基于模糊优化模型下IPO定价的研究与应用
摘要
上市公司新股(本文只考虑首次公开发行,initial public offerings ,即IPOs)的价格定位问题是资本市场最受关注的研究课题之一。制定科学、合理、公平的IPO价格,对发行人而言,不但可以防范新股发行失败,而且可以为公司筹集到足够的资金;对保荐人、承销商而言,大大降低承销商承销风险、资金占用及保持其良好的承销声誉;对投资者而言,可降低其投资成本且控制风险,增大股票上市定价上的话语权,而且有效打通一、二级市场,为机构投资者开辟了新的博弈空间。
影响IPO价格的因素很多,有确定因素和不确定因素,国内外学者对此已作过很多分析。IPO价格的影响因素大致可分两类:股票自身的因素和整个证券市场的因素。与发行公司本身的价值相关的各种因素具体表现在公司预期的收益、资本结构、净资产以及预期风险等体现发行公司素质和增长前景的各种因素。这些因素在以前的IPO定价模型中都不同程度地体现出来,但新股发行时国民经济的总体走势、行业政策、行业发展预期、证券市场发展情况(市场波动水平)这些不确定性因素,是目前新股定价理论及方法没有考虑到的。针对证券市场的不确定性,把模糊优化模型应用到新股定价中,对发行公司本身的价值和这些不确定性因素进行综合考虑,弥补了以前新股定价理论在这些方面研究的不足,对于科学、合理的新股定价将提供一切实可行的方法。这对处于发展中的中国资本市场而言,具有积极深远的意义。
本文针对影响IPO定价因素的不确定性,把模糊优化模型引入到我国新股定价的研究中。论文通过对指标的选择和权重的确定,使投资银行专家的经验和客观价值评价相结合,综合考虑了影响新股定价的因素,不仅使不确定性的信息在定价中表现出来,而且把发行公司与一、二级市场上同行业上市公司加权平均指标进行综合评价比较,最终得出优属度矩阵,再根据优属度矩阵确定新股的询价区间。论文最后以近几年在中国资本市场进行IPO的上市公司华夏银行和苏泊尔为实例,采用模糊优化理论模型进行新股定价,得到较好的结果,以验证利用模糊优化模型进行新股定价的合理性。
One of the most popular researching topics in the capital market is the pricing question of the public company’s new stock (in this paper we only discuss the initial public offerings, that is IPOs). to the IPO companies, the formation of scientific reasonable and fair IPOs price can not only succeed the issue, but also help the company raise enough fund; to the sponsor and the underwriter, the issue greatly reduces the risk of their underwriting and the occupation of funds as well as maintains good reputation; to the investor, it greatly reduces investment cost and control investment risk, strengthens the wording power (the authority to participate in decision-making) of the stock’s pricing and moreover it efficiently gets through the primary and secondary markets (connecting the two markets) ,which opens a new game space for institutional investors.
The new stock,s price can be affected by certain and uncertain factors which have been studied by domestic and foreign scholars. Generally these factors can be divided into two kinds: the stock its own and the whole security market. The various factors connecting with issuing company’s value can be manifested concretely in the company’s anticipated income, the capital structure, net assets and prospective risks and so on, which sum up the various factors of the issuing company’s quality and growth prospect. These factors can all be displayed in the former IPO’s pricing models, but when new stock is issuing, the uncertain factors such as the national economy’s total trends, industry policy, the anticipation of the industry development, the situation of the stock market (the stage of market fluctuation) can’t be solved in the present new stock pricing theories. When the fuzzy optimized model is utilized in the new stock pricing to face the uncertainty of the stock market, the issuing company’s value and these uncertain factors are considered comprehensively. It compensates the flaws of the former new stock pricing theories and puts forward a feasible method. It has positively profound significance for China’s developing capital market.
In view of the uncertainty of the IPOs pricing factors this essay introduces the fuzzy optimized model into the study of our country’s new stock pricing. This essay concerns the experts’experience of investment banks and the estimation of objective valuation through index choice and weight determination. By considering the factors affecting new stock pricing comprehensively, it not only displays the uncertain
影响IPO价格的因素很多,有确定因素和不确定因素,国内外学者对此已作过很多分析。IPO价格的影响因素大致可分两类:股票自身的因素和整个证券市场的因素。与发行公司本身的价值相关的各种因素具体表现在公司预期的收益、资本结构、净资产以及预期风险等体现发行公司素质和增长前景的各种因素。这些因素在以前的IPO定价模型中都不同程度地体现出来,但新股发行时国民经济的总体走势、行业政策、行业发展预期、证券市场发展情况(市场波动水平)这些不确定性因素,是目前新股定价理论及方法没有考虑到的。针对证券市场的不确定性,把模糊优化模型应用到新股定价中,对发行公司本身的价值和这些不确定性因素进行综合考虑,弥补了以前新股定价理论在这些方面研究的不足,对于科学、合理的新股定价将提供一切实可行的方法。这对处于发展中的中国资本市场而言,具有积极深远的意义。
本文针对影响IPO定价因素的不确定性,把模糊优化模型引入到我国新股定价的研究中。论文通过对指标的选择和权重的确定,使投资银行专家的经验和客观价值评价相结合,综合考虑了影响新股定价的因素,不仅使不确定性的信息在定价中表现出来,而且把发行公司与一、二级市场上同行业上市公司加权平均指标进行综合评价比较,最终得出优属度矩阵,再根据优属度矩阵确定新股的询价区间。论文最后以近几年在中国资本市场进行IPO的上市公司华夏银行和苏泊尔为实例,采用模糊优化理论模型进行新股定价,得到较好的结果,以验证利用模糊优化模型进行新股定价的合理性。
One of the most popular researching topics in the capital market is the pricing question of the public company’s new stock (in this paper we only discuss the initial public offerings, that is IPOs). to the IPO companies, the formation of scientific reasonable and fair IPOs price can not only succeed the issue, but also help the company raise enough fund; to the sponsor and the underwriter, the issue greatly reduces the risk of their underwriting and the occupation of funds as well as maintains good reputation; to the investor, it greatly reduces investment cost and control investment risk, strengthens the wording power (the authority to participate in decision-making) of the stock’s pricing and moreover it efficiently gets through the primary and secondary markets (connecting the two markets) ,which opens a new game space for institutional investors.
The new stock,s price can be affected by certain and uncertain factors which have been studied by domestic and foreign scholars. Generally these factors can be divided into two kinds: the stock its own and the whole security market. The various factors connecting with issuing company’s value can be manifested concretely in the company’s anticipated income, the capital structure, net assets and prospective risks and so on, which sum up the various factors of the issuing company’s quality and growth prospect. These factors can all be displayed in the former IPO’s pricing models, but when new stock is issuing, the uncertain factors such as the national economy’s total trends, industry policy, the anticipation of the industry development, the situation of the stock market (the stage of market fluctuation) can’t be solved in the present new stock pricing theories. When the fuzzy optimized model is utilized in the new stock pricing to face the uncertainty of the stock market, the issuing company’s value and these uncertain factors are considered comprehensively. It compensates the flaws of the former new stock pricing theories and puts forward a feasible method. It has positively profound significance for China’s developing capital market.
In view of the uncertainty of the IPOs pricing factors this essay introduces the fuzzy optimized model into the study of our country’s new stock pricing. This essay concerns the experts’experience of investment banks and the estimation of objective valuation through index choice and weight determination. By considering the factors affecting new stock pricing comprehensively, it not only displays the uncertain
引文
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[2] Baron D.P. A model of the demand for investment banking advising and distribution services for new issues [J]. Journal of Finance, 1982(37):955-976
[3] Rock, Kevin. Why new issues are underpriced [J]. Journal of Finance, 1986 (46):187-212
[4] Schultz, Ph.Zaman. After-market support and underpricing in initial public offerings [J]. Journal of Financial Economics, 1994(35):199-219
[5] Michelle Lowry, Sussan Shu. Litigation riak and IPO underpricing [J]. Journal of Financial Ecnomics, 2002(65):309-335
[6] Rajan, R. H. Servaes. Analyst following of initial public offerings [J]. Journal of Finance, 1997 (50): 507-530
[7] Bossaerts, P. Hillion. IPO Post-Issue Markets: Questionable Predilections But Diligent Learners? working paper, 1998,California Institute of Technology, Pasadena.
[8] Sung-II Cho, A model for IPO pricing and contract choice decision[J] .Quarterly Review of Economics & Finance. Fall 2001(3): 347-365.
[9] Paul A. Gompers, Joy L.Ishii, Andrew Metrick. Corporate Governance and Equity Prices. Quarterly Journal of Economics [J]. 2003(1):107-155.
[10] Michelle Lowry,G.William Schwert. Is the IPO pricing process efficient [J]. Journal of Financial Economics, 2004(71):3-26
[11] 陈礼林,彭晗. 修正的股息现值模型在新股定价中的应用[J].预测, 1999 (5):74-75
[12] 陈述云.新股定价计量模型研究[J]. 理论新探,2001(5):8-9
[13] 孙国茂. 公司价值理论与股票定价[J]. 经济学动态. 2002(2):30-34
[14] 田华,宋耀. 新股上网定价发行模型的建立和检验[J].财政理论与实践,2002 (116):67-69
[15] 丛臻,陈金贤,李树茁.. IPO 竞价发行方式下对胜利者诅咒的分析[J]. 财经理论与实践. 2003(120):109-110
[16] 孙国茂. 上海股票市场 IPO 定价实证分析[J]. 上海经济研究. 2003.(10)26-34
[17] 赵志君. 股票价格对内在价值的偏离度分析[J]. 经济研究. 2003(10)66-74
[18] 孔玉生,王忠杰. 新股上市首日定价的因素分析[J].中国管理科学. 2003 (1):6-9
[19] 张岚. 新股上市首日定价及上市后合理定价模型介绍[J]. 当代财经. 2003(4):59-62
[20] 王鉄锋. 时变情况下股票定价模型研究[J].数量经济技术经济研究. 2003(8):140-142
[21] 白 仲 光 , 张维 . 基 于 随 机 边 界 定 价 模 型 的 新 股 短 期 收 益 研 究 [J]. 管 理 科 学 学报,2003(2)51-59
[22] 林涌,王立. 完善中国证券市场新股发行定价方式[J]. 经济研究参考. 2003(63):26-27
[23] 孔爱国,李哲. IPO 定价的信号模型:信息披露机制有效性检验[J]. 复旦学报(自然科学版).2003,5(787-792)
[24] 龙菊. 新股发行定价: 理论与实现[J]..数量经济技术经济研究. 2003(9):108-111
[25] 张金林. 保险公司 IPO 定价模型探讨 [J]. 投资研究.2004(9):36-40
[26] 周孝华,张光胜,刘星. 公司治理、可保证收入对 IPO 定价的影响[J]. 山西财经大学学报. 2004(5):114-118
[27] 陈卫荣,金雷军. 权威舆论对新股定价的影响分析[J]. 企业经济. 2004(1):180-181
[28] 杜俊涛,周孝华,杨秀苔. .核准制下 IPO 股票定价的再思考[J]. 经济师. 2004(4):130-131
[29] 谢兵,戴盛,谢科范. 中小企业股票市场化发行定价研究[J]. 系统工程.2004(12):72-76
[30] 李庆峰. 二元结构下的新股发行定价研究—兼论新股发行制度大概个可能带来的影响[J]. 中国软科学. 2005(2):34-39
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