基于折价与溢价的中国IPO价格及超额收益问题研究

发布时间：2018-05-23 14:08

本文选题：异质性预期 + 折价效应　；参考：《重庆大学》2012年博士论文

【摘要】：伴随着经济体制改革的不断推进和资本市场的发展壮大，证券市场在我国国民经济发展和金融体系改革中发挥着越来越重要的作用。但政府过度监管导致IPO超额收益问题长期存在，这不仅在很大程度上降低了资本市场的配置效率，还影响了二级市场的稳定和发展。近年来，中国证券市场上的“三高”问题引起了国内外学者的广泛关注，他们结合中国的特殊制度背景提出了许多理论假设，其结论大都将中国IPO市场上长期存在的超额收益问题归咎于IPO定价效率的缺失，这也是促使证监会进行询价制等新股发行体制市场化改革的主要动因之一。然而，询价制的实施并未如前期文献预期的那样从根本上消除我国IPO超额收益现象，这就使得IPO初始超额收益问题再次成为多方关注的焦点。那么，是什么原因导致中国资本市场上IPO超额收益现象的长期存在？为何询价制在国外能够取得良好的效果，在中国反而失效了呢？本文以此为切入点，从制度经济学和行为金融学视角，对中国股票市场进行全面和系统的研究，以期从理论和实证上对中国IPO价格和超额收益的形成机制进行详实的解释和论证，进而为中国IPO发审制度的进一步改革和创新提供相应的微观基础。首先，从市场参与主体博弈视角论证中国IPO价格和超额收益的形成机制。本文以卡塞尔的“激励的悖论”博弈模型为基础，分别建立了发行公司与承销保荐机构博弈模型、发行人(承销商)与机构投资者博弈模型和监管部门与承销保荐机构博弈模型。通过均衡求解，发现在信息不对称条件下，只有当绩优公司上市收益高于绩差公司时，才会出现分离均衡，此时，承销商和投资者能够分辨发行公司的资质差异；反之，则会出现混同均衡，此时，承销商将承销所有IPO，，不知情投资者对绩优公司先验概率判断失误则会导致IPO折价的产生；此外，政府对一级市场的供给管制必然导致唯一的混同均衡，即超额收益现象的产生。因此，对监管部门而言，应着力废除IPO发行和增发审批管制，转而规范信息披露行为，维护信息披露秩序，保护投资者合法权益，降低监管成本，提高监管效率，加大违规处罚力度，才能最终消除中国资本市场上的“三高”问题。其次，基于双边随机边界模型对中国IPO询价效率进行了实证度量。在合理控制IPO内在价值的基础上，本文利用询价制下新股发行价格由发行人、承销商和询价对象等多方力量的博弈共同决定这一特点，将折价效应和溢价效应同时纳入到双边随机边界模型框架下进行研究。结果表明：折价效应使得IPO的实际价格比其最优价格低了12.0%，而溢价效应使得IPO的实际价格超出其最优水平的5.6%，两者的净效果导致我国IPO公司整体上表现为发行折价，实际价格比其最优价格低了6.4%。但值得注意的是，虽然本文的实证结果支持了前期IPO折价理论，但IPO定价效率较高，发行人均将IPO价格定在了其最优边界(内在价值)附近。第三，从IPO市场供需角度对中国IPO超额收益进行分解。在考虑IPO供给管制和需求刚性的基础上，通过推理和演绎，深入剖析IPO折价的产生机理，并将中国IPO超额收益分解为发行人有意折价、政府管制溢价和二级市场溢价。实证部分则构建了IPO超额收益动因检验模型，对IPO三个组成部分的动因以及市场监管政策变迁的有效性进行了检验。结果表明：政府对股票发行数量和节奏的安排使得新股高出其发行价格55.6%，占IPO初始收益的78.2%，而二级市场溢价和发行人有意折价对IPO超额收益的解释力度仅为2.6%和12.9%。最后稳健性检验表明IPO发行制度改革确实降低了IPO折价程度。由此可见，政府对IPO市场的干预是导致我国IPO超额收益的主要动因。最后，利用购买并持有至到期异常收益率(BHAR)模型，累积异常收益率(CAR)模型，Fama-Frech三因素模型以及资产定价(CAPM)模型考察了高溢价IPO个股上市三年内的长期走势。结果表明：总体而言，在样本期内，我国IPO在上市后至少一年内表现出长期弱势，然后逐渐由弱转强，从而再次证明本文结论的稳健性：中国IPO超额收益主要源于二级市场溢价和政府管制溢价，而并非IPO定价效率的缺失。本文的主要贡献在于：结合异质性信念、发行供给管制和投资者噪声交易等因素，对IPO市场参与主体的行动策略、IPO询价效率、IPO初始收益以及IPO后市长期走势等现象进行了系统全面的研究。结果表明中国IPO超额收益的根本原因在于政府对股票供给的管制、信息披露机制不健全以及发行人社会责任的严重缺失，中国IPO市场化改革的重点应当向逐步废除上市和增发审批权、强化各类信息披露机制转移，除此之外，其他任何局部的、技术的变革都将是杯水车薪，最终难逃“泥牛入海——一去不复返”的厄运。
[Abstract]:With the continuous promotion of economic system reform and the development and expansion of the capital market, the securities market plays a more and more important role in the development of national economy and the reform of the financial system. However, excessive government supervision leads to the long-term existence of IPO excess returns, which not only reduces the allocation efficiency of the capital market to a large extent, but also greatly reduces the efficiency of the capital market. The stability and development of the two level market have been affected. In recent years, the "three high" problem in China's securities market has aroused wide attention of scholars at home and abroad. They put forward many theoretical hypotheses in combination with the special system background of China. Most of the conclusions are attributed to the lack of IPO pricing efficiency in China's IPO market for a long time. This is also one of the main motivations for the market reform of the IPO system, such as the SFC. However, the implementation of the inquiry system does not fundamentally eliminate the IPO excess returns in our country as expected in the previous literature, which makes the issue of IPO initial excess return a focus again. The reason leads to the long-term existence of IPO excess returns in China's capital market. Why does the inquiry system have achieved good results in foreign countries and fail in China? This paper takes this as the breakthrough point to make a comprehensive and systematic study of China's stock market from the perspective of institutional economics and behavioral finance, with a view to theoretical and empirical research. This paper gives a detailed explanation and demonstration on the formation mechanism of China's IPO price and excess income, and then provides a microcosmic basis for the further reform and innovation of China's IPO trial system.
First, the formation mechanism of China's IPO price and excess income is demonstrated from the game perspective of the market participants. Based on Cassell's "incentive paradox" game model, the game model of the issuing company and the underwriter agency, the game model of the issuer and the institutional investor, the supervision department and the underwriting sponsor are set up respectively. According to the equilibrium solution, it is found that under the condition of information asymmetry, only when the profit of the best company is higher than the performance of the poor company, the separation equilibrium will appear. At this time, the underwriter and the investor can distinguish the difference of the qualification of the issuing company; on the contrary, there will be a mixed equilibrium. At this time, the underwriter will underwrite all the IPO, I do not know. In addition, the government's supply control to the first level market will inevitably lead to the only mixed equilibrium, that is, the phenomenon of excess returns. Therefore, for the regulatory authorities, the regulatory authorities should try to abolish the IPO issuance and increase the approval control to standardize the information disclosure behavior. To protect the information disclosure order, protect the legal rights and interests of investors, reduce the cost of supervision, improve the efficiency of supervision and increase the punishment of violation of the rules, can we eventually eliminate the "three high" problem in China's capital market.
Secondly, based on the bilateral stochastic boundary model, China's IPO inquiry efficiency is empirically measured. On the basis of the reasonable control of the intrinsic value of IPO, this paper makes use of the multi power game of the issuer, underwriter and inquiry object to determine the characteristics of the new issue price under the inquiry system, and combines the discount effect and the premium effect at the same time. The results show that the actual price of IPO is 12% lower than its optimal price, and the premium effect makes the actual price of IPO exceed the optimal level of 5.6%. The net effect of the two results in the overall performance of the IPO company in China as the discount price, and the actual price is lower than its optimal price. 6.4%., however, is worth noting that, although the empirical results of this paper support the early IPO discount theory, the pricing efficiency of IPO is high, and the per capita price is fixed near the optimal boundary (intrinsic value) of the IPO price.
Third, from the perspective of IPO market supply and demand, we decompose the excess IPO revenue in China. On the basis of IPO supply control and demand rigidity, the mechanism of IPO discount is deeply analyzed through reasoning and deduction, and the excess profit of IPO is decomposed into the issuer's intentional discount, the government regulation premium and the two level market premium. The empirical part is constructed. The IPO excess profit motivation test model is used to test the motivation of the three components of the IPO and the effectiveness of the changes in the market regulation policy. The results show that the government's arrangement of the number and rhythm of the stock issue makes the new shares higher than the issuing price of 55.6%, accounting for 78.2% of the initial revenue of the IPO, and the two level market premium and the issuer's intentional discount. The explanation of IPO excess earnings is only 2.6% and 12.9%. final robustness test shows that the reform of IPO distribution system has indeed reduced the degree of IPO discount. Thus, the intervention of the government to the IPO market is the main cause of the excess returns of IPO in China.
Finally, using the BHAR model, the cumulative abnormal rate of return (BHAR) model, the cumulative abnormal return rate (CAR) model, the Fama-Frech three factor model and the asset pricing (CAPM) model, the long-term trend of the high premium IPO stock listing for three years is examined. The results show that, in general, the IPO in our country appears within at least one year after the listing. A long-term weakness, and then gradually from weak to strong, then proved the robustness of the conclusion of this article: China's IPO excess returns are mainly derived from the two level market premium and the government regulation premium, not the lack of IPO pricing efficiency.
The main contributions of this paper are: combining heterogeneity belief, issuing supply control and investor noise trading, this paper makes a systematic and comprehensive study on the action strategies of the participants in the IPO market, the efficiency of IPO inquiry, the initial income of IPO and the long-term trend of the IPO market. The results show that the fundamental reason for the excess profit of IPO in China lies in the government's policy. The control of the supply of the stock, the unsound disclosure mechanism of the information and the serious lack of social responsibility of the issuer, the focus of China's IPO market reform should be to gradually abolish the listing and increase the approval authority and to strengthen the transfer of various information disclosure mechanisms. In addition, any other local and technical changes will be a cup of water, and ultimately it is difficult to escape. "The mud goes into the sea - a bad luck to go."
【学位授予单位】：重庆大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51

【参考文献】