO折价的深层次原因,包括:发行制度不健全;股票供给不足;投资者不够成熟;券商没有发挥中介机构应有的作用。并据此提出政策建议,为股市的健康发展提供政策参考。
IPO(Initial public offerings) underpricing refers to the phenomenon that the issue price is lower than the first-day market closing price, which brings the positive initial returns. The problem of BPO underpricing exists in the global new stock issuing market universally, until now, it is still a puzzle of the kingdom of finance, many native and foreign scholars have explained the phenomenon from different angles both theoretically and empirically.
The paper is divided into five chapters:The first chapter is introduction, which introduces the paper's background, meaning, train of thought and characteristics etc..
The second chapter is the domestic and foreign review of literature, which introduces foreign theories of IPO underpricing and the empirical research both at home and abroad.
The third chapter is summary of issue institution, which introduces different issue institutions and their characteristics.
The fourth chapter is empirical research, which studies the IPO underpricing characteristics in different issue institutions from four stages. Then we find that our countries' stock market IPO underpricing has two main characteristics: one is that its absolute value is even more higher than the average value of foreign market; another is that it presents downward trend, but still lies in high level. Meanwhile,we find that most of the indexes' significance is increasing gradually and its explanation is much stronger.
The fifth chapter is conclusion and policy suggestions, analyses the deep-seated reasons of IPO underpricing, which include: the imperfect issue institution; the undersupplying of the stock; the immature investors; the securities company don't play their role as the intermediaries. Tthen according to the reasons, we give some suggestions for the stock market's healthy development.
全文共分为五章:
第一章为绪论,简单介绍了本文的背景意义、研究思路及特点等。
第二章为国内外文献综述,介绍了国外关于IPO折价的理论以及国内外的实证研究结果,并对国内外理论及实证结果进行了简要评价。
第三章为发行制度概述,简单阐述了不同的股票发行制度以及各种制度的特点及影响。
第四章为IPO折价实证研究部分,分四阶段研究了我国在不同发行制度下的IPO折价特征。通过研究我们发现我国证券市场IPO折价率呈现两个主要特征:一是其绝对值远远高于国外市场平均水平;二是近年来有逐年下降的趋势,但仍处于高位运行状态。同时,我们发现随着发行制度的完善,大部分指标的显著性逐渐增强,更具有解释能力。
第五章为结论与政策建议,深入分析了我国IPO折价的深层次原因,包括:发行制度不健全;股票供给不足;投资者不够成熟;券商没有发挥中介机构应有的作用。并据此提出政策建议,为股市的健康发展提供政策参考。
IPO(Initial public offerings) underpricing refers to the phenomenon that the issue price is lower than the first-day market closing price, which brings the positive initial returns. The problem of BPO underpricing exists in the global new stock issuing market universally, until now, it is still a puzzle of the kingdom of finance, many native and foreign scholars have explained the phenomenon from different angles both theoretically and empirically.
The paper is divided into five chapters:The first chapter is introduction, which introduces the paper's background, meaning, train of thought and characteristics etc..
The second chapter is the domestic and foreign review of literature, which introduces foreign theories of IPO underpricing and the empirical research both at home and abroad.
The third chapter is summary of issue institution, which introduces different issue institutions and their characteristics.
The fourth chapter is empirical research, which studies the IPO underpricing characteristics in different issue institutions from four stages. Then we find that our countries' stock market IPO underpricing has two main characteristics: one is that its absolute value is even more higher than the average value of foreign market; another is that it presents downward trend, but still lies in high level. Meanwhile,we find that most of the indexes' significance is increasing gradually and its explanation is much stronger.
The fifth chapter is conclusion and policy suggestions, analyses the deep-seated reasons of IPO underpricing, which include: the imperfect issue institution; the undersupplying of the stock; the immature investors; the securities company don't play their role as the intermediaries. Tthen according to the reasons, we give some suggestions for the stock market's healthy development.
引文
[1]"IPO:The first offering of the shares of a company to the public."Investments Fifth Edition Sharpe.Alexander and Blley.1995 Prentice-Hall International.
[2]Rock,1986,Why new issues are underpriced,Joumal of Financial Economics,15,187-212
[3]Beatty and Ritter,1986,Investment Banking,Reputation and underpricing of initial Public offerings,Journal of Financial Economics,15,213-232
[4]Francis Koh and Terry Walter.1989.A Direr Test of Rock's Model of the Pricing of Unseasoned Issues.Journal of Financial Economics,23,251-272
[5]Spense.1973.Job Market Signaling.The Quality Journal of Economics,Vol.87,No.3,355-374
[6]Carter,R.and S.Manaster,1990,Initial Public Offerings and Underwriter Reputation,Journal of Finance 45,1045-1067
[7]Aggarwal R,Leal R and Hernanadez L.,1993,The Aftermarket Performance of Initial Public Offerings in Latin America.Financial Management 22,42-53
[8]Jenkinson,1996.An Empirical Investigation of IPORetums and Subsequent Equity Offerings,Joumal of Financial Economics 34,153-175
[9]Roger.G.Ibbotson,1975,"Price Performance of Common Stock New Issues",Joumal of Finance Economics,2,235-272 在这篇文章中,Ibbotson 将"the underpricing phenomenon","the hot issue market"以及"the long-run performance”合称为IPO之谜(mystery).
[10]数据来源:Wind数据库,大智慧,上海证券交易所。
[1]Allen,Franklin and Gerald R.Faulhbaber,1989,signaling by underpricing in the IPO market[J].Journal of Financial Econnomics,23,303-324
[2]Baron David,1982,A model of demand of investment banking advising and distribution services for new issues[J].Journal of Finance,37,955-976
[3]Benveniste,Lawrence M.and Paul A.Spindt,1989,How investment bankers determine the offer price.and allocation of new issues[J]Journal of Financial Economics,24,343-362
[4]Brennan,Michael,and Julian Franks,1997,Underprieing,Ownership and Control inlnitial Public Offerings of Equity Securities in the UK[J],Journal of Financial Economics 45,391-413
[5]Cai,Jun and Wei,K.C.,1997,The investment and operating performance of Japaneseinitial public offerings[J],Pacific-Basin Finance Journal 5,389-417
[6]Campbell,J.Y.and A.Kyle,1993,Smart Money,Noise Trading,and Stock Price Behavior[J],Review of Economic Studies 60,1-34
[7]Carter,Richard B.,Frederick H.Dark and Alan K.Singh,1998,Underwriter Reputation,Initial Returns,and the Long-run Performance of IPO Stocks[J],Journal of Finance 53,285-311
[8]Carter,R.and S.Manaster,1990,Initial Public Offerings and Underwriter Reputation[J],Journal of Finance 45,1045-1067
[9]Chert,Gongmeng,Michael Firth and Jeong-Bon Kim,2004[J],Journal of Multinational Financial Management 14,283-302
[10]Claessens,S.,S.Djankov and H.P.Lang,2000,The Separation of Ownership andControl in East Asian Corporations[J],Journal of Financial Economics 58,81-112
[11]Clarkson,P.and J.Merkley,1994,Ex Ante Uncertainty and the Underpricing of Initial Public Offering:Further Canadian Evidence[J],Canadian Journal of Administrative Sciences,11,54-67
[12]Cornelli,F.and D.Goldreich,2001,Bookbuilding and Strategic Allocation[J],Journal of Finance 56,2337-2370
[13]Daniel,K.D.,Hirshleifer,D.and Subrahmanyam,A.,1998.Investor Psychology and Security Market Under- and Over-reactions[J],Journal of Finance 53, 1839-1886
[14]D'Avolio,Gene,2002,The Market for Borrowing Stock[J],Journal of Financial Economics 66,271-306
[15]Ibbotson.K.G and J.R.Ritter,1995,initial public offerings,Chapter 30 of North-Holland Hand books of operations research and management Science[M],Vol.9.
[16]Ritter,Jay R.(1984a) "the 'hot issue' market of 1980"[J],Journal of Bussiness,57,215-240
[17]Rock.Kevin,1986,why new issues are underpriced,Journal of Financial Economics[J],15,187-212
[18]Tim Jenkinson and Alexander Ljugqvist,Going Public-The Theory and Evidence on how Company Equity Finance[M]
[19]Tmic Seha M.,1988,Anatomy of initial public offerings of common stock[J].Jounral of Finance,43,789-822
[20]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
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[22]陈工孟、高宁.中国股票一级市场发行折价的程度与原因[J].金融研究,2000.8
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[29]杨丹、王莉.中国新股发行折价:一个假说的检验[J],复旦学报,2001.5
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[32]卓贤.中国IPO折价与发行方式的实证分析[J].会计之友,2003.11
[33]王春峰、姚锦.中国股票发行市场价值低估现象实证[J].天津大学学报,2002.4
[34]刘煌辉、熊鹏.股权分置、政府管制和中国IPO折价[J].经济研究,2005.5
[35]李建超、周悼华.中小企业板IPO折价现象实证研究[J].软科学,2005.5
[36]深圳证券信自、有限公司主编.市场化的脚步一一股票发行核准制.广西人民出版社,2001,p43-53
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[38]浦剑悦,韩杨.新股发行折价的两种模型检验[J].南开管理评论,2006.4
[39]杜萃,梁洪峋,宋逢明.中国A股市场初始回报率研究[J].管理科学学报,2001.8
[41]沈艺峰,陈雪颖.我国首次公开发行股票的实证研究[J].厦门大学学报,2006.2
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[43]末逢明,梁洪的.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
[44]田嘉,占卫华.投资银行的声誉与WO定价偏低关系的实证研究[J].中国社会科学院研究生院学报,2000.4
[45]戴强,汪金龙.中国A'B股新股发行首日超常收益率实证研究[J].经济问题索,2003.4
[46]朱南,卓贤对中国股票首次公开发行折价的实证分析[J].财经科学,2004.2
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[57]邹海峰、陈小悦.新股折价现象的实证研究[J].清华大学学报,2006.1
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[59]俞颖.我国新股上市定价效率的实证研究[J].华南理工大学学报,2005.4
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[61]高敏.核准制下承销商声誉与IPO折价研究[J].财会研究,2006.11
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[2]Rock,1986,Why new issues are underpriced,Joumal of Financial Economics,15,187-212
[3]Beatty and Ritter,1986,Investment Banking,Reputation and underpricing of initial Public offerings,Journal of Financial Economics,15,213-232
[4]Francis Koh and Terry Walter.1989.A Direr Test of Rock's Model of the Pricing of Unseasoned Issues.Journal of Financial Economics,23,251-272
[5]Spense.1973.Job Market Signaling.The Quality Journal of Economics,Vol.87,No.3,355-374
[6]Carter,R.and S.Manaster,1990,Initial Public Offerings and Underwriter Reputation,Journal of Finance 45,1045-1067
[7]Aggarwal R,Leal R and Hernanadez L.,1993,The Aftermarket Performance of Initial Public Offerings in Latin America.Financial Management 22,42-53
[8]Jenkinson,1996.An Empirical Investigation of IPORetums and Subsequent Equity Offerings,Joumal of Financial Economics 34,153-175
[9]Roger.G.Ibbotson,1975,"Price Performance of Common Stock New Issues",Joumal of Finance Economics,2,235-272 在这篇文章中,Ibbotson 将"the underpricing phenomenon","the hot issue market"以及"the long-run performance”合称为IPO之谜(mystery).
[10]数据来源:Wind数据库,大智慧,上海证券交易所。
[1]Allen,Franklin and Gerald R.Faulhbaber,1989,signaling by underpricing in the IPO market[J].Journal of Financial Econnomics,23,303-324
[2]Baron David,1982,A model of demand of investment banking advising and distribution services for new issues[J].Journal of Finance,37,955-976
[3]Benveniste,Lawrence M.and Paul A.Spindt,1989,How investment bankers determine the offer price.and allocation of new issues[J]Journal of Financial Economics,24,343-362
[4]Brennan,Michael,and Julian Franks,1997,Underprieing,Ownership and Control inlnitial Public Offerings of Equity Securities in the UK[J],Journal of Financial Economics 45,391-413
[5]Cai,Jun and Wei,K.C.,1997,The investment and operating performance of Japaneseinitial public offerings[J],Pacific-Basin Finance Journal 5,389-417
[6]Campbell,J.Y.and A.Kyle,1993,Smart Money,Noise Trading,and Stock Price Behavior[J],Review of Economic Studies 60,1-34
[7]Carter,Richard B.,Frederick H.Dark and Alan K.Singh,1998,Underwriter Reputation,Initial Returns,and the Long-run Performance of IPO Stocks[J],Journal of Finance 53,285-311
[8]Carter,R.and S.Manaster,1990,Initial Public Offerings and Underwriter Reputation[J],Journal of Finance 45,1045-1067
[9]Chert,Gongmeng,Michael Firth and Jeong-Bon Kim,2004[J],Journal of Multinational Financial Management 14,283-302
[10]Claessens,S.,S.Djankov and H.P.Lang,2000,The Separation of Ownership andControl in East Asian Corporations[J],Journal of Financial Economics 58,81-112
[11]Clarkson,P.and J.Merkley,1994,Ex Ante Uncertainty and the Underpricing of Initial Public Offering:Further Canadian Evidence[J],Canadian Journal of Administrative Sciences,11,54-67
[12]Cornelli,F.and D.Goldreich,2001,Bookbuilding and Strategic Allocation[J],Journal of Finance 56,2337-2370
[13]Daniel,K.D.,Hirshleifer,D.and Subrahmanyam,A.,1998.Investor Psychology and Security Market Under- and Over-reactions[J],Journal of Finance 53, 1839-1886
[14]D'Avolio,Gene,2002,The Market for Borrowing Stock[J],Journal of Financial Economics 66,271-306
[15]Ibbotson.K.G and J.R.Ritter,1995,initial public offerings,Chapter 30 of North-Holland Hand books of operations research and management Science[M],Vol.9.
[16]Ritter,Jay R.(1984a) "the 'hot issue' market of 1980"[J],Journal of Bussiness,57,215-240
[17]Rock.Kevin,1986,why new issues are underpriced,Journal of Financial Economics[J],15,187-212
[18]Tim Jenkinson and Alexander Ljugqvist,Going Public-The Theory and Evidence on how Company Equity Finance[M]
[19]Tmic Seha M.,1988,Anatomy of initial public offerings of common stock[J].Jounral of Finance,43,789-822
[20]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
[21]吕斌、李国秋.新股发行方式与上市方式的联动改革[J].经济导刊,1999.2
[22]陈工孟、高宁.中国股票一级市场发行折价的程度与原因[J].金融研究,2000.8
[23]胡继之、于华.影响中国股市价格波动若干因素的实证分析[J].中国社会科学,1999.3
[24]王军波、邓述惠.中国证券一级市场分析[J].管理科学学报,20003
[25]李博、吴世农.中国股市新股发行(IPOs)的初始收益率研究[J].南开管理评论,2000.5
[26]黄新建.影响上市公司首次公开发行股票折价的实证分析[J].经理论与实践,2002.4
[27]靳云汇、杨文.新股折价现象的实证分析[J].统计研究,2003.3
[28]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]杨丹、王莉.中国新股发行折价:一个假说的检验[J],复旦学报,2001.5
[30]刘太阳、叶中行.中国上市公司折价率的实证研究[J].上海交通大学学报,2005.10
[31]陆建军.中国股票市场新股发行高折价率的实证分析[J].华南金融研究,2002.8
[32]卓贤.中国IPO折价与发行方式的实证分析[J].会计之友,2003.11
[33]王春峰、姚锦.中国股票发行市场价值低估现象实证[J].天津大学学报,2002.4
[34]刘煌辉、熊鹏.股权分置、政府管制和中国IPO折价[J].经济研究,2005.5
[35]李建超、周悼华.中小企业板IPO折价现象实证研究[J].软科学,2005.5
[36]深圳证券信自、有限公司主编.市场化的脚步一一股票发行核准制.广西人民出版社,2001,p43-53
[37]黄新建.影响上市公司首次公开发行股票折价的实证分析[J].经理论与实践,2002.4
[38]浦剑悦,韩杨.新股发行折价的两种模型检验[J].南开管理评论,2006.4
[39]杜萃,梁洪峋,宋逢明.中国A股市场初始回报率研究[J].管理科学学报,2001.8
[41]沈艺峰,陈雪颖.我国首次公开发行股票的实证研究[J].厦门大学学报,2006.2
[42]陈共社、周升业、吴晓求.证券发行与承销[M].中国财政经济出版社,2007
[43]末逢明,梁洪的.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
[44]田嘉,占卫华.投资银行的声誉与WO定价偏低关系的实证研究[J].中国社会科学院研究生院学报,2000.4
[45]戴强,汪金龙.中国A'B股新股发行首日超常收益率实证研究[J].经济问题索,2003.4
[46]朱南,卓贤对中国股票首次公开发行折价的实证分析[J].财经科学,2004.2
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