承销商声誉对IPO抑价影响的实证研究

发布时间：2018-07-15 07:08

【摘要】：自上世纪六十年代,国外学者发现了IPO抑价现象之后,吸引了大批学者研究IPO抑价。学者们在研究的过程中发现,证券承销商声誉对IPO抑价有着重要的影响。投资者与发行人之间、投资者与投资者之间存在着严重的信息不对称现象,承销商作为连接投资者和发行人的桥梁,可以在一定程度上降低他们之间的信息不对称程度。同时,承销商声誉与IPO公司的长期业绩之间的关系也是值得广泛研究的话题之一。有学者的研究指出,承销商的声誉与IPO公司的长期市场业绩呈正相关关系,即高声誉承销商承销的公司,股票上市后很长一段时间内取得的累积股票收益率将显著高于低承销商承销的公司。但少有学者研究承销商声誉对于公司长期经营业绩的关系,这给本文提供了研究契机。本文选取了2009-2010三年期间数据进行了多元回归分析,发现承销商声誉不仅与IPO公司的长期市场业绩显著正相关,而且与其经营业绩也呈现显著正相关关系。许多专家学者对于这一现象从多个方面进行解释。为了降低由于信息不对称所带来的不利影响,承销商在IPO定价方面有着重要作用。所以,拟上市企业在IPO时需要非常谨慎地来选择承销商。对于拟上市公司而言,除了需要其有良好的财务状况和公司治理结构以外,挑选出一家信誉高的证券承销商对于公司是否可以顺利上市有着重要的影响。本文共有六个部分,各个章节的主要内容如下：第一章是导论。首先,描述了国内外IPO抑价率居高不下的现状,介绍了研究背景,并指出本文研究的现实意义和理论意义。其次,对文章的每个部分的主要内容进行简单概括,并用流程图的方式来展现本文的研究框架。最后,指出文章的研究方法和所运用的研究工具。第二章是文献综述。在这一部分中,本文首先介绍了国外学者在研究IPO抑价所提出的假说,即赢者诅咒假说、承销商垄断假说、市场反馈假说、信号假说、投机泡沫假说。其次,回顾了国内外学者对于证券承销商声誉的衡量方法,从中可以看出,在国内学术界依然没有形成一个对于承销商声誉的权威的衡量方法；最后是分别回顾了承销商声誉对于IPO抑价和IPO公司长期业绩影响的研究文献,国内实证研究结果表明,承销商声誉对IPO抑价的影响并没有统一的定论,承销商声誉对IPO公司长期市场业绩的影响同样也没有定论。第三章是理论分析与研究假设。在这一部分中,首先依次介绍了信息不对称理论、信号传递理论、行为金融理论、噪声交易理论这四个理论的观点。此外,根据上述四个理论,又分析了承销商声誉对IPO抑价、IPO公司长期业绩影响的逻辑。其次,综合这些理论,得到了本文的假设,H1：承销商声誉与IPO抑价具有显著负向影响,即承销商声誉越高,IPO抑价越低；H2a：承销商声誉对于IPO公司长期经营业绩具有显著的正向影响；H2b：承销商声誉对于IPO公司长期市场业绩具有显著的正向影响。第四章是研究设计。为了验证本文的假设,本文首先建立两个多元线性回归模型,第一个模型验证承销商声誉对IPO公司发行抑价率的影响,第二个模型验证承销商声誉对IPO公司长期市场业绩的影响。同时对被解释变量、解释变量和控制变量进行了设置,选取IPO抑价率(MIR)和长期累积回报率(AR)为被解释变量,证券承销商声誉是解释变量,控制变量主要有上市流通股比例、首日换手率、中签率、净资产收益率、资产负债率、募集金额、总资产的对数、独立董事比例、发行上市间隔、公司总杠杆、发行后公司市盈率。本章的最后一个部分是对文章选取的样本及数据来源做详细的说明。第五章是实证检验与结果分析。在这一部分中,首先对相关变量进行描述性统计。其次,分别对影响IPO抑价和上市公司长期市场业绩的各个变量进行了相关性分析,同时对模型一和模型二进行多元回归分析。最后为了研究更具有说服力,对更换承销商声誉的替代变量进行了稳健性检验,得到的回归结果表明,文章的假设1和假设2均成立。第六章是研究结论和政策建议。首先,得到本文的结论；其次,根据文章的结论,对承销商在控制风险方面、人员素质方面以及承销项目的选择方面提出了一些建议,对监管部门在对承销商的激励机制、自律机制、引入国外机构投资者、建立信用记录档案等四个方面的建议；再次指出本文研究的局限性。同时本文也具有理论和现实意义,对于以后的研究具有较强的指导意义： (1)理论意义本文研究是对现有文献结论的补充。证券承销商声誉对于IPO抑价率影响的研究结果不一致,本文通过使用2009年至2011年间的样本数据,尝试寻找证券承销商声誉对于IPO抑价率影响的证据,丰富了承销商对IPO抑价方面的经验研究。此外,目前国内对于上市公司长期业绩的研究不是很多,也没有形成一个成熟的理论。本文是基于承销商声誉这一视角,研究承销商声誉对于IPO公司长期经营业绩、市场业绩的影响,对上市公司长期业绩这方面的研究进行一个补充。 (2)现实意义新股定价是否合理可以观察其上市首日抑价率的高低,我们通常用新股上市的收盘价和发行价之比来衡量IPO抑价程度,当IPO抑价程度低说明IPO定价比较合理,当抑价程度较高说明首日收盘价比发行价高很多,这样会造成相关利益方的利益损失。一些研究发现,拟上市公司选择的承销商声誉高,上市首日抑价程度偏低,这表明拟上市公司股票定价的高低与证券承销商声誉的好坏有着密切联系,这是一个很值得研究的问题。从中国证券市场的诞生、发展到今天只有仅仅二十多年,我国相关的监管机制和市场运行机制都不是很完善,因此在新上市公司中会出现上市当年的业绩“变脸”的现象,即公司上市之后其业绩下滑,股价下跌给投资者造成损失。这可能是与相关部门监管不到位,与责任缺失有关。在企业IPO的过程中,承销商负责拟上市公司的筛选、辅导和上市方案的设计与申报相关环节。不论是出于对投资者的负责,还是自身职业的操守,这都要求承销商尽职尽责、严格把关。所以声誉好的承销商为了维持其市场地位及形象,在承销的过程中严格履行自身义务为质量好的IPO企业进行承销。而质量好的IPO企业其上市后长期业绩变脸的可能性较小,所以对承销商声誉与IPO企业长期业绩之间关系的问题很有研究价值。本文的研究具有以下几点贡献： (1)研究角度的贡献先前的学者对于长期市场业绩的研究不太多,大都考察公司质量与公司长期市场表现的关系。本文主要是从承销商声誉的高低这一角度,对IPO抑价及IPO公司股票长期业绩进行研究,能够对以往的研究做了一定的补充。 (2)样本选择的贡献由于2008年的全球爆发金融危机,为了使研究结果更可靠,本文以2009年至2011年期间在沪深A股上市的公司为研究样本。通过对样本数据的分析来验证承销商声誉对IPO抑价、IPO公司长期业绩的影响,丰富了承销商声誉对IPO抑价、上市公司长期业绩的影响研究。 (3)理论分析的贡献以前的学者在对承销商声誉对IPO抑价、上市公司长期业绩的理论分析时,选择的理论比较单一。本文基于信息不对称理论、信号传递理论、行为金融理论、噪声交易理论分别对承销商声誉对于IPO抑价、长期业绩的影响进行理论分析。同时本文的研究也存在着一定的局限性：首先,在承销商声誉的度量方面。本文参照MW法则,以承销商的承销家数和金额为基础,对承销商进行排名,不同的声誉度量标准可能得到的排名不同,以至于得到的实证结果不同。另外我国目前还没有一个大家认可的度量标准,也就没有一个权威性的承销商声誉排名。其次,在研究承销商声誉与上市公司长期市场业绩之间关系时,虽然证明了两者之间呈显著正相关,与所要得到的结果相一致,但是模型2得到的拟合优度不高,这表明还有一些其他影响上市公司长期业绩的因素我们没有找到。最后,我们用上市公司上市后18个月的累积收益率来衡量上市公司的长期市场业绩,在时间方面,18个月的长期收益率说服力或许还是不够。
[Abstract]:Since the 60s last century, foreign scholars found IPO underpricing phenomenon, attracting a large number of scholars to study IPO underpricing. In the process of research, scholars found that the reputation of securities underwriter has an important impact on the underpricing of IPO. Between investors and issuers, there is a serious information asymmetry between investors and investors, underwriting. As a bridge linking investors and issuers, business can reduce the degree of information asymmetry between them to a certain extent.
At the same time, the relationship between the reputation of the underwriter and the long-term performance of the IPO company is also one of the topics worthy of a wide study. The rate will be significantly higher than the low underwriter's underwriting company. However, few scholars have studied the relationship between the reputation of the underwriter and the long-term operating performance of the company. This provides a research opportunity for this article. This paper selects the data of 2009-2010 and three years to carry out multiple regression analysis, and finds that the underwriter's reputation is not only significantly positive with the long-term market performance of IPO company. Many experts and scholars explain the phenomenon from many aspects. In order to reduce the adverse effects of information asymmetry, the underwriters have an important role in the pricing of IPO. Therefore, the listed companies need to choose the Underwriters very carefully at IPO. For a listed company, in addition to its good financial situation and corporate governance structure, the selection of a high credit underwriter has an important impact on whether the company can be successfully listed.
There are six parts in this paper. The main contents of each chapter are as follows:
The first chapter is introduction. First, it describes the current situation of the high rate of IPO underpricing at home and abroad, introduces the research background, and points out the practical and theoretical significance of this study. Secondly, the main contents of each part of the article are briefly summarized, and the research framework of this article is displayed in the way of flow chart. Finally, it points out the research of the article. Research methods and research tools used.
The second chapter is a literature review. In this part, this article first introduces the hypothesis proposed by foreign scholars in the study of IPO underpricing, that is, the winner's curse hypothesis, the underwriter monopoly hypothesis, the market feedback hypothesis, the signal hypothesis, the speculative bubble hypothesis. Secondly, it reviews the domestic and foreign scholars' methods of measuring the reputation of securities underwriters. In the domestic academia, there is still not a measure of the authority of the underwriter's reputation. Finally, it reviews the research literature on the influence of the underwriter reputation on the IPO Underpricing and the long-term performance of IPO company. The results of domestic empirical study show that the underwriter reputation has no unified conclusion on the effect of the underwriter's reputation on the underpricing of IPO, and the underwriter's voice The impact of reputation on IPO's long-term market performance is also inconclusive.
The third chapter is the theoretical analysis and research hypothesis. In this part, first of all, it introduces the four theories of information asymmetry theory, signal transfer theory, behavioral finance theory and noise trading theory. In addition, according to the above four theories, it analyzes the logic of the reputation of underwriters on IPO Underpricing and the long-term performance of IPO company. Secondly, Combining these theories, we get the hypothesis of this article, H1: the underwriter reputation and IPO underpricing have a significant negative impact, that is, the higher the underwriter's reputation, the lower the IPO underpricing; H2a: the underwriter reputation has a significant positive impact on the long-term operating performance of IPO company; H2b: the underwriter's sound reputation is significant to the long-term market performance of IPO company. Positive impact.
The fourth chapter is research design. In order to verify this hypothesis, this paper first establishes two multiple linear regression models. The first model verifies the effect of the underwriter reputation on the IPO company's issuing underpricing rate. The second models verify the impact of the underwriter reputation on the long-term market performance of IPO company. The variables are set up, the IPO underpricing rate (MIR) and the long-term cumulative return rate (AR) are interpreted as explanatory variables. The reputation of the underwriter is an explanatory variable. The control variable mainly includes the proportion of the listed shares, the first day turnover rate, the winning rate, the net asset yield, the asset liability ratio, the collection amount, the logarithm of the total assets, the proportion of the independent directors, the listing of the listed companies, the listing of the listed companies. The company's total leverage and the company's price earnings ratio after the issue are issued. The last part of this chapter is a detailed description of the samples and data sources selected.
The fifth chapter is the empirical test and the result analysis. In this part, first, the relevant variables are descriptive statistics. Secondly, the correlation analysis is carried out on the variables that affect the IPO Underpricing and the long-term market performance of the listed companies, and the model one and the model two are analyzed by multiple regression analysis. Finally, the research is more convincing. Robustness tests were conducted to replace the Underwriters' reputation variables. The regression results showed that both the hypothesis 1 and the hypothesis 2 were established.
The sixth chapter is the conclusion and policy recommendations. First, the conclusion of this article is obtained. Secondly, according to the conclusion of the article, some suggestions are put forward for the underwriters to control risk, the quality of personnel and the selection of underwriting projects, and the incentive mechanism of the Underwriters, the self-discipline mechanism, and the introduction of foreign institutional investors to the underwriters are built. Suggestions on four aspects, such as credit record and archives, are pointed out again.
At the same time, this paper also has theoretical and practical significance, which has strong guiding significance for future research.
(1) theoretical significance
This study is a supplement to the existing literature conclusions. The results of the impact of the underwriter's reputation on the IPO underpricing rate are inconsistent. By using the sample data from 2009 to 2011, this paper tries to find the evidence of the impact of the underwriter's reputation on the IPO underpricing rate, enriching the empirical research on the underpricing of the underwriters. The study of the long-term performance of Listed Companies in China is not much, and there is no mature theory. This paper is based on the reputation of the underwriter, and studies the influence of the underwriter's reputation on the long-term operating performance of IPO company, the performance of the market and the research on the long-term performance of the listed companies.
(2) practical significance
If the price of new shares is reasonable, we can observe the rate of underpricing on the first day of the market. We usually use the closing price of the IPO and the ratio of the issuing price to measure the IPO underpricing. When the degree of IPO underpricing is low, the price of IPO is reasonably priced, and the higher the underpricing indicates that the closing price of the first day is much higher than that of the issuing price, which will cause the relevant stakeholders. Some studies have found that the underwriter selected by the listed company has a high reputation and the underpricing degree is low on the first day of the market, which indicates that the price of the listed company is closely related to the reputation of the underwriter. This is a problem worthy of study.
From the birth of China's securities market, only more than 20 years have been developed to today, the related regulatory mechanism and market operation mechanism of China are not very perfect. Therefore, in the newly listed companies, the performance of the year is "changing face", that is, the performance of the company falls after the company is listed and the stock price falls to the investors. In the process of enterprise IPO, the underwriter is responsible for the selection of the listed companies, the design and declaration of the guidance and listing program. Whether it is for the investors and the professional integrity, the underwriter requires the underwriters to do their duty conscientious and strictly control. In order to maintain its market status and image, a good underwriter strictly fulfil its own obligations to underwrite the good quality IPO enterprises in the process of underwriting, and the good quality IPO enterprise has a small possibility of long term performance after its listing, so the relationship between the reputation of the underwriter and the long term performance of the IPO enterprise is of great value.
The research in this paper has the following contributions:
(1) contribution of research angle
The previous scholars have not much research on the long-term market performance. Most of them examine the relationship between the company's quality and the long-term market performance of the company. This paper mainly studies the IPO Underpricing and the long-term performance of IPO shares from the perspective of the reputation of the Underwriters, which can be a supplement to the previous research.
(2) contribution of sample selection
As a result of the global financial crisis of 2008, in order to make the results more reliable, this paper takes the companies listed on the Shanghai and Shenzhen stock market from 2009 to 2011 as the research sample. Through the analysis of the sample data to verify the underwriter's reputation for IPO underpricing, the long-term performance of the IPO company has enriched the underwriter's reputation for the underpricing of the IPO, and the length of the listed company. Research on the impact of the performance of the period.
(3) contribution of theoretical analysis
The previous scholars chose the theory of the underwriter's reputation for IPO Underpricing and the long-term performance of the listed companies. This paper is based on the theory of information asymmetry, the theory of signal transmission, the theory of behavioral finance, the theory of noise trading, and the theoretical analysis of the influence of the underwriter's reputation on the underpricing of IPO and the long-term performance.
At the same time, there are some limitations in this study.
First, in the measure of the reputation of the underwriter, this paper, based on the MW rule, ranked the Underwriters on the basis of the Underwriters' number and amount, and the different reputational metrics may be ranked different, so that the empirical results are different. An authoritative underwriter's reputation.
Second, in the study of the relationship between the reputation of the underwriter and the long-term market performance of the listed company, although there is a significant positive correlation between the two and the results to be obtained, the goodness of fit of model 2 is not high, which indicates that there are still some other factors that affect the long-term performance of the listed company.
Finally, we use the cumulative yield of 18 months after the listing of listed companies to measure the long-term market performance of the listed companies. In terms of time, the long-term rate of return of 18 months may not be enough.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】