本文選題：異質(zhì)性預(yù)期 + 折價(jià)效應(yīng)�。� 參考：《重慶大學(xué)》2012年博士論文

【摘要】：伴隨著經(jīng)濟(jì)體制改革的不斷推進(jìn)和資本市場的發(fā)展壯大，證券市場在我國國民經(jīng)濟(jì)發(fā)展和金融體系改革中發(fā)揮著越來越重要的作用。但政府過度監(jiān)管導(dǎo)致IPO超額收益問題長期存在，這不僅在很大程度上降低了資本市場的配置效率，還影響了二級市場的穩(wěn)定和發(fā)展。近年來，中國證券市場上的“三高”問題引起了國內(nèi)外學(xué)者的廣泛關(guān)注，他們結(jié)合中國的特殊制度背景提出了許多理論假設(shè)，其結(jié)論大都將中國IPO市場上長期存在的超額收益問題歸咎于IPO定價(jià)效率的缺失，這也是促使證監(jiān)會(huì)進(jìn)行詢價(jià)制等新股發(fā)行體制市場化改革的主要?jiǎng)右蛑�。然而，詢價(jià)制的實(shí)施并未如前期文獻(xiàn)預(yù)期的那樣從根本上消除我國IPO超額收益現(xiàn)象，這就使得IPO初始超額收益問題再次成為多方關(guān)注的焦點(diǎn)。那么，是什么原因?qū)е轮袊Y本市場上IPO超額收益現(xiàn)象的長期存在？為何詢價(jià)制在國外能夠取得良好的效果，在中國反而失效了呢？本文以此為切入點(diǎn)，從制度經(jīng)濟(jì)學(xué)和行為金融學(xué)視角，對中國股票市場進(jìn)行全面和系統(tǒng)的研究，以期從理論和實(shí)證上對中國IPO價(jià)格和超額收益的形成機(jī)制進(jìn)行詳實(shí)的解釋和論證，進(jìn)而為中國IPO發(fā)審制度的進(jìn)一步改革和創(chuàng)新提供相應(yīng)的微觀基礎(chǔ)。 首先，從市場參與主體博弈視角論證中國IPO價(jià)格和超額收益的形成機(jī)制。本文以卡塞爾的“激勵(lì)的悖論”博弈模型為基礎(chǔ)，分別建立了發(fā)行公司與承銷保薦機(jī)構(gòu)博弈模型、發(fā)行人(承銷商)與機(jī)構(gòu)投資者博弈模型和監(jiān)管部門與承銷保薦機(jī)構(gòu)博弈模型。通過均衡求解，發(fā)現(xiàn)在信息不對稱條件下，只有當(dāng)績優(yōu)公司上市收益高于績差公司時(shí)，才會(huì)出現(xiàn)分離均衡，此時(shí)，承銷商和投資者能夠分辨發(fā)行公司的資質(zhì)差異；反之，則會(huì)出現(xiàn)混同均衡，此時(shí)，承銷商將承銷所有IPO，，不知情投資者對績優(yōu)公司先驗(yàn)概率判斷失誤則會(huì)導(dǎo)致IPO折價(jià)的產(chǎn)生；此外，政府對一級市場的供給管制必然導(dǎo)致唯一的混同均衡，即超額收益現(xiàn)象的產(chǎn)生。因此，對監(jiān)管部門而言，應(yīng)著力廢除IPO發(fā)行和增發(fā)審批管制，轉(zhuǎn)而規(guī)范信息披露行為，維護(hù)信息披露秩序，保護(hù)投資者合法權(quán)益，降低監(jiān)管成本，提高監(jiān)管效率，加大違規(guī)處罰力度，才能最終消除中國資本市場上的“三高”問題。 其次，基于雙邊隨機(jī)邊界模型對中國IPO詢價(jià)效率進(jìn)行了實(shí)證度量。在合理控制IPO內(nèi)在價(jià)值的基礎(chǔ)上，本文利用詢價(jià)制下新股發(fā)行價(jià)格由發(fā)行人、承銷商和詢價(jià)對象等多方力量的博弈共同決定這一特點(diǎn)，將折價(jià)效應(yīng)和溢價(jià)效應(yīng)同時(shí)納入到雙邊隨機(jī)邊界模型框架下進(jìn)行研究。結(jié)果表明：折價(jià)效應(yīng)使得IPO的實(shí)際價(jià)格比其最優(yōu)價(jià)格低了12.0%，而溢價(jià)效應(yīng)使得IPO的實(shí)際價(jià)格超出其最優(yōu)水平的5.6%，兩者的凈效果導(dǎo)致我國IPO公司整體上表現(xiàn)為發(fā)行折價(jià)，實(shí)際價(jià)格比其最優(yōu)價(jià)格低了6.4%。但值得注意的是，雖然本文的實(shí)證結(jié)果支持了前期IPO折價(jià)理論，但I(xiàn)PO定價(jià)效率較高，發(fā)行人均將IPO價(jià)格定在了其最優(yōu)邊界(內(nèi)在價(jià)值)附近。 第三，從IPO市場供需角度對中國IPO超額收益進(jìn)行分解。在考慮IPO供給管制和需求剛性的基礎(chǔ)上，通過推理和演繹，深入剖析IPO折價(jià)的產(chǎn)生機(jī)理，并將中國IPO超額收益分解為發(fā)行人有意折價(jià)、政府管制溢價(jià)和二級市場溢價(jià)。實(shí)證部分則構(gòu)建了IPO超額收益動(dòng)因檢驗(yàn)?zāi)Ｐ�，對IPO三個(gè)組成部分的動(dòng)因以及市場監(jiān)管政策變遷的有效性進(jìn)行了檢驗(yàn)。結(jié)果表明：政府對股票發(fā)行數(shù)量和節(jié)奏的安排使得新股高出其發(fā)行價(jià)格55.6%，占IPO初始收益的78.2%，而二級市場溢價(jià)和發(fā)行人有意折價(jià)對IPO超額收益的解釋力度僅為2.6%和12.9%。最后穩(wěn)健性檢驗(yàn)表明IPO發(fā)行制度改革確實(shí)降低了IPO折價(jià)程度。由此可見，政府對IPO市場的干預(yù)是導(dǎo)致我國IPO超額收益的主要?jiǎng)右颉?最后，利用購買并持有至到期異常收益率(BHAR)模型，累積異常收益率(CAR)模型，F(xiàn)ama-Frech三因素模型以及資產(chǎn)定價(jià)(CAPM)模型考察了高溢價(jià)IPO個(gè)股上市三年內(nèi)的長期走勢。結(jié)果表明：總體而言，在樣本期內(nèi)，我國IPO在上市后至少一年內(nèi)表現(xiàn)出長期弱勢，然后逐漸由弱轉(zhuǎn)強(qiáng)，從而再次證明本文結(jié)論的穩(wěn)健性：中國IPO超額收益主要源于二級市場溢價(jià)和政府管制溢價(jià)，而并非IPO定價(jià)效率的缺失。 本文的主要貢獻(xiàn)在于：結(jié)合異質(zhì)性信念、發(fā)行供給管制和投資者噪聲交易等因素，對IPO市場參與主體的行動(dòng)策略、IPO詢價(jià)效率、IPO初始收益以及IPO后市長期走勢等現(xiàn)象進(jìn)行了系統(tǒng)全面的研究。結(jié)果表明中國IPO超額收益的根本原因在于政府對股票供給的管制、信息披露機(jī)制不健全以及發(fā)行人社會(huì)責(zé)任的嚴(yán)重缺失，中國IPO市場化改革的重點(diǎn)應(yīng)當(dāng)向逐步廢除上市和增發(fā)審批權(quán)、強(qiáng)化各類信息披露機(jī)制轉(zhuǎn)移，除此之外，其他任何局部的、技術(shù)的變革都將是杯水車薪，最終難逃“泥牛入�！蝗ゲ粡�(fù)返”的厄運(yùn)。
[Abstract]:With the continuous promotion of economic system reform and the development and expansion of the capital market, the securities market plays a more and more important role in the development of national economy and the reform of the financial system. However, excessive government supervision leads to the long-term existence of IPO excess returns, which not only reduces the allocation efficiency of the capital market to a large extent, but also greatly reduces the efficiency of the capital market. The stability and development of the two level market have been affected. In recent years, the "three high" problem in China's securities market has aroused wide attention of scholars at home and abroad. They put forward many theoretical hypotheses in combination with the special system background of China. Most of the conclusions are attributed to the lack of IPO pricing efficiency in China's IPO market for a long time. This is also one of the main motivations for the market reform of the IPO system, such as the SFC. However, the implementation of the inquiry system does not fundamentally eliminate the IPO excess returns in our country as expected in the previous literature, which makes the issue of IPO initial excess return a focus again. The reason leads to the long-term existence of IPO excess returns in China's capital market. Why does the inquiry system have achieved good results in foreign countries and fail in China? This paper takes this as the breakthrough point to make a comprehensive and systematic study of China's stock market from the perspective of institutional economics and behavioral finance, with a view to theoretical and empirical research. This paper gives a detailed explanation and demonstration on the formation mechanism of China's IPO price and excess income, and then provides a microcosmic basis for the further reform and innovation of China's IPO trial system.
First, the formation mechanism of China's IPO price and excess income is demonstrated from the game perspective of the market participants. Based on Cassell's "incentive paradox" game model, the game model of the issuing company and the underwriter agency, the game model of the issuer and the institutional investor, the supervision department and the underwriting sponsor are set up respectively. According to the equilibrium solution, it is found that under the condition of information asymmetry, only when the profit of the best company is higher than the performance of the poor company, the separation equilibrium will appear. At this time, the underwriter and the investor can distinguish the difference of the qualification of the issuing company; on the contrary, there will be a mixed equilibrium. At this time, the underwriter will underwrite all the IPO, I do not know. In addition, the government's supply control to the first level market will inevitably lead to the only mixed equilibrium, that is, the phenomenon of excess returns. Therefore, for the regulatory authorities, the regulatory authorities should try to abolish the IPO issuance and increase the approval control to standardize the information disclosure behavior. To protect the information disclosure order, protect the legal rights and interests of investors, reduce the cost of supervision, improve the efficiency of supervision and increase the punishment of violation of the rules, can we eventually eliminate the "three high" problem in China's capital market.
Secondly, based on the bilateral stochastic boundary model, China's IPO inquiry efficiency is empirically measured. On the basis of the reasonable control of the intrinsic value of IPO, this paper makes use of the multi power game of the issuer, underwriter and inquiry object to determine the characteristics of the new issue price under the inquiry system, and combines the discount effect and the premium effect at the same time. The results show that the actual price of IPO is 12% lower than its optimal price, and the premium effect makes the actual price of IPO exceed the optimal level of 5.6%. The net effect of the two results in the overall performance of the IPO company in China as the discount price, and the actual price is lower than its optimal price. 6.4%., however, is worth noting that, although the empirical results of this paper support the early IPO discount theory, the pricing efficiency of IPO is high, and the per capita price is fixed near the optimal boundary (intrinsic value) of the IPO price.
Third, from the perspective of IPO market supply and demand, we decompose the excess IPO revenue in China. On the basis of IPO supply control and demand rigidity, the mechanism of IPO discount is deeply analyzed through reasoning and deduction, and the excess profit of IPO is decomposed into the issuer's intentional discount, the government regulation premium and the two level market premium. The empirical part is constructed. The IPO excess profit motivation test model is used to test the motivation of the three components of the IPO and the effectiveness of the changes in the market regulation policy. The results show that the government's arrangement of the number and rhythm of the stock issue makes the new shares higher than the issuing price of 55.6%, accounting for 78.2% of the initial revenue of the IPO, and the two level market premium and the issuer's intentional discount. The explanation of IPO excess earnings is only 2.6% and 12.9%. final robustness test shows that the reform of IPO distribution system has indeed reduced the degree of IPO discount. Thus, the intervention of the government to the IPO market is the main cause of the excess returns of IPO in China.
Finally, using the BHAR model, the cumulative abnormal rate of return (BHAR) model, the cumulative abnormal return rate (CAR) model, the Fama-Frech three factor model and the asset pricing (CAPM) model, the long-term trend of the high premium IPO stock listing for three years is examined. The results show that, in general, the IPO in our country appears within at least one year after the listing. A long-term weakness, and then gradually from weak to strong, then proved the robustness of the conclusion of this article: China's IPO excess returns are mainly derived from the two level market premium and the government regulation premium, not the lack of IPO pricing efficiency.
The main contributions of this paper are: combining heterogeneity belief, issuing supply control and investor noise trading, this paper makes a systematic and comprehensive study on the action strategies of the participants in the IPO market, the efficiency of IPO inquiry, the initial income of IPO and the long-term trend of the IPO market. The results show that the fundamental reason for the excess profit of IPO in China lies in the government's policy. The control of the supply of the stock, the unsound disclosure mechanism of the information and the serious lack of social responsibility of the issuer, the focus of China's IPO market reform should be to gradually abolish the listing and increase the approval authority and to strengthen the transfer of various information disclosure mechanisms. In addition, any other local and technical changes will be a cup of water, and ultimately it is difficult to escape. "The mud goes into the sea - a bad luck to go."
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F832.51

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