基于折价与溢价的中国IPO价格及超额收益问题研究
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摘要
伴随着经济体制改革的不断推进和资本市场的发展壮大，证券市场在我国国民经济发展和金融体系改革中发挥着越来越重要的作用。但政府过度监管导致IPO超额收益问题长期存在，这不仅在很大程度上降低了资本市场的配置效率，还影响了二级市场的稳定和发展。近年来，中国证券市场上的“三高”问题引起了国内外学者的广泛关注，他们结合中国的特殊制度背景提出了许多理论假设，其结论大都将中国IPO市场上长期存在的超额收益问题归咎于IPO定价效率的缺失，这也是促使证监会进行询价制等新股发行体制市场化改革的主要动因之一。然而，询价制的实施并未如前期文献预期的那样从根本上消除我国IPO超额收益现象，这就使得IPO初始超额收益问题再次成为多方关注的焦点。那么，是什么原因导致中国资本市场上IPO超额收益现象的长期存在？为何询价制在国外能够取得良好的效果，在中国反而失效了呢？本文以此为切入点，从制度经济学和行为金融学视角，对中国股票市场进行全面和系统的研究，以期从理论和实证上对中国IPO价格和超额收益的形成机制进行详实的解释和论证，进而为中国IPO发审制度的进一步改革和创新提供相应的微观基础。
首先，从市场参与主体博弈视角论证中国IPO价格和超额收益的形成机制。本文以卡塞尔的“激励的悖论”博弈模型为基础，分别建立了发行公司与承销保荐机构博弈模型、发行人(承销商)与机构投资者博弈模型和监管部门与承销保荐机构博弈模型。通过均衡求解，发现在信息不对称条件下，只有当绩优公司上市收益高于绩差公司时，才会出现分离均衡，此时，承销商和投资者能够分辨发行公司的资质差异；反之，则会出现混同均衡，此时，承销商将承销所有IPO，不知情投资者对绩优公司先验概率判断失误则会导致IPO折价的产生；此外，政府对一级市场的供给管制必然导致唯一的混同均衡，即超额收益现象的产生。因此，对监管部门而言，应着力废除IPO发行和增发审批管制，转而规范信息披露行为，维护信息披露秩序，保护投资者合法权益，降低监管成本，提高监管效率，加大违规处罚力度，才能最终消除中国资本市场上的“三高”问题。
其次，基于双边随机边界模型对中国IPO询价效率进行了实证度量。在合理控制IPO内在价值的基础上，本文利用询价制下新股发行价格由发行人、承销商和询价对象等多方力量的博弈共同决定这一特点，将折价效应和溢价效应同时纳入到双边随机边界模型框架下进行研究。结果表明：折价效应使得IPO的实际价格比其最优价格低了12.0%，而溢价效应使得IPO的实际价格超出其最优水平的5.6%，两者的净效果导致我国IPO公司整体上表现为发行折价，实际价格比其最优价格低了6.4%。但值得注意的是，虽然本文的实证结果支持了前期IPO折价理论，但IPO定价效率较高，发行人均将IPO价格定在了其最优边界(内在价值)附近。
第三，从IPO市场供需角度对中国IPO超额收益进行分解。在考虑IPO供给管制和需求刚性的基础上，通过推理和演绎，深入剖析IPO折价的产生机理，并将中国IPO超额收益分解为发行人有意折价、政府管制溢价和二级市场溢价。实证部分则构建了IPO超额收益动因检验模型，对IPO三个组成部分的动因以及市场监管政策变迁的有效性进行了检验。结果表明：政府对股票发行数量和节奏的安排使得新股高出其发行价格55.6%，占IPO初始收益的78.2%，而二级市场溢价和发行人有意折价对IPO超额收益的解释力度仅为2.6%和12.9%。最后稳健性检验表明IPO发行制度改革确实降低了IPO折价程度。由此可见，政府对IPO市场的干预是导致我国IPO超额收益的主要动因。
最后，利用购买并持有至到期异常收益率(BHAR)模型，累积异常收益率(CAR)模型，Fama-Frech三因素模型以及资产定价(CAPM)模型考察了高溢价IPO个股上市三年内的长期走势。结果表明：总体而言，在样本期内，我国IPO在上市后至少一年内表现出长期弱势，然后逐渐由弱转强，从而再次证明本文结论的稳健性：中国IPO超额收益主要源于二级市场溢价和政府管制溢价，而并非IPO定价效率的缺失。
本文的主要贡献在于：结合异质性信念、发行供给管制和投资者噪声交易等因素，对IPO市场参与主体的行动策略、IPO询价效率、IPO初始收益以及IPO后市长期走势等现象进行了系统全面的研究。结果表明中国IPO超额收益的根本原因在于政府对股票供给的管制、信息披露机制不健全以及发行人社会责任的严重缺失，中国IPO市场化改革的重点应当向逐步废除上市和增发审批权、强化各类信息披露机制转移，除此之外，其他任何局部的、技术的变革都将是杯水车薪，最终难逃“泥牛入海——一去不复返”的厄运。
Along with the promoting of the economic system reform and development ofcapital market, security market has played an important role in national economicdevelopment and the reform of financial system. But the excessive supervision ofgovernment not only reduces the allocative efficiency of capital market, but also affectsthe stability and development of secondary market. Recently, the phenomenon of highissue price, high P/E ratio and super raised funds draw wide attention in domestic andabroad. They proposed lots of theoretical hypotheses based on the typical institutionbackground. In their results, the CSRC is blame for lack of pricing efficiency whichled to a long-standing extreme IPO return, which is also one of the most important keydrivers for CSRC to promote IPO market reforms such as inquiry system etc. However,the implement of the bookbuilding system did not eliminate the extreme IPO returns ofChina as the former literature expected, which make the IPO initial return become focusagain. Then, what is the primary cause of Chinese long-standing excessive IPO returns?Why bookbuilding system run well in abroad, but failed in domestic? This paperattempts to study Chinese stock markets systematically and comprehensively from theangle of institutional economics and behavioral finance. And we also would to explainand demonstrate the reason of those phenomenons. The discussion of these issues willprovide a microeconomic foundation for the further reform and innovation of IPOsystem.
First of all, this paper discusses the formation mechanism of Chinese IPO pricingand extreme IPO returns from the aspect of gaming of the market participators. Thenbased on the theory of “paradox of incentive”, I conduct gaming model between issuers,sponsor and underwriter, underwriter and institutional investors, supervisor, underwriterand sponsor respectively. Through equilibrium solution, I find that separatingequilibrium only occurs when the performance of the optimal company is better than thepoor company under information asymmetry. This means that the quality of companycan be distinguished by underwriters and investors. On contrast, the pooling equilibriumoccurs and the underwriter will underwrite all the IPOs. The uninformed investors’misjudgment of the prior probability will lead to IPO underpricing. What’s more, thesupply restriction of the government will result in the only pooling equilibrium andextreme IPO returns inevitably. In additional, the supervisor should reduce the regulatory cost, improve the success ratio of supervise, strengthen the dynamics ofpunishment, ease the regulatory approval and turn to strengthen the informationdisclosure system. Therefore, the problems of Chinese markets can be eliminatedfinally.
Secondly, this paper empirically measures the bookbuilding efficiency byemploying two-tier stochastic frontier model. Using the characteristic that IPO price isdetermined by the bargaining of issuers, underwriters, inquiry institutions and otherobjects under the bookbuilding system, this paper employs the two-tier stochasticfrontier model to measure the IPO pricing efficiency of our country by combiningunderpricing effect and overpricing effect. The results indicate that the underpricingeffect cause the average price of whole IPO companies lower than its intrinsic value12.0%during2006to2010. And the overpricing effect leads the IPO price exceed itsoptimal price5.5%. The average underpricing ratio of IPO companies is6.4%due tothe net effect of those two elements. Although the empirical results supported theformer underpricing theory, the bookbuilding efficiency is pretty high and the issuersare willing to price their IPOs near the optimal boundary.
Thirdly, this paper decomposes the Chinese extreme IPO returns from the aspectsof supply and demand. Taking IPO supply constraints and rigid demand into account,this paper decompose Chinese IPO returns into issuer intentional underpricing,institutional overpricing and secondary market overpricing by describe the productivemechanism of IPO underpricing. In the empirical section, this paper contrasts amotivation test model to examine the motivation of each components and the validity ofthe regulatory policy changes. The results show that the supply and frequencyrestriction of government lead the IPO price exceed its optimal value55.6%, which is78.2%of the initial returns. But the secondary market overpricing and intentionalunderpricing can only interpret2.6%and12.9%of the initial returns respectively. Atlast, the robustness test indicate that the reform of the IPO system indeed reduced theIPO returns, which demonstrate the government regulation is the main reason ofextreme IPO returns.
Finally, this paper explores the long-term IPO performance by using BHAR, CAR,Fama-Frech and CAPM models. The results show that long-term underperformance isobserved at least in one year period, and then turn to superior performance gradually.Therefore the robustness of the conclusion that Chinese extreme IPO returns is mainlycaused by secondary market overpricing and regulatory overpricing rather than the lack of pricing efficiency is proved.
To sum up, the primary contribution of this paper is that it studies the actionstrategies of all the market participators, IPO pricing efficiency, IPO initial returns andlong-term performance systematically. The results prove that the primary reason of IPOinitial returns is supply restriction and the lack of information disclosure and socialresponsibility. The reform of the market should focus on abolishing the approval systemof IPO and SEO and improving the information disclosure mechanism. Besides thosepolicies, any partial and technical changes will be a drop in the bucket and gone foreverlike cattle made of mud falling into the sea.
首先，从市场参与主体博弈视角论证中国IPO价格和超额收益的形成机制。本文以卡塞尔的“激励的悖论”博弈模型为基础，分别建立了发行公司与承销保荐机构博弈模型、发行人(承销商)与机构投资者博弈模型和监管部门与承销保荐机构博弈模型。通过均衡求解，发现在信息不对称条件下，只有当绩优公司上市收益高于绩差公司时，才会出现分离均衡，此时，承销商和投资者能够分辨发行公司的资质差异；反之，则会出现混同均衡，此时，承销商将承销所有IPO，不知情投资者对绩优公司先验概率判断失误则会导致IPO折价的产生；此外，政府对一级市场的供给管制必然导致唯一的混同均衡，即超额收益现象的产生。因此，对监管部门而言，应着力废除IPO发行和增发审批管制，转而规范信息披露行为，维护信息披露秩序，保护投资者合法权益，降低监管成本，提高监管效率，加大违规处罚力度，才能最终消除中国资本市场上的“三高”问题。
其次，基于双边随机边界模型对中国IPO询价效率进行了实证度量。在合理控制IPO内在价值的基础上，本文利用询价制下新股发行价格由发行人、承销商和询价对象等多方力量的博弈共同决定这一特点，将折价效应和溢价效应同时纳入到双边随机边界模型框架下进行研究。结果表明：折价效应使得IPO的实际价格比其最优价格低了12.0%，而溢价效应使得IPO的实际价格超出其最优水平的5.6%，两者的净效果导致我国IPO公司整体上表现为发行折价，实际价格比其最优价格低了6.4%。但值得注意的是，虽然本文的实证结果支持了前期IPO折价理论，但IPO定价效率较高，发行人均将IPO价格定在了其最优边界(内在价值)附近。
第三，从IPO市场供需角度对中国IPO超额收益进行分解。在考虑IPO供给管制和需求刚性的基础上，通过推理和演绎，深入剖析IPO折价的产生机理，并将中国IPO超额收益分解为发行人有意折价、政府管制溢价和二级市场溢价。实证部分则构建了IPO超额收益动因检验模型，对IPO三个组成部分的动因以及市场监管政策变迁的有效性进行了检验。结果表明：政府对股票发行数量和节奏的安排使得新股高出其发行价格55.6%，占IPO初始收益的78.2%，而二级市场溢价和发行人有意折价对IPO超额收益的解释力度仅为2.6%和12.9%。最后稳健性检验表明IPO发行制度改革确实降低了IPO折价程度。由此可见，政府对IPO市场的干预是导致我国IPO超额收益的主要动因。
最后，利用购买并持有至到期异常收益率(BHAR)模型，累积异常收益率(CAR)模型，Fama-Frech三因素模型以及资产定价(CAPM)模型考察了高溢价IPO个股上市三年内的长期走势。结果表明：总体而言，在样本期内，我国IPO在上市后至少一年内表现出长期弱势，然后逐渐由弱转强，从而再次证明本文结论的稳健性：中国IPO超额收益主要源于二级市场溢价和政府管制溢价，而并非IPO定价效率的缺失。
本文的主要贡献在于：结合异质性信念、发行供给管制和投资者噪声交易等因素，对IPO市场参与主体的行动策略、IPO询价效率、IPO初始收益以及IPO后市长期走势等现象进行了系统全面的研究。结果表明中国IPO超额收益的根本原因在于政府对股票供给的管制、信息披露机制不健全以及发行人社会责任的严重缺失，中国IPO市场化改革的重点应当向逐步废除上市和增发审批权、强化各类信息披露机制转移，除此之外，其他任何局部的、技术的变革都将是杯水车薪，最终难逃“泥牛入海——一去不复返”的厄运。
Along with the promoting of the economic system reform and development ofcapital market, security market has played an important role in national economicdevelopment and the reform of financial system. But the excessive supervision ofgovernment not only reduces the allocative efficiency of capital market, but also affectsthe stability and development of secondary market. Recently, the phenomenon of highissue price, high P/E ratio and super raised funds draw wide attention in domestic andabroad. They proposed lots of theoretical hypotheses based on the typical institutionbackground. In their results, the CSRC is blame for lack of pricing efficiency whichled to a long-standing extreme IPO return, which is also one of the most important keydrivers for CSRC to promote IPO market reforms such as inquiry system etc. However,the implement of the bookbuilding system did not eliminate the extreme IPO returns ofChina as the former literature expected, which make the IPO initial return become focusagain. Then, what is the primary cause of Chinese long-standing excessive IPO returns?Why bookbuilding system run well in abroad, but failed in domestic? This paperattempts to study Chinese stock markets systematically and comprehensively from theangle of institutional economics and behavioral finance. And we also would to explainand demonstrate the reason of those phenomenons. The discussion of these issues willprovide a microeconomic foundation for the further reform and innovation of IPOsystem.
First of all, this paper discusses the formation mechanism of Chinese IPO pricingand extreme IPO returns from the aspect of gaming of the market participators. Thenbased on the theory of “paradox of incentive”, I conduct gaming model between issuers,sponsor and underwriter, underwriter and institutional investors, supervisor, underwriterand sponsor respectively. Through equilibrium solution, I find that separatingequilibrium only occurs when the performance of the optimal company is better than thepoor company under information asymmetry. This means that the quality of companycan be distinguished by underwriters and investors. On contrast, the pooling equilibriumoccurs and the underwriter will underwrite all the IPOs. The uninformed investors’misjudgment of the prior probability will lead to IPO underpricing. What’s more, thesupply restriction of the government will result in the only pooling equilibrium andextreme IPO returns inevitably. In additional, the supervisor should reduce the regulatory cost, improve the success ratio of supervise, strengthen the dynamics ofpunishment, ease the regulatory approval and turn to strengthen the informationdisclosure system. Therefore, the problems of Chinese markets can be eliminatedfinally.
Secondly, this paper empirically measures the bookbuilding efficiency byemploying two-tier stochastic frontier model. Using the characteristic that IPO price isdetermined by the bargaining of issuers, underwriters, inquiry institutions and otherobjects under the bookbuilding system, this paper employs the two-tier stochasticfrontier model to measure the IPO pricing efficiency of our country by combiningunderpricing effect and overpricing effect. The results indicate that the underpricingeffect cause the average price of whole IPO companies lower than its intrinsic value12.0%during2006to2010. And the overpricing effect leads the IPO price exceed itsoptimal price5.5%. The average underpricing ratio of IPO companies is6.4%due tothe net effect of those two elements. Although the empirical results supported theformer underpricing theory, the bookbuilding efficiency is pretty high and the issuersare willing to price their IPOs near the optimal boundary.
Thirdly, this paper decomposes the Chinese extreme IPO returns from the aspectsof supply and demand. Taking IPO supply constraints and rigid demand into account,this paper decompose Chinese IPO returns into issuer intentional underpricing,institutional overpricing and secondary market overpricing by describe the productivemechanism of IPO underpricing. In the empirical section, this paper contrasts amotivation test model to examine the motivation of each components and the validity ofthe regulatory policy changes. The results show that the supply and frequencyrestriction of government lead the IPO price exceed its optimal value55.6%, which is78.2%of the initial returns. But the secondary market overpricing and intentionalunderpricing can only interpret2.6%and12.9%of the initial returns respectively. Atlast, the robustness test indicate that the reform of the IPO system indeed reduced theIPO returns, which demonstrate the government regulation is the main reason ofextreme IPO returns.
Finally, this paper explores the long-term IPO performance by using BHAR, CAR,Fama-Frech and CAPM models. The results show that long-term underperformance isobserved at least in one year period, and then turn to superior performance gradually.Therefore the robustness of the conclusion that Chinese extreme IPO returns is mainlycaused by secondary market overpricing and regulatory overpricing rather than the lack of pricing efficiency is proved.
To sum up, the primary contribution of this paper is that it studies the actionstrategies of all the market participators, IPO pricing efficiency, IPO initial returns andlong-term performance systematically. The results prove that the primary reason of IPOinitial returns is supply restriction and the lack of information disclosure and socialresponsibility. The reform of the market should focus on abolishing the approval systemof IPO and SEO and improving the information disclosure mechanism. Besides thosepolicies, any partial and technical changes will be a drop in the bucket and gone foreverlike cattle made of mud falling into the sea.
引文
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