我国投资银行IPO定价效率研究

发布时间：2018-09-19 17:55

【摘要】：我国证券市场经过近二十年的高速发展,形成了主板、中小板、创业板以及三板市场等的多层次资本市场体系,成为国民经济中不可或缺的组成部分,对我国经济的顺畅运行发挥着越来越关键的作用。然而,在我国上市公司数量急剧增加、融资规模不断扩大的同时,高发行市盈率、高抑价率的“双高现象”也一直是我国证券市场的热门讨论话题。新股动辄五六十倍、甚至上百倍的发行市盈率,新股上市首日爆炒增长翻倍的现象频繁发生。这不免让人们对我国IPO定价水平的合理性及IPO定价的有效性产生怀疑。国内外研究文献普遍采用新股抑价水平来度量新股定价的有效性,并从信息不对称、行为金融理论等角度对新股抑价现象进行了论证和解释。总体来看,信息不对称解释模型以有效市场和完全理性为前提,认为二级市场价格是有效的,反映了股票的内在价值,新股定价偏低；而行为金融理论则承认非理性行为的存在,认为市场上存在噪声交易者,二级市场价格并非有效,而是受投资者情绪的影响而存在溢价。既往研究对新股上市首日超额收益到底是反映一级市场抑价,还是反映二级市场溢价,尚未形成统一的认识。本文在梳理和归纳国内外新股抑价理论的基础上,实证检验了我国新股发行市场化改革进程中IPO定价的有效性,以期为新股抑价现象的解释提供进一步的经验证据。本文实证研究结果表明,2005-2012年我国IPO普遍存在抑价现象,而随着2009年6月证监会发布《关于进一步改革和完善新股发行体制的指导意见》,新股抑价水平明显下降；我国投资银行IPO定价具备一定的有效性,能够反映盈利能力、营运能力等公司内在价值因素,且与创业板相比,主板、中小板的IPO定价表现出更高的效率；我国一级市场价格比二级市场价格表现出更强的有效性,我国二级市场价格并非完全有效,因此我国IPO抑价现象并不能完全以有效市场下的信息不对称角度进行解释。同时,本文还实证检验了投资银行声誉、费率对IPO定价效率的影响,实证研究结果表明：我国投资银行声誉与IPO抑价水平之间呈负相关关系,但不显著,这说明我国尚未建立有效的投资银行声誉机制；而与高声誉投资银行相比,低声誉投资银行的IPO定价表现出与公司内在价值因素之间更高的关联度,我们认为这可能是高声誉投资银行面临较低的发行风险和合理定价压力；我们没有发现投资银行费率与IPO定价效率、抑价水平之间存在显著相关关系；上市首日换手率与IPO抑价水平呈显著正相关关系,这说明投资者情绪及其对发行人的异质预期是影响IPO抑价水平的一个重要因素。最后,本文在总结相关研究结论的基础上从引导投资者理性定价和强化投资银行声誉机制两个角度,提出了相关政策建议。
[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.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224;F832.3

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