我國投資銀行IPO定價效率研究
發(fā)布時間：2018-09-19 17:55
【摘要】：我國證券市場經(jīng)過近二十年的高速發(fā)展,形成了主板、中小板、創(chuàng)業(yè)板以及三板市場等的多層次資本市場體系,成為國民經(jīng)濟(jì)中不可或缺的組成部分,對我國經(jīng)濟(jì)的順暢運行發(fā)揮著越來越關(guān)鍵的作用。然而,在我國上市公司數(shù)量急劇增加、融資規(guī)模不斷擴(kuò)大的同時,高發(fā)行市盈率、高抑價率的“雙高現(xiàn)象”也一直是我國證券市場的熱門討論話題。新股動輒五六十倍、甚至上百倍的發(fā)行市盈率,新股上市首日爆炒增長翻倍的現(xiàn)象頻繁發(fā)生。這不免讓人們對我國IPO定價水平的合理性及IPO定價的有效性產(chǎn)生懷疑。 國內(nèi)外研究文獻(xiàn)普遍采用新股抑價水平來度量新股定價的有效性,并從信息不對稱、行為金融理論等角度對新股抑價現(xiàn)象進(jìn)行了論證和解釋�？傮w來看,信息不對稱解釋模型以有效市場和完全理性為前提,認(rèn)為二級市場價格是有效的,反映了股票的內(nèi)在價值,新股定價偏低；而行為金融理論則承認(rèn)非理性行為的存在,認(rèn)為市場上存在噪聲交易者,二級市場價格并非有效,而是受投資者情緒的影響而存在溢價。既往研究對新股上市首日超額收益到底是反映一級市場抑價,還是反映二級市場溢價,尚未形成統(tǒng)一的認(rèn)識。 本文在梳理和歸納國內(nèi)外新股抑價理論的基礎(chǔ)上,實證檢驗了我國新股發(fā)行市場化改革進(jìn)程中IPO定價的有效性,以期為新股抑價現(xiàn)象的解釋提供進(jìn)一步的經(jīng)驗證據(jù)。本文實證研究結(jié)果表明,2005-2012年我國IPO普遍存在抑價現(xiàn)象,而隨著2009年6月證監(jiān)會發(fā)布《關(guān)于進(jìn)一步改革和完善新股發(fā)行體制的指導(dǎo)意見》,新股抑價水平明顯下降；我國投資銀行IPO定價具備一定的有效性,能夠反映盈利能力、營運能力等公司內(nèi)在價值因素,且與創(chuàng)業(yè)板相比,主板、中小板的IPO定價表現(xiàn)出更高的效率；我國一級市場價格比二級市場價格表現(xiàn)出更強(qiáng)的有效性,我國二級市場價格并非完全有效,因此我國IPO抑價現(xiàn)象并不能完全以有效市場下的信息不對稱角度進(jìn)行解釋。 同時,本文還實證檢驗了投資銀行聲譽(yù)、費率對IPO定價效率的影響,實證研究結(jié)果表明：我國投資銀行聲譽(yù)與IPO抑價水平之間呈負(fù)相關(guān)關(guān)系,但不顯著,這說明我國尚未建立有效的投資銀行聲譽(yù)機(jī)制；而與高聲譽(yù)投資銀行相比,低聲譽(yù)投資銀行的IPO定價表現(xiàn)出與公司內(nèi)在價值因素之間更高的關(guān)聯(lián)度,我們認(rèn)為這可能是高聲譽(yù)投資銀行面臨較低的發(fā)行風(fēng)險和合理定價壓力；我們沒有發(fā)現(xiàn)投資銀行費率與IPO定價效率、抑價水平之間存在顯著相關(guān)關(guān)系；上市首日換手率與IPO抑價水平呈顯著正相關(guān)關(guān)系,這說明投資者情緒及其對發(fā)行人的異質(zhì)預(yù)期是影響IPO抑價水平的一個重要因素。 最后,本文在總結(jié)相關(guān)研究結(jié)論的基礎(chǔ)上從引導(dǎo)投資者理性定價和強(qiáng)化投資銀行聲譽(yù)機(jī)制兩個角度,提出了相關(guān)政策建議。
[Abstract]:After nearly 20 years of rapid development, China's securities market has formed a multi-level capital market system, such as main board, small and medium-sized board, growth enterprise market and third board market, and has become an indispensable part of the national economy. The smooth operation of our economy is playing a more and more critical role. However, while the number of listed companies in China is increasing rapidly and the scale of financing is expanding, the "double high phenomenon" of high issue price-earnings ratio and high underpricing rate has always been a hot topic of discussion in China's securities market. New shares often use 50 to 60 times, or even hundreds of times the price-earnings ratio, the first day of new stock speculation doubled phenomenon occurred frequently. This makes people doubt the rationality of IPO pricing level and the validity of IPO pricing. Domestic and foreign literatures generally use IPO underpricing level to measure the effectiveness of IPO pricing, and demonstrate and explain the IPO underpricing phenomenon from the angles of information asymmetry and behavioral finance theory. On the whole, the information asymmetry interpretation model is based on efficient market and complete rationality, and holds that the secondary market price is effective, which reflects the intrinsic value of the stock and the low pricing of the new stock. The behavioral finance theory admits the existence of irrational behavior, and holds that there are noise traders in the market, and the secondary market price is not effective, but due to the influence of investor sentiment, there is a premium. Previous studies have not yet formed a unified understanding of whether the first day excess return of new shares reflects the primary market underpricing or the secondary market premium. On the basis of combing and summing up the theories of underpricing of new shares at home and abroad, this paper empirically tests the validity of IPO pricing in the process of market-oriented reform of new stock issuance in China, in order to provide further empirical evidence for the explanation of underpricing phenomenon of new shares. The empirical results of this paper show that underpricing exists in IPO in China from 2005 to 2012. However, with the release of "guidance on further Reform and improvement of New Stock issuance system" by the Securities Regulatory Commission in June 2009, the underpricing level of new shares decreased significantly. The IPO pricing of Chinese investment bank is effective and can reflect the intrinsic value factors of the company such as profitability and operation ability. Compared with the gem, the IPO pricing of the main board and the small and medium-sized board is more efficient. The primary market price in China is more effective than the secondary market price, and the secondary market price is not completely effective. Therefore, the phenomenon of IPO underpricing in China can not be fully explained by the information asymmetry in the efficient market. At the same time, this paper also empirically tests the influence of investment bank reputation and rate on IPO pricing efficiency. The empirical results show that there is a negative correlation between investment bank reputation and IPO underpricing level, but it is not significant. This shows that China has not established an effective investment bank reputation mechanism, and compared with the high-reputation investment bank, the IPO pricing of the low-reputation investment bank shows a higher correlation with the internal value factors of the company. We think this may be due to the low issuance risk and reasonable pricing pressure faced by high reputation investment banks, and we do not find that there is a significant correlation between investment bank rates and IPO pricing efficiency and underpricing level. There is a significant positive correlation between the turnover rate on the first day of listing and the level of IPO underpricing, which indicates that investor sentiment and its heterogeneity to issuers are an important factor affecting the underpricing level of IPO. Finally, on the basis of summarizing the relevant research conclusions, this paper puts forward the relevant policy recommendations from the two angles of guiding investors' rational pricing and strengthening the reputation mechanism of investment banks.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224;F832.3
本文編號：2250892
[Abstract]:After nearly 20 years of rapid development, China's securities market has formed a multi-level capital market system, such as main board, small and medium-sized board, growth enterprise market and third board market, and has become an indispensable part of the national economy. The smooth operation of our economy is playing a more and more critical role. However, while the number of listed companies in China is increasing rapidly and the scale of financing is expanding, the "double high phenomenon" of high issue price-earnings ratio and high underpricing rate has always been a hot topic of discussion in China's securities market. New shares often use 50 to 60 times, or even hundreds of times the price-earnings ratio, the first day of new stock speculation doubled phenomenon occurred frequently. This makes people doubt the rationality of IPO pricing level and the validity of IPO pricing. Domestic and foreign literatures generally use IPO underpricing level to measure the effectiveness of IPO pricing, and demonstrate and explain the IPO underpricing phenomenon from the angles of information asymmetry and behavioral finance theory. On the whole, the information asymmetry interpretation model is based on efficient market and complete rationality, and holds that the secondary market price is effective, which reflects the intrinsic value of the stock and the low pricing of the new stock. The behavioral finance theory admits the existence of irrational behavior, and holds that there are noise traders in the market, and the secondary market price is not effective, but due to the influence of investor sentiment, there is a premium. Previous studies have not yet formed a unified understanding of whether the first day excess return of new shares reflects the primary market underpricing or the secondary market premium. On the basis of combing and summing up the theories of underpricing of new shares at home and abroad, this paper empirically tests the validity of IPO pricing in the process of market-oriented reform of new stock issuance in China, in order to provide further empirical evidence for the explanation of underpricing phenomenon of new shares. The empirical results of this paper show that underpricing exists in IPO in China from 2005 to 2012. However, with the release of "guidance on further Reform and improvement of New Stock issuance system" by the Securities Regulatory Commission in June 2009, the underpricing level of new shares decreased significantly. The IPO pricing of Chinese investment bank is effective and can reflect the intrinsic value factors of the company such as profitability and operation ability. Compared with the gem, the IPO pricing of the main board and the small and medium-sized board is more efficient. The primary market price in China is more effective than the secondary market price, and the secondary market price is not completely effective. Therefore, the phenomenon of IPO underpricing in China can not be fully explained by the information asymmetry in the efficient market. At the same time, this paper also empirically tests the influence of investment bank reputation and rate on IPO pricing efficiency. The empirical results show that there is a negative correlation between investment bank reputation and IPO underpricing level, but it is not significant. This shows that China has not established an effective investment bank reputation mechanism, and compared with the high-reputation investment bank, the IPO pricing of the low-reputation investment bank shows a higher correlation with the internal value factors of the company. We think this may be due to the low issuance risk and reasonable pricing pressure faced by high reputation investment banks, and we do not find that there is a significant correlation between investment bank rates and IPO pricing efficiency and underpricing level. There is a significant positive correlation between the turnover rate on the first day of listing and the level of IPO underpricing, which indicates that investor sentiment and its heterogeneity to issuers are an important factor affecting the underpricing level of IPO. Finally, on the basis of summarizing the relevant research conclusions, this paper puts forward the relevant policy recommendations from the two angles of guiding investors' rational pricing and strengthening the reputation mechanism of investment banks.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224;F832.3
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