我國詢價制下IPO價格形成與抑價研究
發(fā)布時間：2018-08-15 15:28
【摘要】：新股發(fā)行定價和抑價問題近幾十年以來一直是金融學的熱點，受到國內外學者們的廣泛關注。國外學者針對新股發(fā)行的定價抑價問題進行了大量的研究，并提出了一系列理論和假說試圖對其進行解釋，然而到目前為止還沒有哪一種理論能得到學者們的統一認同。我國證券市場成立以來，IPO定價制度一直在不斷地改進和完善。1999年《證券法》實施之前，我國新股發(fā)行一直實行審批制，之后逐漸向核準制過渡。不少學者對新股定價問題進行了有益的研究和探討，但主要集中在圍繞IPO抑價解釋其產生原因。2005年我國新股詢價機制實施至今，主要經歷了兩次大的詢價發(fā)行機制改革，，新股抑價現象有所緩解，但又出現新股定價市盈率高，超募現象明顯等一系列新的問題。國內許多學者發(fā)現并研究了了我國的IPO抑價現象，但結合我國詢價機制的特色來研究新股定價和抑價并不多見。在這種情況下，研究我國新股詢價制下IPO價格形成和抑價現象就變得非常有價值。 針對我國詢價機制的實際情況，本文從詢價機制的獨特性和詢價發(fā)行機制改革出發(fā)，對我國IPO價格形成和抑價現象進行研究，試圖從理論和實證兩方面進行解釋和論證。本文的研究主要從四個方面展開。 本文首先研究兩階段詢價制下的IPO價格形成。詢價制實施以來，新股發(fā)行的兩階段詢價制一直存在。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確定發(fā)行價格，但主板發(fā)行的股票仍然分兩個階段詢價。本文結合我國IPO詢價的現實，在詢價分為初步詢價和累計投標詢價兩個階段的前提下，分別研究了機構投資者兩階段的均衡報價策略及最終的IPO價格形成，從理論上剖析了機構投資者初步詢價時隱藏需求報價壓低發(fā)行價格的動機。研究結果表明，機構投資者會在初步詢價時有意隱藏其需求，最終的均衡價格為初步詢價后承銷商確定的發(fā)行價格區(qū)間上限，且初步詢價時機構投資者需求隱藏比例越大，IPO發(fā)行價格越小，承銷商確定的發(fā)行價格區(qū)間寬度越大，IPO發(fā)行價格越大。另外，實證結果也證實了結論的正確性。 其次，采用進化博弈論分析單階段詢價制下的IPO價格形成。在單階段詢價和新股定價窗口指導淡化的前提下，對詢價對象群體建立單群體進化博弈模型，分析新股詢價過程中詢價對象報價行為和新股發(fā)行價格的形成。進化博弈模型的分析表明，詢價對象的報價行為及IPO價格的形成與詢價對象對新股抑價的估計均值有關。當詢價對象對新股抑價率均值估計較大時，詢價對象會傾向于選擇高報價，以便獲得新股配售通過二級市場出售新股獲得一定盈利。詢價對象群體中越多的個體選擇高報價，承銷商的定價也會越高，很可能高到偏離上市公司的內在價值。當詢價對象對新股抑價率均值估計較小時，詢價對象會傾向于選擇低報價，或者不參與新股詢價。詢價對象群體中越多的個體選擇低報價，承銷商的定價也會越低，很可能低到偏離上市公司的內在價值；不參與新股詢價的機構足夠多時會出現新股由于詢價機構不足而終止發(fā)行的現象。 再次，本文以兩次詢價發(fā)行機制改革為背景，選取2006年到2011年我國中小企業(yè)板上首次公開發(fā)行上市的公司數據為樣本，采用隨機邊界模型，實證研究了兩次改革前后新股發(fā)行定價是否存在故意折價現象。研究結果表明，兩次詢價發(fā)行機制改革后，中小企業(yè)板的IPO抑價率均存在顯著降低；第一次詢價發(fā)行機制改革前顯著存在新股折價行為，且折價比例不容忽視，新股折價加劇了新股的高抑價；而第一次詢價發(fā)行機制改革后不存在新股折價行為，新股抑價的來源幾乎完全在二級市場估值過高上面；第二次詢價發(fā)行機制改革前后新股定價行為沒有明顯變化。 最后，本文仍然以兩次詢價發(fā)行機制改革為背景，以上一章的數據為樣本，建立多元回歸模型，研究了改革前后新股投機行為對IPO抑價率的影響。研究結果表明，新股投機行為是形成我國中小企業(yè)板IPO抑價的主要原因之一，且新股投機行為與IPO抑價之間始終具有顯著的正相關關系；兩次詢價發(fā)行機制改革后，新股投機行為對IPO抑價的解釋力度都明顯增強，且第二次詢價發(fā)行機制改革后，新股投機行為已經成為IPO抑價最重要的決定力量。
[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.
【學位授予單位】：重慶大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F832.51;F224
本文編號：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.
【學位授予單位】：重慶大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F832.51;F224
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