中国资本市场IPO泡沫及影响因素研究
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摘要
中国股票市场发展至今的二十年间,经历了七次之多的大幅升降起伏。经济理论界议论纷纷,将此看作是股市中的不正常现象,对股市“泡沫”提出警告,希望股票价格向它的内在价值回归。这种议论不仅见之于中国,在国际经济理论界也时有所闻。西方对股市泡沫的研究,分为两个分支领域：理性泡沫学派和行为金融学,在市场是否有效这个基本命题上,对股市泡沫进行检验。我国学者不仅对股市泡沫进行检验,更侧重于研究股市泡沫的计量问题,而西方研究在这方面仍为空白。对于泡沫计量,我国学者主要沿用两条路径进行,直接计算股票基础价值和以收益率表示基础价值水平。但所有这些对股市泡沫的研究,均围绕着二级市场进行,忽略了一级市场与二级市场的紧密关系这一事实。
中国证券市场本质上还是一个新兴加转轨市场,大而不强,依然存在着诸如市场发育不成熟,金融监管能力较弱,相关法律制不完善,结构性问题突出,抵御风险能力小等问题。在这种特殊的制度背景下,研究中国股市泡沫问题,仅仅着眼于二级市场,是不全面的。本文首次从中国资本市场的特殊制度背景和计价模型观出发,以IPO全过程为着眼点进行股市泡沫的研究,并对中国IPO泡沫状况及其影响因素进行了分析。
本文在分析中国证券市场现实情况的基础上,确定研究股市泡沫的着眼点为IPO全过程,这有利于从源头发现和解决股市泡沫问题。根据中国股市的发展状况和上市公司的现实情况,本文还认为,改良后的剩余收益模型最适合于IPO公司计量其基础价值,进而确定IPO泡沫。在此基础上,本文以中国2001～2008年非金融行业的538家IPO公司为样本,考察中国IPO泡沫状况及其影响因素。研究发现,中国存在IPO泡沫——个股IPO泡沫状况显示,中国的新股发行定价并非完全有效,而且发行机制和上市交易机制可能存在脱节的状况；从月度IPO泡沫来看,沪市主板和深市中小板呈现出不同的特征,这可能是因为中小板的新股发行机制更为严格一些。在对IPO泡沫影响因素进行分析时,本文研究发现：(1)个股IPO泡沫影响因素包括：流通股比例、风险因素、发行市盈率、上市首日换手率、每股收益、公司规模、上市首日股指、发行日和上市首日的股指振幅等。如果考虑不同的上市地点、不同的新股发行机制,个股IPO泡沫的影响因素则有所不同,可见,沪市和深市有着不同的定位,此外,新股发行机制的市场化程度正在逐步加大,一级市场与二级市场的互动关系逐渐显现；(2)月度IPO泡沫的影响因素包括：M1增长率、封闭式基金折价率、CPI和ICS,以及发行机制等,但是在不同发行机制阶段,或考虑不同上市地点情况下,影响因素则有所不同。
2009年IPO重启之后,新股发行市场出现了一种异常现象,新股频繁破发。本文以48家破发的IPO股票为样本,检查破发新股的IPO泡沫状况。研究发现,即使是破发的IPO股票,仍然存在泡沫,破发只是IPO泡沫中的上市首日交易泡沫破裂,发行定价泡沫较之以往是扩大了。破发是上市首日交易泡沫对发行定价泡沫的修正,尽管这种修正作用有限。本文认为：破发本身并非“异象”,是市场自发抑制IPO泡沫的行为。但是,如果破发是在特定的时候集中爆发,则显然不是正常的状况,说明证券市场运行环境乃至整个宏观经济状况出现了问题。
本文的研究在理论上为计量新兴市场与转型经济条件下资本市场的金融泡沫的分析框架进行了有益的补充。从实务角度而言,本文的研究结论为监管当局制定公司发行定价、上市交易的管制规则等提供了政策定位及管制程度的决策依据；为投资者(尤其是机构投资者)提供了分析投资价值的一种思路,有助于更充分地实现理性投资；为上市公司和拟上市公司进行有效管理公司股价或价值、实现科学市值管理提供了实用的决策分析手段；为评价中介机构的新股业务行为提供了一个参考标准,有助于中介机构(尤其是投行)规范其估值行为。
In the past two decades since the initiation of China's stock market, seven ups and downs have been witnessed and widely discussed by economic theorists, who defined the phenomenon abnormal, and warned people of the stock market "bubble" based on the hope that the stock price can return to its intrinsic value. The discussion is not only confined in China but also attracted international economic theorists. Studies on stock market bubble in the West are divided into two branches, as rational bubble and behavioral finance. Both are based on the fundamental proposition of the validity of the market to test the stock market bubble. Different from related studies in the West, in addition to the verification of stock market "bubble" in terms of measurement studies on the bubble among Chinese scholars, more attention has been placed on its measurement, which remains unexplored in the West. As for measuring the bubble, Chinese scholars mainly adopt two approaches, as direct calculation of the stock value basis and value basis expressed by rate of return. Yet, all those studies on the stock market bubble have been conducted based on the secondary market, ignoring the close relationship between the primary market and secondary market.
China's stock market is essentially an emerging and transitional market. Despite the significant size, it is not so competitive, demonstrating defects such as immature market development, incomplete financial supervision, imperfect legal system, highlighted structural problems, incompetence in its capacity of fighting risks. Under such a particular system background, the studying of China's stock market bubble solely based on the secondary market is incomplete. This paper makes the first attempt to start from the special system background and valuation model of China's capital market and valuation model, and focus on the whole process of IPO for the research into the stock market bubble, and analyze the current situation as well as its influencing factors of IPO bubble in China.
This paper, on the basis of the analysis on the reality of China's securities market, determined the focus of the study as the entire process of IPO. According to the development of China's stock market as well as the reality of listed companies, the improved residual income model can best fit the measurement of value basis of IPO companies so as to validate the IPO bubble. On this basis, this paper selected samples of538IPO companies in non-financial sector from2001to2008to investigate IPO bubble and its influential factors. Then, upon the discovery of IPO bubble in China, it can be seen from IPO of individual shares that the issue and pricing of new shares may not be completely effective in China. Besides, the issue mechanism and the listing mechanism may be conflicted. From the monthly IPO bubble, main board of Shanghai Stock and the medium and small board of Shenzhen Stock presented different characteristics, and we attribute this to the stricter issue mechanism of new shares in the medium and small board. In the analysis of its influencing factors, this paper found that:(1) influencing factors of IPO bubble of individual shares include: the proportion of tradable shares, risk factors, IPO P/E ratio, first day turnover rate after listing, earnings per share, company size, stock index and the amplitude of first day stock index after listing, release date and so on. If different listing locations and issue mechanism of new shares are considered, the influencing factors of IPO bubble of individual shares will be found different, indicating different positioning between two markets. In addition, the reliance on market of issue mechanism of new shares has been gradually extended, revealing a more and more obvious interaction relation between the primary market and the secondary market;(2) the influencing factors of monthly IPO bubble include:M1growth rate, closed-end fund discount rate, CPI and ICS, as well as the issue mechanism. Yet, at different stages of the mechanism, or given different listing locations, the influencing factors should be considered differently.
Since the restart of IPO in2009, an abnormal phenomenon has haunted the issue market of new shares in the form of falling on its first day of trading. In the paper, the target shares of48companies are selected as samples to investigate the IPO bubble of those new shares. Bubble was found even in those IPO shares. The break only represents bubble burst in the first day of trading of IPO bubble. The bubble in issue and pricing is enlarged compared with the previous ones while the break can be regarded as a modulation of the issue and pricing in the first day of trading, though with a limited effect. This paper holds the idea that the break itself should not be regarded as "in the first day of trading" but the automatic suppression of IPO bubble driven by the market. However, if the break occurs collectively during a specific period, it should not be verified as a normal condition, but indicating problems occurred in the entire operating environment, even in the whole macro-economy.
This study provided effective theoretical supports for the analytical framework of the financial bubble of the capital market under the emerging markets and transition economies. Practically, the research conclusions provided decision-making basis of policy positioning and regulatory levels for regulatory authorities in developing company regulatory rules in terms of issue and pricing, listing and trading. The paper also put forward a new approach for investors (especially institutional investors) to analyze investment value, which is conducive to improve the accomplishment of rational investment; a pragmatic means of decision analysis for listed companies and companies to be listed in effective management of share price or value as well as scientific market value management; a reference standard for the evaluation of new shares of agencies, which is conducive for agencies (especially investment banks) to regulate valuation behaviors.
中国证券市场本质上还是一个新兴加转轨市场,大而不强,依然存在着诸如市场发育不成熟,金融监管能力较弱,相关法律制不完善,结构性问题突出,抵御风险能力小等问题。在这种特殊的制度背景下,研究中国股市泡沫问题,仅仅着眼于二级市场,是不全面的。本文首次从中国资本市场的特殊制度背景和计价模型观出发,以IPO全过程为着眼点进行股市泡沫的研究,并对中国IPO泡沫状况及其影响因素进行了分析。
本文在分析中国证券市场现实情况的基础上,确定研究股市泡沫的着眼点为IPO全过程,这有利于从源头发现和解决股市泡沫问题。根据中国股市的发展状况和上市公司的现实情况,本文还认为,改良后的剩余收益模型最适合于IPO公司计量其基础价值,进而确定IPO泡沫。在此基础上,本文以中国2001～2008年非金融行业的538家IPO公司为样本,考察中国IPO泡沫状况及其影响因素。研究发现,中国存在IPO泡沫——个股IPO泡沫状况显示,中国的新股发行定价并非完全有效,而且发行机制和上市交易机制可能存在脱节的状况；从月度IPO泡沫来看,沪市主板和深市中小板呈现出不同的特征,这可能是因为中小板的新股发行机制更为严格一些。在对IPO泡沫影响因素进行分析时,本文研究发现：(1)个股IPO泡沫影响因素包括：流通股比例、风险因素、发行市盈率、上市首日换手率、每股收益、公司规模、上市首日股指、发行日和上市首日的股指振幅等。如果考虑不同的上市地点、不同的新股发行机制,个股IPO泡沫的影响因素则有所不同,可见,沪市和深市有着不同的定位,此外,新股发行机制的市场化程度正在逐步加大,一级市场与二级市场的互动关系逐渐显现；(2)月度IPO泡沫的影响因素包括：M1增长率、封闭式基金折价率、CPI和ICS,以及发行机制等,但是在不同发行机制阶段,或考虑不同上市地点情况下,影响因素则有所不同。
2009年IPO重启之后,新股发行市场出现了一种异常现象,新股频繁破发。本文以48家破发的IPO股票为样本,检查破发新股的IPO泡沫状况。研究发现,即使是破发的IPO股票,仍然存在泡沫,破发只是IPO泡沫中的上市首日交易泡沫破裂,发行定价泡沫较之以往是扩大了。破发是上市首日交易泡沫对发行定价泡沫的修正,尽管这种修正作用有限。本文认为：破发本身并非“异象”,是市场自发抑制IPO泡沫的行为。但是,如果破发是在特定的时候集中爆发,则显然不是正常的状况,说明证券市场运行环境乃至整个宏观经济状况出现了问题。
本文的研究在理论上为计量新兴市场与转型经济条件下资本市场的金融泡沫的分析框架进行了有益的补充。从实务角度而言,本文的研究结论为监管当局制定公司发行定价、上市交易的管制规则等提供了政策定位及管制程度的决策依据；为投资者(尤其是机构投资者)提供了分析投资价值的一种思路,有助于更充分地实现理性投资；为上市公司和拟上市公司进行有效管理公司股价或价值、实现科学市值管理提供了实用的决策分析手段；为评价中介机构的新股业务行为提供了一个参考标准,有助于中介机构(尤其是投行)规范其估值行为。
In the past two decades since the initiation of China's stock market, seven ups and downs have been witnessed and widely discussed by economic theorists, who defined the phenomenon abnormal, and warned people of the stock market "bubble" based on the hope that the stock price can return to its intrinsic value. The discussion is not only confined in China but also attracted international economic theorists. Studies on stock market bubble in the West are divided into two branches, as rational bubble and behavioral finance. Both are based on the fundamental proposition of the validity of the market to test the stock market bubble. Different from related studies in the West, in addition to the verification of stock market "bubble" in terms of measurement studies on the bubble among Chinese scholars, more attention has been placed on its measurement, which remains unexplored in the West. As for measuring the bubble, Chinese scholars mainly adopt two approaches, as direct calculation of the stock value basis and value basis expressed by rate of return. Yet, all those studies on the stock market bubble have been conducted based on the secondary market, ignoring the close relationship between the primary market and secondary market.
China's stock market is essentially an emerging and transitional market. Despite the significant size, it is not so competitive, demonstrating defects such as immature market development, incomplete financial supervision, imperfect legal system, highlighted structural problems, incompetence in its capacity of fighting risks. Under such a particular system background, the studying of China's stock market bubble solely based on the secondary market is incomplete. This paper makes the first attempt to start from the special system background and valuation model of China's capital market and valuation model, and focus on the whole process of IPO for the research into the stock market bubble, and analyze the current situation as well as its influencing factors of IPO bubble in China.
This paper, on the basis of the analysis on the reality of China's securities market, determined the focus of the study as the entire process of IPO. According to the development of China's stock market as well as the reality of listed companies, the improved residual income model can best fit the measurement of value basis of IPO companies so as to validate the IPO bubble. On this basis, this paper selected samples of538IPO companies in non-financial sector from2001to2008to investigate IPO bubble and its influential factors. Then, upon the discovery of IPO bubble in China, it can be seen from IPO of individual shares that the issue and pricing of new shares may not be completely effective in China. Besides, the issue mechanism and the listing mechanism may be conflicted. From the monthly IPO bubble, main board of Shanghai Stock and the medium and small board of Shenzhen Stock presented different characteristics, and we attribute this to the stricter issue mechanism of new shares in the medium and small board. In the analysis of its influencing factors, this paper found that:(1) influencing factors of IPO bubble of individual shares include: the proportion of tradable shares, risk factors, IPO P/E ratio, first day turnover rate after listing, earnings per share, company size, stock index and the amplitude of first day stock index after listing, release date and so on. If different listing locations and issue mechanism of new shares are considered, the influencing factors of IPO bubble of individual shares will be found different, indicating different positioning between two markets. In addition, the reliance on market of issue mechanism of new shares has been gradually extended, revealing a more and more obvious interaction relation between the primary market and the secondary market;(2) the influencing factors of monthly IPO bubble include:M1growth rate, closed-end fund discount rate, CPI and ICS, as well as the issue mechanism. Yet, at different stages of the mechanism, or given different listing locations, the influencing factors should be considered differently.
Since the restart of IPO in2009, an abnormal phenomenon has haunted the issue market of new shares in the form of falling on its first day of trading. In the paper, the target shares of48companies are selected as samples to investigate the IPO bubble of those new shares. Bubble was found even in those IPO shares. The break only represents bubble burst in the first day of trading of IPO bubble. The bubble in issue and pricing is enlarged compared with the previous ones while the break can be regarded as a modulation of the issue and pricing in the first day of trading, though with a limited effect. This paper holds the idea that the break itself should not be regarded as "in the first day of trading" but the automatic suppression of IPO bubble driven by the market. However, if the break occurs collectively during a specific period, it should not be verified as a normal condition, but indicating problems occurred in the entire operating environment, even in the whole macro-economy.
This study provided effective theoretical supports for the analytical framework of the financial bubble of the capital market under the emerging markets and transition economies. Practically, the research conclusions provided decision-making basis of policy positioning and regulatory levels for regulatory authorities in developing company regulatory rules in terms of issue and pricing, listing and trading. The paper also put forward a new approach for investors (especially institutional investors) to analyze investment value, which is conducive to improve the accomplishment of rational investment; a pragmatic means of decision analysis for listed companies and companies to be listed in effective management of share price or value as well as scientific market value management; a reference standard for the evaluation of new shares of agencies, which is conducive for agencies (especially investment banks) to regulate valuation behaviors.
引文
1 《辞海》,上海辞书出版社1979年版。
2 《新帕尔格雷夫经济学大辞典》第一卷(中译本),经济科学出版社1992年版。
1 《马克思恩格斯全集》第25卷,人民出版社1974年版。
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1 《马克思恩格斯全集》第25卷,人民出版社1974年版。
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