破发背景下对我国沪市A股IPO定价问题的研究

发布时间：2018-05-19 09:39

  本文选题：IPO定价 + 新股破发　； 参考：《西南财经大学》2011年硕士论文

【摘要】：2010年新股破发在各个板块全面开花,击破了“新股不败”的神话。因此在目前新股破发的大环境下研究如何给新股制定合理的发行价格已经成为理论界和实务界争相讨论的热点话题。IPO定价合理可以保证上市公司新股发行成功,筹集到自己需要的资金,同时也能保证投资者理性投资,促进资本在一、二级市场之间最优化配置,从而能够推动我国证券市场整体健康发展。造成目前新股破发的根本原因是“三高”(高发行价、高市盈率、超额募集资金)问题,使得发行价格远远偏离公司的内在价值,而新股破发能够倒逼价值的回归。这次新股破发使得对新股发行制度改革的呼吁声越来越大,而新股发行制度改革的核心是定价机制的改革,改革的目标是实现新股市场化定价。市场化的定价是买卖双方的市场化行为,在没有政府干预的情况下,买方真实表达自己的意愿,新股的价格由股票的供求来决定。另外,市场化定价不能简单的以市盈率的高低来检验。因为市盈率的确定是在一级市场定价过程中发行人、承销商以及投资者相互博弈的结果,它会随着市场环境、发行人或投资者的预期变化而改变。通过发行情况来检验定价是否合理,如是否引发上市首日破发或发行失败,这才是更符合市场化定价的方式。 目前有关工PO定价的基本理论发展比较完善,且在国外成熟市场上运用得比较成功。但是这一成熟的理论体系在我国股票市场上却没有得到很好的运用。其原因除了对定价理论认识不足、我国股市发展历史短暂,市场不成熟、投资者跟风,市场炒作行为严重,不能理性对待投资外,笔者认为最重要的原因可能是由于绝大部分发行人或承销商在IPO估值过程中所选用的定价方法是不对的。 因此本文的研究对象就是在新股破发的背景下对我国沪市A股IPO定价的影响因素进行定性与定量相结合的分析,找出对IPO定价有重要影响的内外部因素,以期利用这些内外部影响因素建立回归模型从而建立一套适合中国目前国情的IPO定价模型来改善上市公司的定价方式并提高定价效率。 全文共分为六章： 第一章是引言,主要介绍了研究的背景及意义、国内外相关文献综述、本文的研究思路和方法以及论文的创新之处与不足之处。本文的创新之处有如下几点：1、本文首次将新股破发与沪市A股IPO定价相结合分析并进行实证研究,最终建立的沪市A股IPO多因素定价模型能够有效地降低破发的概率；2、本文样本数据包括了从2006年5月18日新老划断后到2010年12月31日在上海证券交易所IPO上市的所有A股,时间跨度较大,且在这一时间段内,证券市场经历了牛市、熊市和震荡市等各种形态,由此得到的实证结论具有代表性,更具有说服力。 第二章主要介绍了新股破发的现象与原因。自2009年6月IPO第七次重启以来,沪深股市迎来最大的IPO发行高潮,新股发行接踵而至,发行数量和强度很大。由于长期以来我国大多数投资者普遍存在“新股不败”和“申购到新股就可以获得高额无风险收益”的错误认识,“逢新必炒”的投机氛围严重,机构投资者长期忽视对股票价值的深入研究,不能真正发挥其专业定价能力,在询价过程中存在随意报价的现象,直接结果是新股发行市盈率远超二级市场同行业平均水平。随着2009年6月以后新股定价行政指导的淡化,新股“新股破发”现象击败了新股不败的神话。破发的根本原因是“三高”问题,新股定价超出其投资价值,高倍市盈率溢价发行,受益最大的只有发行人和承销商,投资者的利益受到极大的损害。随着新股破发的愈演愈烈,新股发行机制的改革也提上日程,而改革的核心是定价机制的改革,最终实现市场化定价。 第三章主要介绍了现有主要的IPO定价理论与定价模型。国际上流行的IPO定价理论主要有内在价值理论、资本资产定价理论、套利定价理论。主要的IPO定价模型有贴现模型(股利贴现模型和现金流贴现模型)、可比公司法(市盈率倍数法、市净率倍数法、市销率倍数法)、实物期权定价模型、多因素定价模型。我国目前在如何选择合适的IPO定价模型过程中存在以下几点问题：1、上市公司的财务信息以及非财务信息的披露缺乏完整性和及时性,使得会计数据失真和不完整；2、由于很多IPO定价估值模型是在国外成熟证券市场的基础上提出来的,我国证券市场发展历史较短,且处于转型期,无法满足一些估值模型所要求的前提条件如有效市场假设；3、估值模型中的有些变量难以预测,如贴现模型中的贴现率、股利增长率等,另外由于我国证券市场处于发展期,很多变量的选取都没有标准可以参照,完全由使用者自行选取并修改,因此带有一定的主观性,从而降低了估值结果的有效性和可比性。通过分析和对比,笔者认为在我国目前证券市场的现状下使用市盈率倍数法与多因素定价模型相结合的估值模型比较合适。市盈率倍数法与多因素定价模型相结合,可以考虑将行业平均市盈率作为影响IPO定价的因素。多因素定价模型就是将影响IPO定价的所有因素与新股发行价建立回归方程,通过实证分析最终建立IPO定价预测模型,从而能够有效地指导新股发行价格的制定。 第四章主要介绍IPO定价机制以及定价机制在我国的变迁。现有的IPO定价机制有固定价格定价机制、拍卖定价机制、累计投标定价机制以及混合定价机制。中国证券市场在其短短十几年的发展历程中新股定价机制经历了一系列复杂的变迁：固定价格阶段→短暂的网上竞价阶段→相对固定市盈率阶段→累计投标定价阶段→控制市盈率定价阶段→询价制。尽管目前我国实行的是询价制,但该询价制是不完善的,其定价效率远没有达到真正意义上的市场化定价效果。 第五章主要介绍IPO多因素定价模型的建立以及实证分析。文中将影响IPO定价的因素分为内部因素和外部因素。内部因素是指在定价过程中能够直接反映上市公司增长能力和发展前景的各因素的综合,在总结前人研究成果的基础上,本文从众多指标中选取了19个财务比率来对上市公司的盈利能力、偿债能力、成长能力、运营能力等各个方面进行描述。所谓的外部影响因素是与内部因素对立的,不能直接决定上市公司的内在价值,但是却能影响IPO定价各个因素的集合。本文选取了市场波动情况、行业平均市盈率、上市公司新股发行规模、承销商等级这四个方面来对外部影响情况进行描述与分析。在对这些影响因素进行定性分析后,本文运用SPSS软件对选取的在上海证券交易所IPO上市的79只A股作为研究样本进行实证研究。由于选取的19个内部影响因素之间存在较高的多重共线性,同时为了将众多的自变量降维,首先运用因子分析法将这19个自变量压缩为6个因子,然后将这6个因子变量与另外5个外部影响变量进行逐步回归,根据逐步回归结果以及实证检验最终得到IPO定价回归方程。最后对实证结果进行经济分析,在众多影响因素中只有每股资本公积、每股收益、每股净资产、每股未分配利润、主营业务利润率、净利润率、总资产周转率、净资产周转率、行业平均市盈率、发行规模、发行前市场风险等因素对沪市A股IPO定价有显著性影响。最后用该估值模型对2011年1月份在沪市上市首日破发的A股定价做估值并与实际发行价对比,发现实际发行价远大于预测值,这也验证了新股发行价格高是导致新股破发的原因。 第六章结论与建议。首先对本文进行总结,认为本文中所建立的IPO多因素定价预测模型能够有效地减少新股破发的现象；最后就如何进一步促进我国沪市A股市场化定价提出一些简单的政策建议：1、将目前新股发行审核制由核准制过度为注册制；2、减少政府干预；3、适当提高上市公司首发流通股比例；4、强化承销商的中介责任,发挥承销商的专业定价能力,扩大询价队伍,形成买方竞争市场。 本文研究的最终目的在于通过建立沪市A股IPO多因素定价模型作为发行人、承销商以及机构投资者在定价过程中的参考。鉴于笔者能力有限,本文中存在着一些不足,如影响因素的选取可能不全面、实证的结果可能与理想效果有偏差、研究的对象只有沪市A股等,但是总体而言文中最后得到的回归方程具有一定的借鉴意义。
[Abstract]:In 2010, the new issue of new shares broke into the myth of "undefeated new shares" in all sectors, so the research on how to make reasonable issuing prices for new shares has become a hot topic in both the theoretical and practical circles under the current situation of new stock breaking. The pricing of.IPO is reasonable in order to ensure the success of IPO issuance. At the same time, we can also guarantee the rational investment of the investors and promote the optimal allocation of capital between the first and two markets, which can promote the healthy development of the stock market in China. The root cause of the new issue is "three high" (high issue price, high price earnings ratio, excess raise fund) and the issue price. The inner value of the company is far from the intrinsic value of the company, and the new stock break can push the value back. This new issue makes the appeal of the reform of the IPO system more and more appeals, and the core of the reform of the IPO system is the reform of the pricing mechanism. The goal of the reform is to realize the pricing of the new stock market. The pricing of the market is the market of the buyer and the seller. In the absence of government intervention, the buyers truly express their wishes. The price of the new shares is determined by the supply and demand of the stock. In addition, the market pricing can not be simply tested at the price of the price earnings ratio. As a result, it will change with the expected changes in the market environment, the issuer or the investor. It is more suitable for market pricing to test whether the pricing is reasonable by issuing the situation, such as whether the first day of the market break or the issue of the issue is failed.
At present, the basic theory about the pricing of industrial PO is relatively perfect and has been successfully used in foreign mature market. But the medium rare theory system has not been used well in the stock market of our country. The reason is that the development history of China's stock market is short, the market is not mature, and the investors follow the wind. The market speculation is serious and the investment can not be treated rationally. The most important reason may be that most issuers or underwriters choose the wrong pricing method in the IPO valuation process.
Therefore, the object of this study is to analyze the factors affecting the IPO pricing of A shares in Shanghai stock market in the context of the new issue of new shares, and to find out the internal and external factors that have an important impact on the pricing of IPO, in order to establish a regression model by using these internal and external factors to establish a set of IP suitable for the current national conditions of China. O pricing model to improve the pricing method of listed companies and improve the pricing efficiency.
The full text is divided into six chapters.
The first chapter is the introduction, which mainly introduces the background and significance of the research, the literature review at home and abroad, the ideas and methods of this paper and the innovation and shortcomings of the paper. The innovations of this paper are as follows: 1, this article first combines the new issue of new shares and the IPO price of A shares in Shanghai stock market and carries out an empirical study, and finally establishes it. The IPO multi factor pricing model of A shares in Shanghai stock market can effectively reduce the probability of breakout. 2, this sample data includes all A shares listed on the Shanghai stock exchange from May 18, 2006 new and old to December 31, 2010, and the time span is larger, and in this period, the stock market has experienced bull market, bear market and shock market. The empirical conclusions drawn from various forms are representative and convincing.
The second chapter mainly introduces the phenomenon and cause of the new issue. Since the seventh restart of IPO in June 2009, the Shanghai and Shenzhen stock market has ushered in the largest IPO issue. The wrong understanding of high risk free income is that the speculative atmosphere of "new must be fried" is serious. Institutional investors have long ignored the in-depth study of stock value, and they can not really play their professional pricing ability. There is a random quotation in the inquiry process. The direct result is that the price earnings ratio of new shares is far from the second level and the average level of the industry. With the dilution of the new stock pricing administrative guidance after June 2009, the new stock "new shares break" phenomenon beat the myth of the undefeated new shares. The root cause of the break is the "three high" problem, the price of new shares exceeds its investment value, the high price earnings premium is issued, the biggest benefit is the issuer and underwriter, and the interests of the investors are greatly affected. With the intensifying of new shares, the reform of the new issue mechanism is also on the agenda, and the core of the reform is the reform of the pricing mechanism and the final realization of the market pricing.
The third chapter mainly introduces the existing main IPO pricing theory and pricing model. The international popular IPO pricing theories are mainly intrinsic value theory, capital asset pricing theory and arbitrage pricing theory. The main IPO pricing model has discounted model (dividend discount model and cash flow model), comparable company method (P / E ratio method, City) There are several problems in the process of choosing the appropriate IPO pricing model in our country at present: 1, the financial information of the listed companies and the disclosure of non-financial information lack integrity and timeliness, which makes the accounting data distorted and incomplete; 2, Since many IPO pricing models are proposed on the basis of mature foreign securities market, China's securities market has a short history and is in a transition period, which can not meet the prerequisites required by some valuation models, such as effective market hypothesis. 3, some variables in the valuation model are difficult to predict, such as the discount rate in the discounted model, In addition, because the stock market is in the development period, the selection of many variables is not standard, it is completely selected and modified by the user. Therefore, it has certain subjectivity, thus reducing the effectiveness and comparability of the valuation results. Through analysis and comparison, the author thinks that the current securities market in China is in China. Under the current situation, the combination of the price earnings ratio method and the multi factor pricing model is more suitable. The combination of the P / E ratio method and the multi factor pricing model can consider the industry average p / E ratio as a factor affecting the IPO pricing. The multi factor pricing model is to build all the factors that affect the IPO pricing and the new issue price. Through the empirical analysis, the IPO regression model is established, which can effectively guide the formulation of the price of new shares.
The fourth chapter mainly introduces the pricing mechanism of IPO and the change of pricing mechanism in China. The existing IPO pricing mechanisms include fixed price pricing mechanism, auction pricing mechanism, accumulative tender pricing mechanism and mixed pricing mechanism. In the course of the development of China's securities market, the IPO pricing mechanism has undergone a series of complicated changes. Migration: fixed price stage, transient online bidding stage, relative fixed price earnings ratio phase, accumulative bidding pricing phase, control price / earnings ratio pricing phase and inquiry system. Although inquiry system is in practice in China at present, the inquiry system is not perfect, and its pricing efficiency is far from the real market pricing effect.
The fifth chapter mainly introduces the establishment and empirical analysis of IPO multi factor pricing model. In this paper, the factors affecting IPO pricing are divided into internal and external factors. Internal factors refer to the synthesis of factors that can directly reflect the growth capability and development prospects of Listed Companies in the process of pricing, and on the basis of the previous research results of previous studies. In this paper, 19 financial ratios are selected to describe the profitability, solvency, growth ability and operational ability of the listed companies. The so-called external factors are opposed to the internal factors, which can not directly determine the intrinsic value of the listed companies, but it can affect the collection of various factors of IPO pricing. This paper describes and analyzes the external impact of the market volatility, the average price earnings ratio of the industry, the size of the IPO issue and the underwriter level in the four aspects. After the qualitative analysis of these factors, the paper uses the SPSS software to study the selected 79 A shares listed on the Shanghai Stock Exchange IPO. In order to reduce the number of independent variables, the 19 variables are compressed into 6 factors by factor analysis, and then the 6 factor variables and the other 5 external influence variables are gradually returned to the 19 factors. The IPO pricing regression equation is finally obtained by the results of stepwise regression and empirical test. Finally, the economic analysis of the empirical results is carried out. In many factors, there are only capital stock, earnings per share, net assets per share, undistributed profit per share, main business profit rate, net profit rate, total asset turnover rate, net asset turnover rate, industry average p / E. Factors such as rate, distribution scale and market risk before issuance have a significant impact on the IPO pricing of A shares in Shanghai stock market. Finally, the valuation model is used to estimate the price of A shares that have been broken in the first day of the Shanghai stock market in January 2011 and compared with the actual distribution price, and the actual issuance price is far greater than the forecast value, which also proves that the high price of new shares is the result of new shares. The cause of the break.
The sixth chapter is the conclusion and suggestion. First, we conclude that the IPO multi factor pricing prediction model in this paper can effectively reduce the phenomenon of new issue. Finally, it puts forward some simple policy suggestions on how to further promote the market pricing of A shares in Shanghai stock market in China: 1, the current IPO audit system is approved by the approval system. Degree for the registration system; 2, reduce government intervention; 3, appropriately raise the proportion of listed companies' initial circulation shares; 4, strengthen the intermediary responsibility of underwriters, give play to the professional pricing ability of underwriters, expand the inquiry team and form a buyer's competitive market.
The final purpose of this study is to establish the IPO multi factor pricing model of A shares in Shanghai stock market as a reference for the issuer, underwriter and institutional investor in the pricing process. In view of the limited ability of the author, there are some shortcomings in this paper, such as the selection of the factors may not be comprehensive, the results of the empirical study may be deviant from the ideal effect. The object of the study is only A shares in Shanghai stock market, but in general, the regression equation obtained in the paper is of some reference value.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2011
【分类号】：F832.51

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