我國(guó)詢價(jià)制下IPO價(jià)格形成與抑價(jià)研究
發(fā)布時(shí)間：2018-08-15 15:28
【摘要】：新股發(fā)行定價(jià)和抑價(jià)問題近幾十年以來一直是金融學(xué)的熱點(diǎn)，受到國(guó)內(nèi)外學(xué)者們的廣泛關(guān)注。國(guó)外學(xué)者針對(duì)新股發(fā)行的定價(jià)抑價(jià)問題進(jìn)行了大量的研究，并提出了一系列理論和假說試圖對(duì)其進(jìn)行解釋，然而到目前為止還沒有哪一種理論能得到學(xué)者們的統(tǒng)一認(rèn)同。我國(guó)證券市場(chǎng)成立以來，IPO定價(jià)制度一直在不斷地改進(jìn)和完善。1999年《證券法》實(shí)施之前，我國(guó)新股發(fā)行一直實(shí)行審批制，之后逐漸向核準(zhǔn)制過渡。不少學(xué)者對(duì)新股定價(jià)問題進(jìn)行了有益的研究和探討，但主要集中在圍繞IPO抑價(jià)解釋其產(chǎn)生原因。2005年我國(guó)新股詢價(jià)機(jī)制實(shí)施至今，主要經(jīng)歷了兩次大的詢價(jià)發(fā)行機(jī)制改革，，新股抑價(jià)現(xiàn)象有所緩解，但又出現(xiàn)新股定價(jià)市盈率高，超募現(xiàn)象明顯等一系列新的問題。國(guó)內(nèi)許多學(xué)者發(fā)現(xiàn)并研究了了我國(guó)的IPO抑價(jià)現(xiàn)象，但結(jié)合我國(guó)詢價(jià)機(jī)制的特色來研究新股定價(jià)和抑價(jià)并不多見。在這種情況下，研究我國(guó)新股詢價(jià)制下IPO價(jià)格形成和抑價(jià)現(xiàn)象就變得非常有價(jià)值。 針對(duì)我國(guó)詢價(jià)機(jī)制的實(shí)際情況，本文從詢價(jià)機(jī)制的獨(dú)特性和詢價(jià)發(fā)行機(jī)制改革出發(fā)，對(duì)我國(guó)IPO價(jià)格形成和抑價(jià)現(xiàn)象進(jìn)行研究，試圖從理論和實(shí)證兩方面進(jìn)行解釋和論證。本文的研究主要從四個(gè)方面展開。 本文首先研究?jī)呻A段詢價(jià)制下的IPO價(jià)格形成。詢價(jià)制實(shí)施以來，新股發(fā)行的兩階段詢價(jià)制一直存在。雖然目前在中小企業(yè)板和創(chuàng)業(yè)板上市的公司可以直接通過初步詢價(jià)確定發(fā)行價(jià)格，但主板發(fā)行的股票仍然分兩個(gè)階段詢價(jià)。本文結(jié)合我國(guó)IPO詢價(jià)的現(xiàn)實(shí)，在詢價(jià)分為初步詢價(jià)和累計(jì)投標(biāo)詢價(jià)兩個(gè)階段的前提下，分別研究了機(jī)構(gòu)投資者兩階段的均衡報(bào)價(jià)策略及最終的IPO價(jià)格形成，從理論上剖析了機(jī)構(gòu)投資者初步詢價(jià)時(shí)隱藏需求報(bào)價(jià)壓低發(fā)行價(jià)格的動(dòng)機(jī)。研究結(jié)果表明，機(jī)構(gòu)投資者會(huì)在初步詢價(jià)時(shí)有意隱藏其需求，最終的均衡價(jià)格為初步詢價(jià)后承銷商確定的發(fā)行價(jià)格區(qū)間上限，且初步詢價(jià)時(shí)機(jī)構(gòu)投資者需求隱藏比例越大，IPO發(fā)行價(jià)格越小，承銷商確定的發(fā)行價(jià)格區(qū)間寬度越大，IPO發(fā)行價(jià)格越大。另外，實(shí)證結(jié)果也證實(shí)了結(jié)論的正確性。 其次，采用進(jìn)化博弈論分析單階段詢價(jià)制下的IPO價(jià)格形成。在單階段詢價(jià)和新股定價(jià)窗口指導(dǎo)淡化的前提下，對(duì)詢價(jià)對(duì)象群體建立單群體進(jìn)化博弈模型，分析新股詢價(jià)過程中詢價(jià)對(duì)象報(bào)價(jià)行為和新股發(fā)行價(jià)格的形成。進(jìn)化博弈模型的分析表明，詢價(jià)對(duì)象的報(bào)價(jià)行為及IPO價(jià)格的形成與詢價(jià)對(duì)象對(duì)新股抑價(jià)的估計(jì)均值有關(guān)。當(dāng)詢價(jià)對(duì)象對(duì)新股抑價(jià)率均值估計(jì)較大時(shí)，詢價(jià)對(duì)象會(huì)傾向于選擇高報(bào)價(jià)，以便獲得新股配售通過二級(jí)市場(chǎng)出售新股獲得一定盈利。詢價(jià)對(duì)象群體中越多的個(gè)體選擇高報(bào)價(jià)，承銷商的定價(jià)也會(huì)越高，很可能高到偏離上市公司的內(nèi)在價(jià)值。當(dāng)詢價(jià)對(duì)象對(duì)新股抑價(jià)率均值估計(jì)較小時(shí)，詢價(jià)對(duì)象會(huì)傾向于選擇低報(bào)價(jià)，或者不參與新股詢價(jià)。詢價(jià)對(duì)象群體中越多的個(gè)體選擇低報(bào)價(jià)，承銷商的定價(jià)也會(huì)越低，很可能低到偏離上市公司的內(nèi)在價(jià)值；不參與新股詢價(jià)的機(jī)構(gòu)足夠多時(shí)會(huì)出現(xiàn)新股由于詢價(jià)機(jī)構(gòu)不足而終止發(fā)行的現(xiàn)象。 再次，本文以兩次詢價(jià)發(fā)行機(jī)制改革為背景，選取2006年到2011年我國(guó)中小企業(yè)板上首次公開發(fā)行上市的公司數(shù)據(jù)為樣本，采用隨機(jī)邊界模型，實(shí)證研究了兩次改革前后新股發(fā)行定價(jià)是否存在故意折價(jià)現(xiàn)象。研究結(jié)果表明，兩次詢價(jià)發(fā)行機(jī)制改革后，中小企業(yè)板的IPO抑價(jià)率均存在顯著降低；第一次詢價(jià)發(fā)行機(jī)制改革前顯著存在新股折價(jià)行為，且折價(jià)比例不容忽視，新股折價(jià)加劇了新股的高抑價(jià)；而第一次詢價(jià)發(fā)行機(jī)制改革后不存在新股折價(jià)行為，新股抑價(jià)的來源幾乎完全在二級(jí)市場(chǎng)估值過高上面；第二次詢價(jià)發(fā)行機(jī)制改革前后新股定價(jià)行為沒有明顯變化。 最后，本文仍然以兩次詢價(jià)發(fā)行機(jī)制改革為背景，以上一章的數(shù)據(jù)為樣本，建立多元回歸模型，研究了改革前后新股投機(jī)行為對(duì)IPO抑價(jià)率的影響。研究結(jié)果表明，新股投機(jī)行為是形成我國(guó)中小企業(yè)板IPO抑價(jià)的主要原因之一，且新股投機(jī)行為與IPO抑價(jià)之間始終具有顯著的正相關(guān)關(guān)系；兩次詢價(jià)發(fā)行機(jī)制改革后，新股投機(jī)行為對(duì)IPO抑價(jià)的解釋力度都明顯增強(qiáng)，且第二次詢價(jià)發(fā)行機(jī)制改革后，新股投機(jī)行為已經(jīng)成為IPO抑價(jià)最重要的決定力量。
[Abstract]:The issue of IPO pricing and underpricing has been a hot topic in finance in recent decades and has attracted much attention from scholars both at home and abroad. Since the establishment of China's securities market, the IPO pricing system has been constantly improved and perfected. Before the implementation of the Securities Law in 1999, China's new share issuance has been under the examination and approval system, and then gradually transited to the approval system. Many scholars have conducted useful research and Discussion on the issue of new share pricing, but the main collection. Since the implementation of the inquiry mechanism in 2005, there have been two major reforms of the inquiry issuance mechanism in China, and the phenomenon of underpricing has been alleviated. However, a series of new problems have emerged, such as the high price-earnings ratio of new shares and the obvious phenomenon of over-offering. PO underpricing phenomenon, but it is rare to study IPO pricing and underpricing combining with the characteristics of China's inquiry mechanism.
In view of the actual situation of China's inquiry mechanism, this paper, starting from the uniqueness of inquiry mechanism and the reform of inquiry issuing mechanism, studies the formation and underpricing of IPO price in China, and tries to explain and demonstrate it from both theoretical and empirical aspects.
This paper first studies the IPO price formation under the two-stage inquiry system. Since the implementation of the inquiry system, the two-stage inquiry system for new stock issuance has always existed. Under the premise of dividing the inquiry into two stages of initial inquiry and cumulative bidding inquiry, this paper studies the equilibrium strategy of institutional investors in two stages and the formation of final IPO price, and theoretically analyzes the motive of hidden demand quotation to lower the issuing price when institutional investors make initial inquiry. Institutional investors intentionally hide their demand during the initial inquiry. The ultimate equilibrium price is the upper limit of the issuing price range determined by Underwriters after the initial inquiry. The larger the hidden demand ratio of institutional investors during the initial inquiry, the smaller the IPO issuing price, the wider the range of issuing price determined by underwriters, and the larger the IPO issuing price. The empirical results also confirm the correctness of the conclusion.
Secondly, the evolutionary game theory is used to analyze the IPO price formation under the single-stage inquiry system. On the premise of weakening the guidance of the single-stage inquiry and the new share pricing window, the single-group evolutionary game model is established for the inquiry target group, and the bidding behavior of the inquiry target and the formation of the IPO price in the process of the new share inquiry are analyzed. The analysis shows that the bidding behavior and IPO price formation of the inquiry object are related to the estimated mean of the underpricing of the new shares. The more individuals choose to quote high, the higher the underwriter's pricing will be, and it is likely to deviate from the intrinsic value of listed companies. The lower the price is, the more likely it is to deviate from the intrinsic value of the listed company; when enough institutions do not participate in the new share inquiry, the issue of new shares will be terminated due to the lack of inquiry institutions.
Thirdly, based on the background of the two inquiry issuing mechanism reforms, this paper selects the data of IPOs on SMEs board from 2006 to 2011 as a sample and employs the stochastic boundary model to study whether there is deliberate discount in the IPO pricing before and after the two reforms. After the reform of the system, the IPO underpricing rate of the SME board has been significantly reduced; before the first inquiry issuing mechanism reform, there was a significant discount behavior of new shares, and the discount ratio can not be ignored; the discount of new shares aggravated the high underpricing of new shares; but after the first inquiry issuing mechanism reform, there was no discount behavior of new shares, and the source of the underpricing of new shares was almost the same. It is entirely above the overvaluation of the secondary market; there is no significant change in the pricing behavior of new shares before and after the reform of the second inquiry issuing mechanism.
Finally, based on the two-time inquiry issuing mechanism reform, this paper establishes a multiple regression model to study the impact of new stock speculation on IPO underpricing before and after the reform. In order to have a significant positive correlation with IPO underpricing, speculation has become the most important determinant of IPO underpricing after the two inquiry issuing mechanism reforms.
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224
本文編號(hào)：2184626
[Abstract]:The issue of IPO pricing and underpricing has been a hot topic in finance in recent decades and has attracted much attention from scholars both at home and abroad. Since the establishment of China's securities market, the IPO pricing system has been constantly improved and perfected. Before the implementation of the Securities Law in 1999, China's new share issuance has been under the examination and approval system, and then gradually transited to the approval system. Many scholars have conducted useful research and Discussion on the issue of new share pricing, but the main collection. Since the implementation of the inquiry mechanism in 2005, there have been two major reforms of the inquiry issuance mechanism in China, and the phenomenon of underpricing has been alleviated. However, a series of new problems have emerged, such as the high price-earnings ratio of new shares and the obvious phenomenon of over-offering. PO underpricing phenomenon, but it is rare to study IPO pricing and underpricing combining with the characteristics of China's inquiry mechanism.
In view of the actual situation of China's inquiry mechanism, this paper, starting from the uniqueness of inquiry mechanism and the reform of inquiry issuing mechanism, studies the formation and underpricing of IPO price in China, and tries to explain and demonstrate it from both theoretical and empirical aspects.
This paper first studies the IPO price formation under the two-stage inquiry system. Since the implementation of the inquiry system, the two-stage inquiry system for new stock issuance has always existed. Under the premise of dividing the inquiry into two stages of initial inquiry and cumulative bidding inquiry, this paper studies the equilibrium strategy of institutional investors in two stages and the formation of final IPO price, and theoretically analyzes the motive of hidden demand quotation to lower the issuing price when institutional investors make initial inquiry. Institutional investors intentionally hide their demand during the initial inquiry. The ultimate equilibrium price is the upper limit of the issuing price range determined by Underwriters after the initial inquiry. The larger the hidden demand ratio of institutional investors during the initial inquiry, the smaller the IPO issuing price, the wider the range of issuing price determined by underwriters, and the larger the IPO issuing price. The empirical results also confirm the correctness of the conclusion.
Secondly, the evolutionary game theory is used to analyze the IPO price formation under the single-stage inquiry system. On the premise of weakening the guidance of the single-stage inquiry and the new share pricing window, the single-group evolutionary game model is established for the inquiry target group, and the bidding behavior of the inquiry target and the formation of the IPO price in the process of the new share inquiry are analyzed. The analysis shows that the bidding behavior and IPO price formation of the inquiry object are related to the estimated mean of the underpricing of the new shares. The more individuals choose to quote high, the higher the underwriter's pricing will be, and it is likely to deviate from the intrinsic value of listed companies. The lower the price is, the more likely it is to deviate from the intrinsic value of the listed company; when enough institutions do not participate in the new share inquiry, the issue of new shares will be terminated due to the lack of inquiry institutions.
Thirdly, based on the background of the two inquiry issuing mechanism reforms, this paper selects the data of IPOs on SMEs board from 2006 to 2011 as a sample and employs the stochastic boundary model to study whether there is deliberate discount in the IPO pricing before and after the two reforms. After the reform of the system, the IPO underpricing rate of the SME board has been significantly reduced; before the first inquiry issuing mechanism reform, there was a significant discount behavior of new shares, and the discount ratio can not be ignored; the discount of new shares aggravated the high underpricing of new shares; but after the first inquiry issuing mechanism reform, there was no discount behavior of new shares, and the source of the underpricing of new shares was almost the same. It is entirely above the overvaluation of the secondary market; there is no significant change in the pricing behavior of new shares before and after the reform of the second inquiry issuing mechanism.
Finally, based on the two-time inquiry issuing mechanism reform, this paper establishes a multiple regression model to study the impact of new stock speculation on IPO underpricing before and after the reform. In order to have a significant positive correlation with IPO underpricing, speculation has become the most important determinant of IPO underpricing after the two inquiry issuing mechanism reforms.
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224
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