保荐制下承销商声誉和IPO抑价关系的实证研究

发布时间：2018-03-28 14:36

本文选题：IPO抑价　切入点：承销商声誉　出处：《复旦大学》2012年硕士论文

【摘要】：首次公开募股(Initial Public Offerings,简称IPO)上市首日超额收益是资本市场存在的一种异常现象。在五十余年的研究中,学者们就此问题提出了众多不同的解释。其中,一部分研究者以信息不对称为切入点,从承销商的角度出发解释IPO首日超额收益,主要研究承销商声誉对IPO首日超额收益的影响。在新股的IPO过程中,承销商担负着“信息传递者”和“质量认证中介”的角色。西方主流金融理论认为高声誉承销商降低了IPO过程中信息不对称的程度,应能够降低IPO抑价率,即承销商声誉与IPO抑价率负相关。这一理论在西方发达资本市场得到了实证的支持。但从我国过去的实证研究来看,该理论在中国证券市场上并不成立。本文以2004年2月实行保荐制到2010年9月30日沪深A股市场所有IPO为样本,使用SAS等软件,通过多种统计方法,得出了一系列结论： (1)承销商声誉和IPO抑价率显著正相关。换句话说,市场份额大的承销商以更低的价格发行新股,这与西方经典的信息不对称理论相悖。过去的研究在得出不显著或正相关的结论时,就得出西方承销商声誉理论在国内不适用的结论,但笔者希望对此做进一步的解释。承销商是否通过自己在证券市场上的优势地位,通过低价配售新股,从而达到向关系客户利益输送的目的。通过实证检验,还得到以下两个结论： (2)投资银行市场份额越大,它所配售的比例越大。 (3)有法人配售的IPO,其在上市后12个月,特别是锁定期到期前后,价格和成交量表现都明显优于无法人配售IPO。通过以上三点结论,就描绘出了一幅完整的图景：大投行通过自身在证券市场上的优势地位,以较低价格大量地配售给机构投资者,而这些股票在锁定期到期前后又有良好的量价表现,方便投资者获利套现。当然,这些研究结论只是承销商向机构投资者利益输送的必要而非充分条件,并不能因此就认定一定存在利益输送现象,未来还需要更为精确的研究。研究表明,西方投资银行声誉理论在我国IPO市场上不成立,声誉机制对承销商行为缺乏约束力,并非承销商声誉越高,其所承销的IPO抑价率越低。这可能与我国证券发行市场的制度和监管等方面的缺陷有关,本文还据此提出了若干政策建议。
[Abstract]:Initial Public offerings (IPO) on the first day of the IPO is an abnormal phenomenon in the capital market. In more than 50 years of research, scholars have put forward many different explanations on this issue. From the perspective of underwriters, some researchers explain the first day excess return of IPO from the point of view of information asymmetry, and mainly study the influence of underwriter reputation on the first day excess return of IPO. In the IPO process of new shares, underwriters play the roles of "information transmitter" and "quality certification intermediary". Western mainstream financial theory holds that high reputation underwriters reduce the degree of information asymmetry in the process of IPO. It should be able to reduce the underpricing rate of IPO, that is, the underwriter reputation is negatively correlated with the underpricing rate of IPO. This theory has been empirically supported in the western developed capital markets. This paper takes all IPO of Shanghai and Shenzhen A-share market as sample, using SAS and other software, through a variety of statistical methods, draws a series of conclusions, based on the recommendation system in February 2004 to September 30, 2010. (1) there was a significant positive correlation between underwriter reputation and IPO underpricing rate. In other words, underwriters with large market share offer new shares at lower prices, which is contrary to the classical theory of information asymmetry in the West. This paper draws the conclusion that the western underwriter reputation theory is not applicable in China, but I would like to explain it further. Do underwriters sell new shares at a low price through their dominant position in the securities market? In order to achieve the purpose of conveying the interests of relational customers. Through empirical testing, we also get the following two conclusions:. The larger the market share of investment banks, the larger the proportion of placing. The performance of IPO with legal person placing is obviously superior to that of IPO without legal person in 12 months after listing, especially before and after the expiration of lock period. Through the above three conclusions, a complete picture is drawn: big investment banks, through their dominant position in the securities market, place large quantities of money on the market to institutional investors at relatively low prices. And these stocks perform well before and after the expiration of the lock-up period, making it easier for investors to cash in. Of course, these findings are only a necessary, not sufficient, condition for underwriters to deliver benefits to institutional investors. It can not be concluded that there must be a phenomenon of benefit delivery, and more accurate research is needed in the future. The research shows that the western investment bank reputation theory is not established in the IPO market of our country, and the reputation mechanism lacks the binding force on the underwriter's behavior, so it is not the higher the underwriter's reputation is. The lower the underwriting rate of IPO is, the lower the underwriting rate is. This may be related to the defects in the system and supervision of China's securities issuance market. Based on this, some policy suggestions are put forward in this paper.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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