新股发行定价问题研究
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摘要
首次公开发行(Initial public offer，以下简称新股发行)是股份公司由少数人持股(Privately-held)向公众持股(Public-held)转变的重要步骤。新股发行业务的核心环节是发行定价，定价是否合理不仅关系到发行人、投资者与承销商的切身利益，而且关系到股票市场资源配置功能的发挥。从各国发行实践看，判断发行定价是否合理的主要标准是，发行价的确定是否以预期的二级市场价格作为定价基础。新股发行价格适度低于二级市场上市价格是普遍存在的，即存在“发行抑价”现象(IPO Under pricing)。但如果发行定价与二级市场价格相差过大，则说明发行定价方式存在一定的不合理性。推进发行定价方式的市场化，使发行定价贴近二级市场价格是各国发行市场制度建设的重要组成部分。
我国的股票市场是在由计划经济向市场经济过渡的特殊历史时期诞生并发展起来的，新股发行定价方式经历了由行政定价逐步向市场化定价演变的过程。在我国的股票市场中，发行抑价现象非常严重。因此，如何提高发行定价的市场化程度，降低新股发行抑价，成为我国发行制度改革的核心任务。本论文的基本目的就是通过对国际国内新股发行定价的理论研究和实证分析，为我国发行定价方式的市场化改革提供参考。
论文共分为4个部分。第一部分介绍新股发行抑价现象，分析造成新股发行抑价的原因。第二部分介绍新股发行定价的估值方法。第三部分对国际上常用的市场化定价方式进行比较分析，探讨不同发行定价方式的优缺点。第四部分总结了我国新股发行定价方式由行政定价方式向市场化定价方式逐步转变的过程，分析实施效果和存在的问题并提出进一步完善新股发行市场化定价方式的建议。
For the joint-stock company the initial public offer is a vital step from the privately held to the public-held. The successful offer can not only enlist funds needed for the manufacture, heighten its popularity, optimize the structure of the capital, but also facilitate enhancement of the management structure, and lay a solid foundation for its sustainable development. The core of the new offer is offer pricing. And its rationality will determine not only the interest of the issuers, investors and underwriters themselves but also the functional performance of the resource configuration in the stock market and the healthy operation of the second-class market. According to the IPO practice in the other countries, the main standard of judging the rationality of the offer pricing is that whether the pricing is based on the base of the anticipatory second-class market. It is ubiquitous that the price of the new stock is relatively less expensive than that in the second-class market, namely IPO under pricing. But if there is a big difference in price between the new offer and the second-class market, it will indicate that there is irrationality in the way of the IPO pricing. To further the marketing of the offer and pricing and to make it close to the second-class market price is a vital integral part in system construction of the stock offering market across countries.
Chinese stock market was born and developed in a special period during the shift from the planned economy to the market economy. We saw the pricing process from government-oriented to market-oriented. In Chinese stock market, IPO under pricing is very serious. So the core task in the reform of the offering system is how to further the extent of the marketing of the offer pricing. And the purpose of the thesis is to provide references for the reform of pricing marketing through theoretical research and analysis of the IPO pricing both at home and abroad.
The thesis consists of 4 parts as follows: The first part introduces the IPO under pricing and analyzes its reason; The second part introduces the methods of IPO pricing estimation; The third part analyzes comparably the international market pricing and studies the advantages and disadvantages of IPO pricing; The fourth part sums up the evolution of Chinese IPO pricing methods and analyzes the problems and puts forward the advice of perfecting the IPO pricing.
我国的股票市场是在由计划经济向市场经济过渡的特殊历史时期诞生并发展起来的，新股发行定价方式经历了由行政定价逐步向市场化定价演变的过程。在我国的股票市场中，发行抑价现象非常严重。因此，如何提高发行定价的市场化程度，降低新股发行抑价，成为我国发行制度改革的核心任务。本论文的基本目的就是通过对国际国内新股发行定价的理论研究和实证分析，为我国发行定价方式的市场化改革提供参考。
论文共分为4个部分。第一部分介绍新股发行抑价现象，分析造成新股发行抑价的原因。第二部分介绍新股发行定价的估值方法。第三部分对国际上常用的市场化定价方式进行比较分析，探讨不同发行定价方式的优缺点。第四部分总结了我国新股发行定价方式由行政定价方式向市场化定价方式逐步转变的过程，分析实施效果和存在的问题并提出进一步完善新股发行市场化定价方式的建议。
For the joint-stock company the initial public offer is a vital step from the privately held to the public-held. The successful offer can not only enlist funds needed for the manufacture, heighten its popularity, optimize the structure of the capital, but also facilitate enhancement of the management structure, and lay a solid foundation for its sustainable development. The core of the new offer is offer pricing. And its rationality will determine not only the interest of the issuers, investors and underwriters themselves but also the functional performance of the resource configuration in the stock market and the healthy operation of the second-class market. According to the IPO practice in the other countries, the main standard of judging the rationality of the offer pricing is that whether the pricing is based on the base of the anticipatory second-class market. It is ubiquitous that the price of the new stock is relatively less expensive than that in the second-class market, namely IPO under pricing. But if there is a big difference in price between the new offer and the second-class market, it will indicate that there is irrationality in the way of the IPO pricing. To further the marketing of the offer and pricing and to make it close to the second-class market price is a vital integral part in system construction of the stock offering market across countries.
Chinese stock market was born and developed in a special period during the shift from the planned economy to the market economy. We saw the pricing process from government-oriented to market-oriented. In Chinese stock market, IPO under pricing is very serious. So the core task in the reform of the offering system is how to further the extent of the marketing of the offer pricing. And the purpose of the thesis is to provide references for the reform of pricing marketing through theoretical research and analysis of the IPO pricing both at home and abroad.
The thesis consists of 4 parts as follows: The first part introduces the IPO under pricing and analyzes its reason; The second part introduces the methods of IPO pricing estimation; The third part analyzes comparably the international market pricing and studies the advantages and disadvantages of IPO pricing; The fourth part sums up the evolution of Chinese IPO pricing methods and analyzes the problems and puts forward the advice of perfecting the IPO pricing.
引文
[1] 苑德军．中国资本市场发展两大主题．上海证券报，2001
[2] Ritter.R.J.,"Initial public offerings", Contemporary Finance Digest,Vol.2, 1998
[3] Ratner, D.L. Securities Regulation, West Group,1998
[4] Chowdhry B. and Nanda V.,"Stabilization,syndication, and pricing of IPOs", Journal of Financial and Quantitive analysis 31,1996
[5] 中国证券市场发展报告 1999．中国证监会政策研究室编
[6] 中国证券市场发展报告 2000．中国证监会政策研究室编
[7] 中国证券市场发展报告 2001．中国证监会政策研究室编
[8] Kunz, R.M. and Aggarawal R., "Why initial public offerings are underpriced: Evidence from Switzerland", Journal of Banking and Finance 18,1994
[9] Benveniste L.and Wilhelm W.,"Initial public offerings:going by the book", Journal of applied corporate finance,1997 (10)
[10] Shah, A.,"The Indian IPO market: Empirical facts", Working paper, 1995
[11] Loughran Tim, Ritter Jay R. and Rydqvist Kristian,"Initial public offerings: International insights",Pacific-basin Finance Journal 2,1994
[12] Walter W. and Christian W. "Pricing initial public offerings, evidence from Germany", European Economic Review,1994 (38)
[13] Richard H.P. and Takashi, K., "The effects of removing price limits and introducing auctions upon short-term IPO retums: The case of Japanese IPOS", Pacific-basin Finance Journa,1996 (14)
[14] 中国证券业协会．证券市场基础知识．上海财经大学出版社，2002
[15] 中国证券业协会．证券投资分析．上海财经大学出版社，2001
[16] 黄俊辉，王浣尘．创业板市场的IPO研究．搜狐公司，2002
[17] 证券时报．估值过程对定价的影响，2001．8
[18] 冯巍，新股发行定价方式研究．中国证券报，2001年5月
[19] 朱生球，新股发行定价方式有待改进．资本中国，2001．12
[20] 关于招股机制的咨询文件．香港联合交易所、香港证券及期货事务监察委员会，1997
[21] 丁克华．证券市场—发行实务．台湾证券及期货市场发展基金会，1999
[22] 证券及期货管理法令摘录．台湾财政部证券及期货管理委员会编印，1999
[23] Thormas P. Jones, "The Economic Value Added Approach to Corporate Investment", Stern Stewart & company.
[24] 胡继之．中国股市的演进与制度变迁．经济科学出版社，1999
[25] Dongwei Su and Belton M.Fleisher, "An empirical investigation of underpricing in Chinese IPOs", Pacific-Basin finance journal 7,1999
[26] Kathlenn W.H.and William J.W.,"Evidence on the strategic allocation of initial public offerings", Journal of Financial Economics, Vol 37,1995
[27] Dunbar C., "The use of warranta as underwriter compensation in initial public offerings",Journal of financial economics,1995 (38)
[28] 肖立见．1990-1999年中国股市大事记．深圳证券交易所综合研究所咨询报告，2000
[29] http://www.p5w.net
[30] 陈工孟，高宁．中国股票一级市场发行抑价的程度与原因．金融研究，2000．8
[31] 股票定价分析方法研讨会有关资料，2000．3
[32] 王美今，张松．中国新股弱势问题研究．经济研究，2000(9)
[33] 李翔，文建东．中国证券市场制度缺陷与风险防范．中国证券业协会，2002
[34] Ibbotson,R.G., J.L.Sindelar.J.R.Ritter,"Initial public offerings", Journal of Applied Corporate Finance, Vol 7,1994
[35] 高莉，樊卫东．中国股市资金流向对宏观经济的影响，中国社会科学院经济研究所
[36] 高春涛．让新股价格形成更公平．平安证券研究所，2001年7月
[37] 明亮．在发展中完善新股定价方式．网人财经频道，2002．6
[38] http://www.iporesources, org
[39] 黑马投资．在发展中完善新股定价方式．黑马投资公司，2002
[40] http://www.cs.com.cn
[41] http://www.ipocentral.com
[42] Tinic, Seha M., 1988, "Anatomy of Initial Public Offerings of Common Stock," Journal of Finance 43, 789-822
[43] Welch, Ivo, 1989, "Seasoned Offerings, Imitation Costs, and the Underpricing of Initial Public Offerings," Journal of Finance 44, 421-450
[44] Welch, Ivo, 1992, "Sequential Sales, Learning, and Cascades," Journal of Finance 47, 695-732
[2] Ritter.R.J.,"Initial public offerings", Contemporary Finance Digest,Vol.2, 1998
[3] Ratner, D.L. Securities Regulation, West Group,1998
[4] Chowdhry B. and Nanda V.,"Stabilization,syndication, and pricing of IPOs", Journal of Financial and Quantitive analysis 31,1996
[5] 中国证券市场发展报告 1999．中国证监会政策研究室编
[6] 中国证券市场发展报告 2000．中国证监会政策研究室编
[7] 中国证券市场发展报告 2001．中国证监会政策研究室编
[8] Kunz, R.M. and Aggarawal R., "Why initial public offerings are underpriced: Evidence from Switzerland", Journal of Banking and Finance 18,1994
[9] Benveniste L.and Wilhelm W.,"Initial public offerings:going by the book", Journal of applied corporate finance,1997 (10)
[10] Shah, A.,"The Indian IPO market: Empirical facts", Working paper, 1995
[11] Loughran Tim, Ritter Jay R. and Rydqvist Kristian,"Initial public offerings: International insights",Pacific-basin Finance Journal 2,1994
[12] Walter W. and Christian W. "Pricing initial public offerings, evidence from Germany", European Economic Review,1994 (38)
[13] Richard H.P. and Takashi, K., "The effects of removing price limits and introducing auctions upon short-term IPO retums: The case of Japanese IPOS", Pacific-basin Finance Journa,1996 (14)
[14] 中国证券业协会．证券市场基础知识．上海财经大学出版社，2002
[15] 中国证券业协会．证券投资分析．上海财经大学出版社，2001
[16] 黄俊辉，王浣尘．创业板市场的IPO研究．搜狐公司，2002
[17] 证券时报．估值过程对定价的影响，2001．8
[18] 冯巍，新股发行定价方式研究．中国证券报，2001年5月
[19] 朱生球，新股发行定价方式有待改进．资本中国，2001．12
[20] 关于招股机制的咨询文件．香港联合交易所、香港证券及期货事务监察委员会，1997
[21] 丁克华．证券市场—发行实务．台湾证券及期货市场发展基金会，1999
[22] 证券及期货管理法令摘录．台湾财政部证券及期货管理委员会编印，1999
[23] Thormas P. Jones, "The Economic Value Added Approach to Corporate Investment", Stern Stewart & company.
[24] 胡继之．中国股市的演进与制度变迁．经济科学出版社，1999
[25] Dongwei Su and Belton M.Fleisher, "An empirical investigation of underpricing in Chinese IPOs", Pacific-Basin finance journal 7,1999
[26] Kathlenn W.H.and William J.W.,"Evidence on the strategic allocation of initial public offerings", Journal of Financial Economics, Vol 37,1995
[27] Dunbar C., "The use of warranta as underwriter compensation in initial public offerings",Journal of financial economics,1995 (38)
[28] 肖立见．1990-1999年中国股市大事记．深圳证券交易所综合研究所咨询报告，2000
[29] http://www.p5w.net
[30] 陈工孟，高宁．中国股票一级市场发行抑价的程度与原因．金融研究，2000．8
[31] 股票定价分析方法研讨会有关资料，2000．3
[32] 王美今，张松．中国新股弱势问题研究．经济研究，2000(9)
[33] 李翔，文建东．中国证券市场制度缺陷与风险防范．中国证券业协会，2002
[34] Ibbotson,R.G., J.L.Sindelar.J.R.Ritter,"Initial public offerings", Journal of Applied Corporate Finance, Vol 7,1994
[35] 高莉，樊卫东．中国股市资金流向对宏观经济的影响，中国社会科学院经济研究所
[36] 高春涛．让新股价格形成更公平．平安证券研究所，2001年7月
[37] 明亮．在发展中完善新股定价方式．网人财经频道，2002．6
[38] http://www.iporesources, org
[39] 黑马投资．在发展中完善新股定价方式．黑马投资公司，2002
[40] http://www.cs.com.cn
[41] http://www.ipocentral.com
[42] Tinic, Seha M., 1988, "Anatomy of Initial Public Offerings of Common Stock," Journal of Finance 43, 789-822
[43] Welch, Ivo, 1989, "Seasoned Offerings, Imitation Costs, and the Underpricing of Initial Public Offerings," Journal of Finance 44, 421-450
[44] Welch, Ivo, 1992, "Sequential Sales, Learning, and Cascades," Journal of Finance 47, 695-732