我国上证A股IPO抑价问题若干研究
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摘要
新股定价是否合理将影响资本是否被有效利用,IPO抑价程度直接反映了新股定价的准确性与合理性。因此研究IPO抑价问题产生的根本原因,对于指导股票市场投资者形成正确的价值投资理念,规避发行市场发行风险,减少交易市场股价泡沫都有着十分重要的现实意义。
本文以1999年至2007年410只在沪市证券交易所首次公开发行的新股为样本,采用实证分析的方法检验了我国上证A股市场IPO的抑价现象。主要作了以下工作：
(1)实证研究数据选择和处理。通过引入虚拟变量、因子分析等方法对定性数据和定量数据进行了前期处理。
(2)实证研究。结合单因素分析和其他学者的研究,提出9个实证研究假说,并采用逐步回归法建立了多元回归模型,对IPO抑价程度的影响因素进行了多因素分析。进一步研究发行制度改革对IPO抑价程度及IPO市场结构的影响。
(3)在实证研究的基础上,从IPO主体的不同角度分析了各自的行为动机,IPO抑价程度偏高实际上受到整个股票市场内诸多因素的共同影响,IPO抑价问题的实质是由政府有意创造的发行市场制度性偏低定价和在交易市场中投资者过度投机共同作用的结果。针对转变监管部门监管理念、完善首次公开发行制度、完善信息披露制度、抑制投资者的过度投机四个方面,提出了解决IPO抑价问题的对策建议。
Whether the new share pricing is reasonable will affect whether the resources are used effectively, and the degree of IPO directly reflect the accuracy and rationality of the new share pricing. Therefore there is extremely vital and practical significance to study the real reason of IPO underpricing so we can instruct the market to form the correct value investment idea, avoid issue risk of the market, and reduce the stock price bubbles of trading market.
This article uses 410 new stocks of initial public offerings in Shanghai from 1999 to 2007 as a data, and does empirical study to test the phenomenon of IPO underpricing in China A-shares market. The main works done in this article include:
(1) In the part of empirical study design, we screen explanatory variables from three aspects of the intrinsic value information, the issue information and the market environmental information and use dummy variable method and factor analysis to process the data in advance.
(2) In the part of empirical study, after one-factor analysis, we propose 9 hypotheses, use stepwise method to establish the multi-dimensional return model and do multi-factors analysis about the influence factor of IPO underpricing. From the aspect of pricing decision-making diversities between market main bodies, we study IPO underpricing resulted from information asymmetry, as well as the reform of stock issue system how to reflect IPO underpricing degree and IPO market structure.
(3) On the basic of empirical study, aiming at issue market, utilize information economics method to analyze the gaming process among the market main bodies and the formation mechanism of IPO underpricing. In view of the trading market, we have proven investor's non-rationality and excessive speculation by using behavior economic.Finally,in view of changing supervising notion, consummating the issue pricing system, also the information disclosure system and restraining speculation of investor, propose suggestions about solving the problem of IPO underpricing.
本文以1999年至2007年410只在沪市证券交易所首次公开发行的新股为样本,采用实证分析的方法检验了我国上证A股市场IPO的抑价现象。主要作了以下工作：
(1)实证研究数据选择和处理。通过引入虚拟变量、因子分析等方法对定性数据和定量数据进行了前期处理。
(2)实证研究。结合单因素分析和其他学者的研究,提出9个实证研究假说,并采用逐步回归法建立了多元回归模型,对IPO抑价程度的影响因素进行了多因素分析。进一步研究发行制度改革对IPO抑价程度及IPO市场结构的影响。
(3)在实证研究的基础上,从IPO主体的不同角度分析了各自的行为动机,IPO抑价程度偏高实际上受到整个股票市场内诸多因素的共同影响,IPO抑价问题的实质是由政府有意创造的发行市场制度性偏低定价和在交易市场中投资者过度投机共同作用的结果。针对转变监管部门监管理念、完善首次公开发行制度、完善信息披露制度、抑制投资者的过度投机四个方面,提出了解决IPO抑价问题的对策建议。
Whether the new share pricing is reasonable will affect whether the resources are used effectively, and the degree of IPO directly reflect the accuracy and rationality of the new share pricing. Therefore there is extremely vital and practical significance to study the real reason of IPO underpricing so we can instruct the market to form the correct value investment idea, avoid issue risk of the market, and reduce the stock price bubbles of trading market.
This article uses 410 new stocks of initial public offerings in Shanghai from 1999 to 2007 as a data, and does empirical study to test the phenomenon of IPO underpricing in China A-shares market. The main works done in this article include:
(1) In the part of empirical study design, we screen explanatory variables from three aspects of the intrinsic value information, the issue information and the market environmental information and use dummy variable method and factor analysis to process the data in advance.
(2) In the part of empirical study, after one-factor analysis, we propose 9 hypotheses, use stepwise method to establish the multi-dimensional return model and do multi-factors analysis about the influence factor of IPO underpricing. From the aspect of pricing decision-making diversities between market main bodies, we study IPO underpricing resulted from information asymmetry, as well as the reform of stock issue system how to reflect IPO underpricing degree and IPO market structure.
(3) On the basic of empirical study, aiming at issue market, utilize information economics method to analyze the gaming process among the market main bodies and the formation mechanism of IPO underpricing. In view of the trading market, we have proven investor's non-rationality and excessive speculation by using behavior economic.Finally,in view of changing supervising notion, consummating the issue pricing system, also the information disclosure system and restraining speculation of investor, propose suggestions about solving the problem of IPO underpricing.
引文
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2. Ibbotson R. Price performance of common stock new issues[J], Journal of Financial Economics,1975,2:235-272.
3. Lee P., Taylor S., Walter T. Australian IPO pricing in the short and long run[J], Journal of Banking and Finance,1996,20:1189-1210.
4. Aggarwal R., Leal R., Hernandez F. The aftermarket performance of initial public offerings in Latin America[J], Financial Management,1993,22:42-53.
5. Clarkson P., Merkley J. Exante uncertainty and the underpricing of initial public offering: Further Canadian evidence[J], Canadian Journal of Administrative Sciences, 1994,11:54-67.
6. Alexander P.Ljungqvist. Pricing initial pubic offerings:Further evidence from Germany[J], European Economic Review,1997,41:1309-1320.
7. Kim J., Krinsky I., Lee J. The valuation of initial public offerings and accounting disclosures in prospectuses:New evidence from Korea[J], The International Journal of Accounting,1994,29:46-61.
8. Firth M. An analysis of the stock market performance of new issues in New Zealand[J], Pacific-Basin Finance Journal,1997,5:63-85.
9. Levis M. Seasoned equity offerings and the short-and long-run performance of initial public offerings in the UK[J], European Financial Management,1995,1:125-146.
10. F.E.Fama. Efficient capital markets[J], Journal of Finance,1999,66:1575-1616.
11. Beatty, P.Randolph, J.R.Ritter. Investment banking,reputation,and the underpricing of initial public offerings[J], Journal of Financial Economics,1986,15:213-232.
12. J.R.Booth, R.L.Smith. Capital raising, underpricing and the certification hypothesis[J], Journal of Financial Economics,1986, (15):213-232.
13. Carter, B.Richard, S.Manaster. Initial public offerings and underwriter reputation[J], Journal of Finance,1990,45:1045-1067.
14. Baron, P.David. A model of the demand for investment banking advising and distribution services for new issues[J], Journal of Finance,1982,37:955-976:
15. T.Loughran, J.Ritter, Rydqvist. Why don't issuers get upset about leaving money on the table in IPO[J], The Review of Financial Studies Special,2003,15(2):413-443.
16. Rock, Kevin. Why new issues are underpriced[J], Journal of Financial Economics,1986, 15:187-212.
17. Allen F., G. Falhaber. Signalling by underpricing in the IPO market[J], Journal of Financial Economics,1989,23:303-323.
18. M. Grinblatt, Chuan-Yang Hwang. Signalling and the pricing of new issues[J], Journal of Finance,1989,44:393-420.
19. Welch, Ivo. Seasoned offerings, imitation costs, and the underpricing of initial public offerings[J], Journal of Finance,1989,44:421-450.
20. Tinic, M.Seha. Anatomy of initial public offerings of common stock[J], Journal of Finance,1988,43:789-822.
21. Hughes, J.Patricia, A.V.Thakor. Litigation risk, interme diation, and the underpricing of initial public offering[J], Review of Financial Studies,1992,5:709-742.
22. Grossman, Sanford, O.Hart. The costs and benefits of ownership:a theory of vertical integration and lateral integration[J], Journal of Political Economy,1986,94:697-719.
23. J.Booth, L.Chua. Ownership dispersion, costly information, and IPO underpricing[J], Journal of Financial Economics,1996,41:291-310.
24. M.S.Neal, J.Zechner. IPO-mechanisms, monitoring and ownership structure[J], Journal of Financial Economics,1998,49:45-77.
25. F.Koh, T.Walter. A direct test of rock's model of the pricing of unseasoned issues[J], Journal of Financial Economics,1989,23:251-272.
26. B.Chowdhry, A.E.Sherman. The winner's curse and international methods of allocating initial public offerings[J], Pacific-Basin Finance Journal,1996, (4):15-30.
27. R.Aggarwal, P.Rivoli. Fads in initial public offering market[J], Financial Management, 1990, (4):45-58.
28. T.Loughran, J.R.Ritter. The long-run performance of initial public offerings[J], Journal of Finance,1991, (1):3-27.
29. A.Bharat, Jain, Kini. Post-issue operating performance of IPOs firms[J], Journal of Financ,1994, (12):1699-1726.
30.李险峰.对新股神话的一点看法[J],金融教学与研究,1997,5：42-43.
31.王军波,邓述慧.我国证券一级市场分析[J],管理科学学报,2003,3(1)：45-52.
32. H.M.K.Mok, Y.V.Hui. Underpricing and after market performance of IPO in Shanghai, China[J], Pacific-Basin Finance Journal,1998,6:453-474.
33.陈工孟,高宁.我国股票一级市场发行抑价的程度与原因[J],金融研究,2000,8(1)：1-12.
34. D.Su, B.M.Fleisher. Explaining IPO initial returns in China[J],Emerging Market Quarterly,1998,2:1-16.
35. D.Su, B.M.Fleisher. Risk, return and regulation in Chinese stock markets[J], Journal of Economics and Business,1998,59:1-19.
36.杜萃,梁洪晌,宋逢明.我国A股市场初始回报率研究[J],管理科学学报,2001,4(4)：55-61.
37.陆建军.我国股票市场新股发行高抑价率的实证研究[J],华南金融研究,2002,4(17)：35-38.
38.宋逢明.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(1)：94-100.
39.刘力,李文德.中国股市股票首次公开发行首日超额收益研究[J],中国会计与财务研究,2000,(4)：1-25.
40.栾培强.我国新股发行初始收益率实证分析[J],金融教学与研究,2001,1：34-37.
41.徐文燕,武康平.对中国股市新股发行抑价的再思考——承销商托市[J],山西财经大学学报,2001,(12)：71-75.
42.杨丹,王莉.中国新股发行抑价：一个假说的检验[J],复旦学报(社会科学版),2001,5：85-90.
43.邓召明.我国股票发行定价效率实证研究[J],南开经济研究,2001,6(1)：60-64.
44.杜俊涛,周孝华,杨秀苔.中国证券市场IPO长期表现的实证研究[J],中国软科学,2003,11(1)：46-52.
45.付华,姜春林,林距华.我国IPO初始报酬率的分布[J],金融教学与研究,2004,3：48-50.
46.汪达明,袁万福.中国新股上市超额收益率的估量和分析[J],学术研究,2001,10(1)：26-61.
47.汪达明.新股二级市场定价及其投资价值实证[J],学术研究,2002,4(1),40-43.
.48.孔玉生,王忠杰.新股上市首日定价预测模型研究[J],中国管理科学,2003,1(11)： 6-9.
49.张继强,周勇,张秉麟.IPO折价、逆向选择与分离均衡假说[J],预测,2003,22(4)46-51.
50.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(社会科学版),2002,(4)：316-321.
51.陈卫荣,金雪军.权威舆论对新股首日定价的影响分析[J],企业经济,2004,1：180-181.
52.靳云汇,杨文.新股折价现象的实证研究[J],统计研究,2003,3(1)：49-53.
53.浦剑悦,韩杨.新股发行抑价的两种模型检验[J],南开管理评论,2002,(4),45-48.
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2. Ibbotson R. Price performance of common stock new issues[J], Journal of Financial Economics,1975,2:235-272.
3. Lee P., Taylor S., Walter T. Australian IPO pricing in the short and long run[J], Journal of Banking and Finance,1996,20:1189-1210.
4. Aggarwal R., Leal R., Hernandez F. The aftermarket performance of initial public offerings in Latin America[J], Financial Management,1993,22:42-53.
5. Clarkson P., Merkley J. Exante uncertainty and the underpricing of initial public offering: Further Canadian evidence[J], Canadian Journal of Administrative Sciences, 1994,11:54-67.
6. Alexander P.Ljungqvist. Pricing initial pubic offerings:Further evidence from Germany[J], European Economic Review,1997,41:1309-1320.
7. Kim J., Krinsky I., Lee J. The valuation of initial public offerings and accounting disclosures in prospectuses:New evidence from Korea[J], The International Journal of Accounting,1994,29:46-61.
8. Firth M. An analysis of the stock market performance of new issues in New Zealand[J], Pacific-Basin Finance Journal,1997,5:63-85.
9. Levis M. Seasoned equity offerings and the short-and long-run performance of initial public offerings in the UK[J], European Financial Management,1995,1:125-146.
10. F.E.Fama. Efficient capital markets[J], Journal of Finance,1999,66:1575-1616.
11. Beatty, P.Randolph, J.R.Ritter. Investment banking,reputation,and the underpricing of initial public offerings[J], Journal of Financial Economics,1986,15:213-232.
12. J.R.Booth, R.L.Smith. Capital raising, underpricing and the certification hypothesis[J], Journal of Financial Economics,1986, (15):213-232.
13. Carter, B.Richard, S.Manaster. Initial public offerings and underwriter reputation[J], Journal of Finance,1990,45:1045-1067.
14. Baron, P.David. A model of the demand for investment banking advising and distribution services for new issues[J], Journal of Finance,1982,37:955-976:
15. T.Loughran, J.Ritter, Rydqvist. Why don't issuers get upset about leaving money on the table in IPO[J], The Review of Financial Studies Special,2003,15(2):413-443.
16. Rock, Kevin. Why new issues are underpriced[J], Journal of Financial Economics,1986, 15:187-212.
17. Allen F., G. Falhaber. Signalling by underpricing in the IPO market[J], Journal of Financial Economics,1989,23:303-323.
18. M. Grinblatt, Chuan-Yang Hwang. Signalling and the pricing of new issues[J], Journal of Finance,1989,44:393-420.
19. Welch, Ivo. Seasoned offerings, imitation costs, and the underpricing of initial public offerings[J], Journal of Finance,1989,44:421-450.
20. Tinic, M.Seha. Anatomy of initial public offerings of common stock[J], Journal of Finance,1988,43:789-822.
21. Hughes, J.Patricia, A.V.Thakor. Litigation risk, interme diation, and the underpricing of initial public offering[J], Review of Financial Studies,1992,5:709-742.
22. Grossman, Sanford, O.Hart. The costs and benefits of ownership:a theory of vertical integration and lateral integration[J], Journal of Political Economy,1986,94:697-719.
23. J.Booth, L.Chua. Ownership dispersion, costly information, and IPO underpricing[J], Journal of Financial Economics,1996,41:291-310.
24. M.S.Neal, J.Zechner. IPO-mechanisms, monitoring and ownership structure[J], Journal of Financial Economics,1998,49:45-77.
25. F.Koh, T.Walter. A direct test of rock's model of the pricing of unseasoned issues[J], Journal of Financial Economics,1989,23:251-272.
26. B.Chowdhry, A.E.Sherman. The winner's curse and international methods of allocating initial public offerings[J], Pacific-Basin Finance Journal,1996, (4):15-30.
27. R.Aggarwal, P.Rivoli. Fads in initial public offering market[J], Financial Management, 1990, (4):45-58.
28. T.Loughran, J.R.Ritter. The long-run performance of initial public offerings[J], Journal of Finance,1991, (1):3-27.
29. A.Bharat, Jain, Kini. Post-issue operating performance of IPOs firms[J], Journal of Financ,1994, (12):1699-1726.
30.李险峰.对新股神话的一点看法[J],金融教学与研究,1997,5：42-43.
31.王军波,邓述慧.我国证券一级市场分析[J],管理科学学报,2003,3(1)：45-52.
32. H.M.K.Mok, Y.V.Hui. Underpricing and after market performance of IPO in Shanghai, China[J], Pacific-Basin Finance Journal,1998,6:453-474.
33.陈工孟,高宁.我国股票一级市场发行抑价的程度与原因[J],金融研究,2000,8(1)：1-12.
34. D.Su, B.M.Fleisher. Explaining IPO initial returns in China[J],Emerging Market Quarterly,1998,2:1-16.
35. D.Su, B.M.Fleisher. Risk, return and regulation in Chinese stock markets[J], Journal of Economics and Business,1998,59:1-19.
36.杜萃,梁洪晌,宋逢明.我国A股市场初始回报率研究[J],管理科学学报,2001,4(4)：55-61.
37.陆建军.我国股票市场新股发行高抑价率的实证研究[J],华南金融研究,2002,4(17)：35-38.
38.宋逢明.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(1)：94-100.
39.刘力,李文德.中国股市股票首次公开发行首日超额收益研究[J],中国会计与财务研究,2000,(4)：1-25.
40.栾培强.我国新股发行初始收益率实证分析[J],金融教学与研究,2001,1：34-37.
41.徐文燕,武康平.对中国股市新股发行抑价的再思考——承销商托市[J],山西财经大学学报,2001,(12)：71-75.
42.杨丹,王莉.中国新股发行抑价：一个假说的检验[J],复旦学报(社会科学版),2001,5：85-90.
43.邓召明.我国股票发行定价效率实证研究[J],南开经济研究,2001,6(1)：60-64.
44.杜俊涛,周孝华,杨秀苔.中国证券市场IPO长期表现的实证研究[J],中国软科学,2003,11(1)：46-52.
45.付华,姜春林,林距华.我国IPO初始报酬率的分布[J],金融教学与研究,2004,3：48-50.
46.汪达明,袁万福.中国新股上市超额收益率的估量和分析[J],学术研究,2001,10(1)：26-61.
47.汪达明.新股二级市场定价及其投资价值实证[J],学术研究,2002,4(1),40-43.
.48.孔玉生,王忠杰.新股上市首日定价预测模型研究[J],中国管理科学,2003,1(11)： 6-9.
49.张继强,周勇,张秉麟.IPO折价、逆向选择与分离均衡假说[J],预测,2003,22(4)46-51.
50.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(社会科学版),2002,(4)：316-321.
51.陈卫荣,金雪军.权威舆论对新股首日定价的影响分析[J],企业经济,2004,1：180-181.
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