机构投资者参与上市公司IPO定价效率实证研究

发布时间：2019-03-09 18:04

【摘要】：新股在一级市场由承销商和发行公司确定的发行价格远远低于二级市场的上市首日交易价格，新股认购者能够获得超额回报的一种现象称为IPO抑价现象。针对IPO抑价的原因，不同的学者提出不同的假说。常见的理论假说有信息不对称理论、信息对称理论、行为金融学理论和其他理论如制度理论、博弈论和股权分配假说等。然而，上述理论都是以国外成熟资本市场为背景提出，如果针对新兴资本市场IPO抑价现象进行研究时，上述理论是否适用需要进一步探讨。本文首先对中国IPO制度下各参与方的行为进行了分析，构建了中国IPO抑价研究的分析框架，然后基于信息不对称理论对机构投资者与IPO抑价之间的关系进行了理论分析，并结合我国实际情况提出了本文的四个假设：参与询价的机构投资者数量与抑价率显著正相关或负相关；向一般法人、基金配售份额占发行规模的比例与抑价率显著负相关或正相关，最后以中国A股市场2010年到2012年上市公司为研究样本对研究假设进行实证检验。实证结果表明，参与询价的机构投资者数量越多，IPO抑价水平越高；向一般法人、基金配售的股份越多，IPO抑价水平越低。这说明，参与询价的机构数越多，抑价率越高，询价机构存在不诚信报价现象。同时，我们也发现网下参与配售的机构投资者能有效降低抑价率，提高新股定价效率。机构投资者对一级市场定价的介入一定程度上改善了IPO定价效率。与个人投资者相比，机构投资者更为专业、拥有更多的信息且对市场发展趋势把握更好。通过成熟的机构投资者参与询价，可以使得发行定价更为合理，而机构投资者参与配售，不仅能稳定上市价格，从长远来看，还可以与上市公司形成战略联盟，介入公司的管理，更好地促使上市公司的发展。文章的最后，对我国现行新股定价制度进行评价，，并给出适当的建议。
[Abstract]:The IPO price determined by underwriters and issuing companies in the primary market is much lower than the first day trading price of the secondary market. A phenomenon in which the underwriters and issuers can obtain excess returns is called the IPO underpricing phenomenon. According to the reasons of IPO underpricing, different scholars put forward different hypotheses. Common theoretical hypotheses include information asymmetry theory, information symmetry theory, behavioral finance theory and other theories such as institutional theory, game theory and equity allocation hypothesis. However, the above-mentioned theories are put forward on the background of foreign mature capital markets. If we study the phenomenon of IPO underpricing in emerging capital markets, the applicability of these theories needs to be further explored. This paper first analyzes the behavior of the participants in China's IPO system, constructs an analytical framework for the study of IPO underpricing in China, and then analyzes the relationship between institutional investors and IPO underpricing based on the theory of information asymmetry. According to the actual situation of our country, this paper puts forward four hypotheses: the number of institutional investors participating in the inquiry has a significant positive or negative correlation with the underpricing rate; To the general legal person, the proportion of the fund allotment share to the issue size is significantly negatively correlated or positively correlated with the underpricing rate. Finally, the research hypotheses are tested empirically with the listed companies in the Chinese A-share market from 2010 to 2012 as the research samples. The empirical results show that the more institutional investors participate in the inquiry, the higher the level of IPO underpricing; to the general legal person, the more shares placed by funds, the lower the level of IPO underpricing. This shows that the more the number of institutions involved in the inquiry, the higher the underpricing rate is, and the dishonest quotation phenomenon exists in the inquiry institution. At the same time, we also find that institutional investors involved in placing can effectively reduce the underpricing rate and improve the pricing efficiency of new shares. The intervention of institutional investors in primary market pricing improves the efficiency of IPO pricing to a certain extent. Compared with individual investors, institutional investors are more professional, have more information and have a better grasp of market trends. Through the participation of mature institutional investors in inquiry, the issue pricing can be made more reasonable, and the institutional investors' participation in placing can not only stabilize the listing price, but also form a strategic alliance with listed companies in the long run. Involvement in the management of the company, better promote the development of listed companies. At the end of the paper, the author evaluates the current pricing system of new shares in China and gives some appropriate suggestions.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.51

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