第七次IPO重启过程中IPO定价效率和新股破发根源的研究

发布时间：2018-01-17 14:22

本文关键词：第七次IPO重启过程中IPO定价效率和新股破发根源的研究　出处：《西南财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：首次公开发行(Initial Public Offerings,简称IPO)是指公司股票首次在证券市场上向投资者公开发售的行为。世界各地的股票市场普通存在着这么一个现象：IPO股票在上市首日的收盘价格显著大于其发行价格。我国A股市场这个现象也非常明显。自从Ibbotson (1975)提出IPO抑价的概念并用这个概念来描述新股发行中长期存在的“谜”之后,有关IPO抑价的研究层出不穷,相应的解释框架也有很多。主要可以划分为两大类：一类围绕一级市场参与者之间信息不对称展开分析,最终得到股票在一级市场有偏低的趋势,从而导致抑价现象；另一类研究通过分析二级市场投资者非理性和异质预期等行为特征导致交易价格走高,从而导致抑价现象。前者主要用到微观信息经济学理论,后者主要用到行为金融理论。正当抑价问题还尚未有定论之时,中国的资本市场又为学者们提供了另一个研究课题——新股破发,特别是中小板和创业板破发问题严重。为了明确研究问题的主题,明晰研究主体。笔者决定把研究的主体定位在“2009年6月至2011年12月31日期间中小板网下询价的新股”。在这个研究范围内共有374只新股上市,其中49只新股破发。如此频繁的破发引起了社会各界关于新股发行体制改革效果以及新股定价效率讨论。笔者写作本论文的初衷即为找到有实证支持的关于本轮发行改革的评价。为了对本轮新股发行改革客观给出评价。笔者提炼出四个问题以及与这四个问题相关的两个主题作为研究内容。四个问题即为：第一、本轮新股定价效率研究中一级市场是否存在系统性定价偏高? 第二、定价偏高是否是由新股发行改革这一外部因素的影响导致? 第三、本轮新股发行经历的两阶段在改革效果上是否有所不同? 第四、破发主要源于一级市场还是二级市场或是兼而有之? 两个主题即为：IPO定价效率和破发根源。前三个问题围绕第一个主题,最后一个问题围绕第二个主题。不论是抑价还是破发都不符合有效市场的假定,所以有必要研究当这些现象存在时的市场效率即IPO定价效率,通过这个效率来评价市场配置资源的能力。要研究IPO定价效率这一问题需要分两步走：①选择合适的效率衡量标准；②建立合适模型进行量化研究。现有评价IPO定价效率的标准有两种：相对标准和绝对标准。本文中笔者首先依据经济学和金融经济学中提出的效率概念来评析这两种标准的合理性,同时也指出这两种IPO定价效率标准在研究A股第七次IPO重启以来的定价效率时就存在缺陷。在此分析基础上笔者提出适合衡量本轮IPO定价效率研究的标准。笔者认为在任何发行制度下不可控的服从正态分布的随机因素vi都会不可避免地存在,所以vi不应视为导致定价无效率的因素。本文用(p*+vi)代表发行定价的有效率价格,其中p*代表股票内在价值,在本文中笔者将用随机边界模型估计的确定边界值代表股票内在价值。因为E(vi)=0,所以E(p*+vi)=E(p*),(其中p0代表新股发行定价)是正值还是负值都是缺乏效率的表现,所以用其绝对值代表一级市场定价的偏离有效率价格的程度,记为U1当U1=0时,发行定价则符合有效市场中关于效率的定义,即发行定价充分反映了所有与股票内在价值有关的信息。U1越小,IPO定价效率越高。如果将新股定价过程看作“产品生产”过程来看,那么投入代表公司价值的各项要素,最终“生产”出具有价值的股票。但是由于新股发行制度和市场的不完善,导致这个产品制造过程效率达不到100%,生产的产品不能完全合乎规格。也就是说股票“生产”过程都会受到单边误差的影响,这种情况下生产过程中的扰动项就不满足OLS的假定,实际上这是扰动项可以分解为双残差形式,而这种情况下生产理论中诞生的随机边界分析方法就很适合了。所以本文采用随机边界模型研究本轮新股IPO定价效率和破发问题。笔者提出的四个问题具有层进关系。首先在不考虑具体外部因素来源的情况下,笔者考虑定价系统性偏离有效率价格是否由单边误差导致的,这一点可以通过模型中的单边误差项是否统计显著来证实。在研究后发现本轮定价存在向上的单边误差项后,具体考虑这个偏离是否由发行制度缺陷导致,同时考虑本轮改革分为两个阶段的特征,加入虚拟变量分析两阶段单边误差是否有统计显著的差异。最后针对48只破发股分别从一级市场和二级市场分析是否它们存在单边误差来判断破发的根源。根据实证结果的分析本文对上述四个问题给出如下的回答,即为本文的结论：一、本轮新股发行中一级市场存在向上的系统性偏离。二、新股发行制度改革的确导致了定价偏高,同时新股改革第二阶段造成无效率的单边误差项较之第一阶段要小。根据笔者给出的IPO定价效率的界定和衡量指标,笔者认为第二阶段改革在提高IPO定价效率上的举措是有效的。三、新股破发既源于一级市场定价过高,也源于二级市场低迷带来的交易价格偏低。本文的特色主要体现在以下三点： (1)根据实际背景修正已有IPO定价效率衡量标准。本文中笔者在对已有文献中关于效率的两种标准进行分析的基础上,指出其在研究本轮新股发行效率时均存在局限性,批判继承已有文献关于IPO定价效率的定义,提出适合本文研究对象的IPO定价效率定义。 (2)量化了新股发行制度对新股定价的影响程度。本文通过实证分析研究新股发行制度改革对新股定价影响方向和程度,并通过在模型中加入反映改革阶段的变量,研究得到本轮新股发行改革不同阶段的举措对新股定价的影响,据此对新股第二阶段改革效果给予客观评价。 (3)通过实证分析对破发根源给出解释。利用SFA模型分别分析一级市场发行定价偏离情况和二级市场交易价格偏离情况,找到破发是由哪个市场无效率导致的。
[Abstract]:The initial public offering (Initial Public Offerings, referred to as IPO) refers to the shares in the stock market public offering to investors on the stock markets around the world. There's a phenomenon: IPO shares listed on the first day of the closing price is significantly greater than the issue price. This phenomenon in China A stock market is also very obvious since Ibbotson (1975) after the concept of IPO Underpricing and used this concept to describe the long-standing issue of new shares "mystery", the study of the underpricing of IPO also has a lot of explanatory framework emerge in an endless stream, corresponding mainly can be divided into two categories: one around the information asymmetry between the level of market participants started the analysis, finally get a low trend in the stock market level, leading to underpricing; another kind of research through the analysis of two level of market investors irrational and heterogeneous expectations etc. Behavioral characteristics lead to higher transaction prices, which leads to underpricing. The former mainly uses micro information economics theory, the latter mainly uses behavioral finance theory.
While underpricing also has not yet been finalized at the time, provides another research subject of the capital market and the new break China for scholars, especially the small board and gem break serious problem. In order to clear the research topics, the research subject. The author decided to clear the positioning of the main research in the "new" small and medium-sized board of inquiry under the net during the period from June 2009 to December 31, 2011. In this study, within the scope of a total of 374 IPOs, of which 49 shares break. So the frequent break caused by the community about the IPO reform and IPO pricing efficiency are discussed. The author's original writing intention is to find empirical support for the the issue of the reform of the evaluation.
In order to objectively evaluate the reform of the new issue of new shares, the author refines four questions and two topics related to the four issues as the research content.
The four question is:
First, is there a systematic pricing in the first class of new stock pricing efficiency?
Second, is the price bias high due to the influence of the external factors of the IPO reform?
Third, is the two stage of the current issue of new shares different in the effect of the reform?
Fourth, the breakout mainly comes from the first - level market or the two - level market or is it concurrently?
The two topics are: IPO pricing efficiency and the root of the break. The first three issues around the first theme, and the last one around second topics.
Whether or not the underpricing break with efficient market hypothesis, it is necessary to study the phenomenon of the market efficiency that IPO pricing efficiency, the ability to evaluate the market allocation of resources through the efficiency. To study the IPO pricing efficiency needs to be divided into two steps: choosing the appropriate measure of efficiency; to establish the appropriate model for quantitative research.
The existing evaluation standards of IPO pricing efficiency has two kinds: the relative standard and absolute standard. This paper first puts forward the concept of efficiency on the basis of the rationality of economics and financial economics to analyze the two kinds of standards, it is pointed out that the two kinds of IPO pricing efficiency standards exist defects in the Research of A shares seventh times since the resumption of IPO pricing efficiency. On the basis of this analysis the author put forward the measure for research on IPO pricing efficiency standards. The author considers that obey not controllable in any issue system of random factors VI normal distribution is inevitable, so VI should not be considered as factors that lead to inefficient pricing. This paper use (p*+vi) issued on behalf of the pricing efficiency of the price, in which p* represents the intrinsic value of the stock, in this paper the author will use the stochastic frontier model to estimate the boundary value represents the intrinsic value of the stock. Because E (VI) =0, E (p*+vi) =E (p*), (wherein P0 represents the IPO pricing) is positive or negative is lack of efficiency, so the absolute value represents a market pricing efficiency from the price level, denoted as U1 when U1=0, IPO pricing is in accordance with the definition of effective market on efficiency that is the issue of pricing, fully reflect all relevant information and the intrinsic value of the stock of.U1 is small, IPO pricing efficiency is higher.
If the IPO pricing process as the "production" process, then put all the elements representing the value of the company, the final production of valuable stock. But because the shares are not perfect the issuing system and the market, resulting in the product manufacturing process efficiency up to 100%, the production of products that can not fully meet the specifications. Influence of stock "production process" will be one-sided error, in this case the disturbance in the process of production does not meet the OLS assumption, in fact, this disturbance can be decomposed into double residual form, and this kind of production in the context of stochastic frontier analysis theory is very suitable for birth. So this study on the model of stochastic frontier IPO IPO pricing efficiency and break.
The author puts forward four problems with progressive relationship. First, without considering the specific sources of external factors under the condition of considering pricing system deviation is whether the efficiency of price caused by unilateral error, this can be done by model of unilateral error is statistically significant to confirm. The study found that in the current round of pricing to exist the unilateral error, specifically considering the deviation caused by the issue of whether the defects in the system, considering the current round of reform is divided into two stages of feature, add a dummy variable to analysis whether there are differences in a statistically significant two phase error. Finally, 48 unilateral break shares respectively from the market level and two level market analysis whether they exist to break the unilateral error judgment source.
According to the analysis of the empirical results, this paper gives the following answers to the above four questions, that is, the conclusion of this article:
First, there is an upward systematic deviation from the first level market in the new issue of new shares.
Two, the IPO reform does lead to a high price at the same time, the reform of new second stage caused by inefficient unilateral error is smaller than that in the first stage. According to the definition and measure of the given IPO pricing efficiency, the author thinks that the second stages of reform initiatives in improving the IPO pricing efficiency is effective.
Three, the breakout of the new shares is not only due to the high price of the first level market, but also the low price of the transaction caused by the two market downturn.
The characteristics of this article are mainly reflected in the following three points:
(1) according to the actual background of the amendment of existing IPO pricing efficiency measure. This paper is based on two kinds of efficiency standard in the literature on the analysis, points out the limitations in the study of the current round of IPO efficiency exist, criticism and inheritance of the literature on the IPO pricing efficiency definition, defined the IPO pricing efficiency for the object of this study.
(2) the degree of impact on IPO pricing to quantify the IPO system. This paper studies the IPO reform of IPO pricing influence direction and degree through the empirical study, and reflect the reform stage by adding variables in the model, study the influence the current round of IPO reform is not the same stage of IPO pricing, which gives the objective evaluation of the effect of new second stage of reform.
(3) through empirical analysis, we explain the causes of breakage. We use SFA model to analyze the deviation of first tier market pricing and the two market trading price deviation, and find out which market failure rate is caused by the breakage.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.91;F224

【参考文献】