基于非理性行为的IPO价格形成机制和抑价研究
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摘要
新股发行定价及其抑价问题的研究得到了国内外学者的广泛关注,但对于新股的定价研究一般主要是集中在对新股抑价的解释和会计信息含量的检验方面,而这对于承销商尤其是对于新兴加转轨市场中的我国承销商在应用中缺乏理论上的指导意义。我国的证券市场存在很多特有的性质,承销商在实际承销商过程中所急切需要的是适合我国特殊国情的,能够切实提高定价水平的理论估值模型。这恰恰是国内学术界关于新股价格行为研究的一个空白。在市场成熟度、发行制度等方面的差异又使得在我国研究新股发行价格的估值模型问题变得非常有价值。因而鉴于此,本文尝试从我国众多的中小投资者的非理性行为角度,尝试着来刻画我国的中小投资者是如何看待IPO(Initial Public Offering)的价格形成机理的。
另外IPOs抑价现象一直被认为是新股领域甚至是证券市场上的热点问题并得到众多学者的关注,对IPOs抑价现象的正确解释,需要对发行价与首日收盘价之间的关系进行系统性研究,然而有关研究表明问题并非如此简单。实质上,这些现象涉及到信息不对称、承销商自身保护等诸多问题。通过建立不同的模型和假说试图找出IPOs抑价的真正原因,尽管取得了一些成果,但始终没有哪一家理论能够占据主导地位。行为金融学的兴起,投资者非理性概念的引入,为证券市场IPO抑价和价格形成机制的研究开启了新的大门。
因此本文试图利用行为金融学中的投资者非理性行为的相关概念,从我国广大中小投资者的非理性角度,对核准制询价下的我国IPO价格形成机制和抑价展开相关讨论。
以往的IPO定价都从发行人和承销商的角度,对IPO的价格形成进行描述。而本文将从一个新的视角-投资者非理性行为出发来对IPO价格形成机制进行描述,可以这样的理由在于:现在我国实行核准制下的询价制度,而该制度是一种市场化的定价方式,要求有广大的投资者参与其中,以便制定出合理的价格,因此投资者理论上不再是价格的被动接受者。所以本文通过引入行为金融学中投资者心态模型,讨论了在目前我国IPO询价机制下广大中小投资者行为对IPO价格形成的影响。通过借鉴BSV模型,结合我国的实际,建立了中小投资者的基本心态模型与扩展心态模型,在此基础上,在IPO的估值模型中引入了两种投资者心态,分别讨论了两种模型下中小投资者对IPO价格形成机制的影响,得出了基于两种心态模型下的IPO价格的理论表示,从理论上剖析了基于我国中小投资者心态模型的IPO价格形成机理,并从模型中发现投资者的非理性行为引起价格偏离了价值,而这对发行人和承销商在询价下,了解广大中小投资者对IPO价格的形成有借鉴的作用,也为他们制定出合理的IPO价格有理论上的帮助。
由于我国的股市时间不长,中小投资者不成熟,并从以上的研究中,可知中小投资者对IPO价格的影响,所以认为我国的IPO抑价与中小投资者的非理性行为有关,借鉴Ljungqvist,Nanda和Singh的模型,并结合我国的实际情况,对之进行改造,从我国IPO发行人以筹集资金最大化为目的入手,并假设发行人、承销商和机构投资者相互勾结,共同来攫取中小投资者的消费者剩余,根据这个理念,建立了适合我国股票市场情形的相关IPO抑价理论模型,对我国的IPO表现的高抑价这种现象进行讨论。通过模型的讨论,从理论上发现我国的IPO高抑价可能与我国存在众多的非理性中小投资者的非理性交易有直接的关系,他们的非理性交易行为可能是导致IPO抑价的原因之一。
利用随机前沿模型实证了我国的IPO抑价中可能存在中小投资者的非理性行为交易。并根据我国非理性投资者的特点,寻找与之相关的解释变量,运用计量经济学的方法,对我国的IPO抑价进行检验,根据结果对抑价和各解释变量的相关性进行解释,检验了IPO抑价模型的推断:非理性投资者的非理性交易行为可能是我国IPO抑价的原因之一。
本文创新之处在于:
首先,利用行为金融学中的投资者心态模型,结合我国实际,把我国中小投资者的非理性行为引入模型,从投资者的角度评价IPO价格形成机制,得到了IPO价格的基本表达式;之后再假定这些投资者在考虑机构投资者的情形下,IPO价格的变化,对模型进行了扩展,并从模型中发现投资者的非理性行为引起价格偏离了价值。
其次,借鉴Ljungqvist,Nanda和Singh的模型并对之进行改造,从我国IPO发行人以筹集资金最大化为目的入手,并假设发行人、承销商和机构投资者相互勾结,共同来攫取中小投资者的消费者剩余,根据这个理念,建立适合我国股票市场情形的相关IPO抑价理论模型,对我国的IPO表现的高抑价这种现象进行讨论。
最后,利用随机前沿模型实证了我国IPO抑价中存在中小投资者的非理性交易,并构建和设计只与投资者非理性相关的指标(排除与非理性无关的指标),通过建立统计模型,对上述的抑价模型进行实证检验。
The research aim in this paper is as follows: On the basis of some studies on the effect of the land right steady on household invest and rural land system performance and the relationship between rural land system and agricultural economic growth, we will put emphasis on discussing the performance appraising systems of the land ownership and the land use right in this paper and search the reform road to the rural land system in China through comparing the two system performance. We will regard the rural land system as the research object and use the empirical analysis and the normal analysis according to new institutional economics.
Studies on new stock’s offering pricing and underpricing have already widely drawn the scholars attention home and abroad, but the studies on new stock’s pricing almost concentrate on explaining the underpricing of new stock, as well as testing the accounting information content. However, these studies can not guide the underwriters, especially the Chinese underwriters, who are in a newly emerging and transitional market. Chinese securities market has many characteristics of its own, so in the process of practical underwriting, the underwriters are eager to find a theoretical evaluation model, which suits for the situation of China and can improve the level of pricing. But, there has been no study on new stock price activity in Chinese academe yet. While, because of the differences of market maturity extent and issuing system, the study on evaluation model, which is used to study offering price of new stocks becomes extremely valuable. So this dissertation tries to describe what Chinese medium and small investors think of the IPO price formation mechanism form the perspective of irrational behaviors of Chinese medium and small investors.
IPOs underpricing phenomenon has always been considered as one of hot spots in new stock field, even in securities market, and it has also attracted many scholars attention. In order to explain the IPOs underpricing phenomenon correctly, we have to study the relationship between offering price and initial close price systematically, but relative studies show that the problem is not so simple. Essentially, these phenomenons involve many aspects, such as information asymmetry, underwriter’s self protection, and so on. Many scholars have already tried to establish various models and hypotheses in order to find out the real reason of IPOs underpricing. Although they have made some achievements, there has been no theory that takes the dominant position. The rise of Behavior Finance and the introduction of the concept of investor’s irrationality opened a door to the study on IPO underpricing and price formation mechanism.
So this dissertation tries to make use of some concepts relative to investor’s irrational behaviors in Finance to discuss the IPO price formation mechanism and underpricing, which are under the Checking System and Inquire Price System in our country, from the perspective of Chinese medium and small investors’irrationality.
The previous studies on IPOs pricing described the price formation of IPO from the aspect of issuer and underwriter, while, this dissertation tries to dissertation tries to describe the price formation of IPO from a new perspective, i.e the investor’s irrational behaviors. The reason why this method is feasible is that the Inquire Price System under the Checking System is implemented in our country. This system is a marketization prizing one, and it requires the investors to be involved in so as to establish reasonable prices. So theoretically, the investors are not passive price acceptors any more. Therefore, this dissertation discusses the influence the medium and small investors make on the IPO price formation under Inquire Mechanism by introducing in the Investor’s Psychology Model from Behavior Finance. By learning from BVS Model and combining the reality of China, the writer establishes a medium and small investor’s basic psychology model and extended psychology model in this dissertation. On the basis of this, two kinds of investor’s psychology model are introduced into IPO Evaluation Model, in order to discuss the influence the medium and small inventors make on the IPO price formation mechanism under these two models respectively, and then we get an IPO price theory on the basis of those two kinds of psychology models. It analyzes the IPO price formation mechanism based on the Chinese medium and small investors’psychology models theoretically, and discovers the fact that the investors’irrational behaviors cause price to deviate from value. And this discovery helps the issuers and underwriters realize that under Inquire Price System, the medium and small investors influence the formation of IPO price. And it also provides them with theoretical support for making reasonable IPO price.
Because the Chinese stock market doesn’t have a long history, the investors are not mature. And from the studies mentioned above, we can know the investors do influence the IPO price. So the writer believes that the IPO underpricing of our country is relevant to investors’irrational behaviors. Learning from Ljungqvist,Nanda and Singh’s model, and combining it with the reality of China, the writer reforms this model. Starting from the fact that Chinese IPO issuers aim at collecting the funds to the largest extent, the writer presumes that the issuers, underwriters and organization investors colludes together so as to grab the consumer surplus. On the basis of this idea, the IPO underpicing theory model relative to the situation of Chinese stock market is established in this dissertation, so as to discuss the underpricing phenomenon of IPO in our country. By discussing the models, we can get a conclusion that the IPO underpricing in China may be relevant to the irrational deals of vast irrational medium and small investors of our country. And their irrational dealing activity may be one of the factors that cause IPO underpring.
This dissertation makes use of the Stochastic Frontier Model to prove that the irrational behaviors of medium and small investors may exist in IPO understanding in China. On the basis of the irrational investor’s characteristics, this dissertation looks for relevant explanatory variables, takes advantage of the methods from econometrics, in order to test the IPO underpricing in our country. Then, basing on the result of the test, this dissertation explains the relativity between the underpricing and various explanatory variables, and tests the conclusion of IPO underpricing model, i.e irrational investors’irrational behaviors may be one of the factors resulting in the IPO underpricing in China.
The following are the innovation of this paper:
Firstly, this dissertation takes advantage of Investor’s Psychology Model of Finance, combine it with the reality of our country, introduce the Chinese medium and small investors’irrational behaviors into this model, and estimate the IPO pricing formation mechanism form the perspective of investors, and then it obtains a basic representation of IPO price. Then, it presumes that the investors put the organization investors into consideration to describe the changes of IPO price, so it extends this model, from which we find out that the investor’s irrational behaviors result in value deviation.
Secondly, Learning from Ljungqvist,Nanda and Singh’s model , and combining it with the reality of China, this dissertation reforms this model. Starting from the fact that Chinese IPO issuers aim at collecting the funds to the largest extent, the writer presumes that the issuers, underwriters and organization investors colludes together so as to grab the consumer surplus. On the basis of this idea, the IPO underpicing theory model relevant to the situation of Chinese stock market is established, so as to discuss the underpricing phenomenon of IPO in our country.
At last, this dissertation makes use of Stochastic Frontier Model to prove that the medium and small investors’irrational deals do exist in IPO underpricing in our country. And this dissertation establishes and designs the indexes which are only relative to investors’irrationality (the indexes irrelevant to irrationality are excluded). And the writer makes empirical test on the underpricing model mentioned above through establishing statistics model, too.
另外IPOs抑价现象一直被认为是新股领域甚至是证券市场上的热点问题并得到众多学者的关注,对IPOs抑价现象的正确解释,需要对发行价与首日收盘价之间的关系进行系统性研究,然而有关研究表明问题并非如此简单。实质上,这些现象涉及到信息不对称、承销商自身保护等诸多问题。通过建立不同的模型和假说试图找出IPOs抑价的真正原因,尽管取得了一些成果,但始终没有哪一家理论能够占据主导地位。行为金融学的兴起,投资者非理性概念的引入,为证券市场IPO抑价和价格形成机制的研究开启了新的大门。
因此本文试图利用行为金融学中的投资者非理性行为的相关概念,从我国广大中小投资者的非理性角度,对核准制询价下的我国IPO价格形成机制和抑价展开相关讨论。
以往的IPO定价都从发行人和承销商的角度,对IPO的价格形成进行描述。而本文将从一个新的视角-投资者非理性行为出发来对IPO价格形成机制进行描述,可以这样的理由在于:现在我国实行核准制下的询价制度,而该制度是一种市场化的定价方式,要求有广大的投资者参与其中,以便制定出合理的价格,因此投资者理论上不再是价格的被动接受者。所以本文通过引入行为金融学中投资者心态模型,讨论了在目前我国IPO询价机制下广大中小投资者行为对IPO价格形成的影响。通过借鉴BSV模型,结合我国的实际,建立了中小投资者的基本心态模型与扩展心态模型,在此基础上,在IPO的估值模型中引入了两种投资者心态,分别讨论了两种模型下中小投资者对IPO价格形成机制的影响,得出了基于两种心态模型下的IPO价格的理论表示,从理论上剖析了基于我国中小投资者心态模型的IPO价格形成机理,并从模型中发现投资者的非理性行为引起价格偏离了价值,而这对发行人和承销商在询价下,了解广大中小投资者对IPO价格的形成有借鉴的作用,也为他们制定出合理的IPO价格有理论上的帮助。
由于我国的股市时间不长,中小投资者不成熟,并从以上的研究中,可知中小投资者对IPO价格的影响,所以认为我国的IPO抑价与中小投资者的非理性行为有关,借鉴Ljungqvist,Nanda和Singh的模型,并结合我国的实际情况,对之进行改造,从我国IPO发行人以筹集资金最大化为目的入手,并假设发行人、承销商和机构投资者相互勾结,共同来攫取中小投资者的消费者剩余,根据这个理念,建立了适合我国股票市场情形的相关IPO抑价理论模型,对我国的IPO表现的高抑价这种现象进行讨论。通过模型的讨论,从理论上发现我国的IPO高抑价可能与我国存在众多的非理性中小投资者的非理性交易有直接的关系,他们的非理性交易行为可能是导致IPO抑价的原因之一。
利用随机前沿模型实证了我国的IPO抑价中可能存在中小投资者的非理性行为交易。并根据我国非理性投资者的特点,寻找与之相关的解释变量,运用计量经济学的方法,对我国的IPO抑价进行检验,根据结果对抑价和各解释变量的相关性进行解释,检验了IPO抑价模型的推断:非理性投资者的非理性交易行为可能是我国IPO抑价的原因之一。
本文创新之处在于:
首先,利用行为金融学中的投资者心态模型,结合我国实际,把我国中小投资者的非理性行为引入模型,从投资者的角度评价IPO价格形成机制,得到了IPO价格的基本表达式;之后再假定这些投资者在考虑机构投资者的情形下,IPO价格的变化,对模型进行了扩展,并从模型中发现投资者的非理性行为引起价格偏离了价值。
其次,借鉴Ljungqvist,Nanda和Singh的模型并对之进行改造,从我国IPO发行人以筹集资金最大化为目的入手,并假设发行人、承销商和机构投资者相互勾结,共同来攫取中小投资者的消费者剩余,根据这个理念,建立适合我国股票市场情形的相关IPO抑价理论模型,对我国的IPO表现的高抑价这种现象进行讨论。
最后,利用随机前沿模型实证了我国IPO抑价中存在中小投资者的非理性交易,并构建和设计只与投资者非理性相关的指标(排除与非理性无关的指标),通过建立统计模型,对上述的抑价模型进行实证检验。
The research aim in this paper is as follows: On the basis of some studies on the effect of the land right steady on household invest and rural land system performance and the relationship between rural land system and agricultural economic growth, we will put emphasis on discussing the performance appraising systems of the land ownership and the land use right in this paper and search the reform road to the rural land system in China through comparing the two system performance. We will regard the rural land system as the research object and use the empirical analysis and the normal analysis according to new institutional economics.
Studies on new stock’s offering pricing and underpricing have already widely drawn the scholars attention home and abroad, but the studies on new stock’s pricing almost concentrate on explaining the underpricing of new stock, as well as testing the accounting information content. However, these studies can not guide the underwriters, especially the Chinese underwriters, who are in a newly emerging and transitional market. Chinese securities market has many characteristics of its own, so in the process of practical underwriting, the underwriters are eager to find a theoretical evaluation model, which suits for the situation of China and can improve the level of pricing. But, there has been no study on new stock price activity in Chinese academe yet. While, because of the differences of market maturity extent and issuing system, the study on evaluation model, which is used to study offering price of new stocks becomes extremely valuable. So this dissertation tries to describe what Chinese medium and small investors think of the IPO price formation mechanism form the perspective of irrational behaviors of Chinese medium and small investors.
IPOs underpricing phenomenon has always been considered as one of hot spots in new stock field, even in securities market, and it has also attracted many scholars attention. In order to explain the IPOs underpricing phenomenon correctly, we have to study the relationship between offering price and initial close price systematically, but relative studies show that the problem is not so simple. Essentially, these phenomenons involve many aspects, such as information asymmetry, underwriter’s self protection, and so on. Many scholars have already tried to establish various models and hypotheses in order to find out the real reason of IPOs underpricing. Although they have made some achievements, there has been no theory that takes the dominant position. The rise of Behavior Finance and the introduction of the concept of investor’s irrationality opened a door to the study on IPO underpricing and price formation mechanism.
So this dissertation tries to make use of some concepts relative to investor’s irrational behaviors in Finance to discuss the IPO price formation mechanism and underpricing, which are under the Checking System and Inquire Price System in our country, from the perspective of Chinese medium and small investors’irrationality.
The previous studies on IPOs pricing described the price formation of IPO from the aspect of issuer and underwriter, while, this dissertation tries to dissertation tries to describe the price formation of IPO from a new perspective, i.e the investor’s irrational behaviors. The reason why this method is feasible is that the Inquire Price System under the Checking System is implemented in our country. This system is a marketization prizing one, and it requires the investors to be involved in so as to establish reasonable prices. So theoretically, the investors are not passive price acceptors any more. Therefore, this dissertation discusses the influence the medium and small investors make on the IPO price formation under Inquire Mechanism by introducing in the Investor’s Psychology Model from Behavior Finance. By learning from BVS Model and combining the reality of China, the writer establishes a medium and small investor’s basic psychology model and extended psychology model in this dissertation. On the basis of this, two kinds of investor’s psychology model are introduced into IPO Evaluation Model, in order to discuss the influence the medium and small inventors make on the IPO price formation mechanism under these two models respectively, and then we get an IPO price theory on the basis of those two kinds of psychology models. It analyzes the IPO price formation mechanism based on the Chinese medium and small investors’psychology models theoretically, and discovers the fact that the investors’irrational behaviors cause price to deviate from value. And this discovery helps the issuers and underwriters realize that under Inquire Price System, the medium and small investors influence the formation of IPO price. And it also provides them with theoretical support for making reasonable IPO price.
Because the Chinese stock market doesn’t have a long history, the investors are not mature. And from the studies mentioned above, we can know the investors do influence the IPO price. So the writer believes that the IPO underpricing of our country is relevant to investors’irrational behaviors. Learning from Ljungqvist,Nanda and Singh’s model, and combining it with the reality of China, the writer reforms this model. Starting from the fact that Chinese IPO issuers aim at collecting the funds to the largest extent, the writer presumes that the issuers, underwriters and organization investors colludes together so as to grab the consumer surplus. On the basis of this idea, the IPO underpicing theory model relative to the situation of Chinese stock market is established in this dissertation, so as to discuss the underpricing phenomenon of IPO in our country. By discussing the models, we can get a conclusion that the IPO underpricing in China may be relevant to the irrational deals of vast irrational medium and small investors of our country. And their irrational dealing activity may be one of the factors that cause IPO underpring.
This dissertation makes use of the Stochastic Frontier Model to prove that the irrational behaviors of medium and small investors may exist in IPO understanding in China. On the basis of the irrational investor’s characteristics, this dissertation looks for relevant explanatory variables, takes advantage of the methods from econometrics, in order to test the IPO underpricing in our country. Then, basing on the result of the test, this dissertation explains the relativity between the underpricing and various explanatory variables, and tests the conclusion of IPO underpricing model, i.e irrational investors’irrational behaviors may be one of the factors resulting in the IPO underpricing in China.
The following are the innovation of this paper:
Firstly, this dissertation takes advantage of Investor’s Psychology Model of Finance, combine it with the reality of our country, introduce the Chinese medium and small investors’irrational behaviors into this model, and estimate the IPO pricing formation mechanism form the perspective of investors, and then it obtains a basic representation of IPO price. Then, it presumes that the investors put the organization investors into consideration to describe the changes of IPO price, so it extends this model, from which we find out that the investor’s irrational behaviors result in value deviation.
Secondly, Learning from Ljungqvist,Nanda and Singh’s model , and combining it with the reality of China, this dissertation reforms this model. Starting from the fact that Chinese IPO issuers aim at collecting the funds to the largest extent, the writer presumes that the issuers, underwriters and organization investors colludes together so as to grab the consumer surplus. On the basis of this idea, the IPO underpicing theory model relevant to the situation of Chinese stock market is established, so as to discuss the underpricing phenomenon of IPO in our country.
At last, this dissertation makes use of Stochastic Frontier Model to prove that the medium and small investors’irrational deals do exist in IPO underpricing in our country. And this dissertation establishes and designs the indexes which are only relative to investors’irrationality (the indexes irrelevant to irrationality are excluded). And the writer makes empirical test on the underpricing model mentioned above through establishing statistics model, too.
引文
①资料来源:饶育蕾,刘达锋.行为金融学[M].上海:上海财经大学出版社,2003:6-6.
①资料来源:Russell J.Fuller. Behavioral Finance and the Sources of Alpha[M].CFA, 2000, February.
①孙荣恒.随机过程及其应用[M].北京:清华大学出版社,2004
①谢百三主编.证券投资学[M].北京:清华大学出版社,2005.
①2001年4月23日用友软件开始发行上市,是实行核准制的第一只股票;2005年5月24日兰花股份发行上市,是股改前发行上市的最后一只股票。
②沪市中的两只历史遗留问题股是小商品城(600415)和山东金泰(600385);深市中两只采用换股方式发行的股票是TCL集团(000100)和吉电股份(000875)。
①陆建军.中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,2002,17(4):35-38
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①2001年4月23日用友软件开始发行上市,是实行核准制的第一只股票;2005年5月24日兰花股份发行上市,是股改前发行上市的最后一只股票。
②沪市中的两只历史遗留问题股是小商品城(600415)和山东金泰(600385);深市中两只采用换股方式发行的股票是TCL集团(000100)和吉电股份(000875)。
①陆建军.中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,2002,17(4):35-38
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