我国询价制下IPO价格形成与抑价研究
发布时间：2018-08-15 15:28
【摘要】：新股发行定价和抑价问题近几十年以来一直是金融学的热点，受到国内外学者们的广泛关注。国外学者针对新股发行的定价抑价问题进行了大量的研究，并提出了一系列理论和假说试图对其进行解释，然而到目前为止还没有哪一种理论能得到学者们的统一认同。我国证券市场成立以来，IPO定价制度一直在不断地改进和完善。1999年《证券法》实施之前，我国新股发行一直实行审批制，之后逐渐向核准制过渡。不少学者对新股定价问题进行了有益的研究和探讨，但主要集中在围绕IPO抑价解释其产生原因。2005年我国新股询价机制实施至今，主要经历了两次大的询价发行机制改革，，新股抑价现象有所缓解，但又出现新股定价市盈率高，超募现象明显等一系列新的问题。国内许多学者发现并研究了了我国的IPO抑价现象，但结合我国询价机制的特色来研究新股定价和抑价并不多见。在这种情况下，研究我国新股询价制下IPO价格形成和抑价现象就变得非常有价值。 针对我国询价机制的实际情况，本文从询价机制的独特性和询价发行机制改革出发，对我国IPO价格形成和抑价现象进行研究，试图从理论和实证两方面进行解释和论证。本文的研究主要从四个方面展开。 本文首先研究两阶段询价制下的IPO价格形成。询价制实施以来，新股发行的两阶段询价制一直存在。虽然目前在中小企业板和创业板上市的公司可以直接通过初步询价确定发行价格，但主板发行的股票仍然分两个阶段询价。本文结合我国IPO询价的现实，在询价分为初步询价和累计投标询价两个阶段的前提下，分别研究了机构投资者两阶段的均衡报价策略及最终的IPO价格形成，从理论上剖析了机构投资者初步询价时隐藏需求报价压低发行价格的动机。研究结果表明，机构投资者会在初步询价时有意隐藏其需求，最终的均衡价格为初步询价后承销商确定的发行价格区间上限，且初步询价时机构投资者需求隐藏比例越大，IPO发行价格越小，承销商确定的发行价格区间宽度越大，IPO发行价格越大。另外，实证结果也证实了结论的正确性。 其次，采用进化博弈论分析单阶段询价制下的IPO价格形成。在单阶段询价和新股定价窗口指导淡化的前提下，对询价对象群体建立单群体进化博弈模型，分析新股询价过程中询价对象报价行为和新股发行价格的形成。进化博弈模型的分析表明，询价对象的报价行为及IPO价格的形成与询价对象对新股抑价的估计均值有关。当询价对象对新股抑价率均值估计较大时，询价对象会倾向于选择高报价，以便获得新股配售通过二级市场出售新股获得一定盈利。询价对象群体中越多的个体选择高报价，承销商的定价也会越高，很可能高到偏离上市公司的内在价值。当询价对象对新股抑价率均值估计较小时，询价对象会倾向于选择低报价，或者不参与新股询价。询价对象群体中越多的个体选择低报价，承销商的定价也会越低，很可能低到偏离上市公司的内在价值；不参与新股询价的机构足够多时会出现新股由于询价机构不足而终止发行的现象。 再次，本文以两次询价发行机制改革为背景，选取2006年到2011年我国中小企业板上首次公开发行上市的公司数据为样本，采用随机边界模型，实证研究了两次改革前后新股发行定价是否存在故意折价现象。研究结果表明，两次询价发行机制改革后，中小企业板的IPO抑价率均存在显著降低；第一次询价发行机制改革前显著存在新股折价行为，且折价比例不容忽视，新股折价加剧了新股的高抑价；而第一次询价发行机制改革后不存在新股折价行为，新股抑价的来源几乎完全在二级市场估值过高上面；第二次询价发行机制改革前后新股定价行为没有明显变化。 最后，本文仍然以两次询价发行机制改革为背景，以上一章的数据为样本，建立多元回归模型，研究了改革前后新股投机行为对IPO抑价率的影响。研究结果表明，新股投机行为是形成我国中小企业板IPO抑价的主要原因之一，且新股投机行为与IPO抑价之间始终具有显著的正相关关系；两次询价发行机制改革后，新股投机行为对IPO抑价的解释力度都明显增强，且第二次询价发行机制改革后，新股投机行为已经成为IPO抑价最重要的决定力量。
[Abstract]:The issue of IPO pricing and underpricing has been a hot topic in finance in recent decades and has attracted much attention from scholars both at home and abroad. Since the establishment of China's securities market, the IPO pricing system has been constantly improved and perfected. Before the implementation of the Securities Law in 1999, China's new share issuance has been under the examination and approval system, and then gradually transited to the approval system. Many scholars have conducted useful research and Discussion on the issue of new share pricing, but the main collection. Since the implementation of the inquiry mechanism in 2005, there have been two major reforms of the inquiry issuance mechanism in China, and the phenomenon of underpricing has been alleviated. However, a series of new problems have emerged, such as the high price-earnings ratio of new shares and the obvious phenomenon of over-offering. PO underpricing phenomenon, but it is rare to study IPO pricing and underpricing combining with the characteristics of China's inquiry mechanism.
In view of the actual situation of China's inquiry mechanism, this paper, starting from the uniqueness of inquiry mechanism and the reform of inquiry issuing mechanism, studies the formation and underpricing of IPO price in China, and tries to explain and demonstrate it from both theoretical and empirical aspects.
This paper first studies the IPO price formation under the two-stage inquiry system. Since the implementation of the inquiry system, the two-stage inquiry system for new stock issuance has always existed. Under the premise of dividing the inquiry into two stages of initial inquiry and cumulative bidding inquiry, this paper studies the equilibrium strategy of institutional investors in two stages and the formation of final IPO price, and theoretically analyzes the motive of hidden demand quotation to lower the issuing price when institutional investors make initial inquiry. Institutional investors intentionally hide their demand during the initial inquiry. The ultimate equilibrium price is the upper limit of the issuing price range determined by Underwriters after the initial inquiry. The larger the hidden demand ratio of institutional investors during the initial inquiry, the smaller the IPO issuing price, the wider the range of issuing price determined by underwriters, and the larger the IPO issuing price. The empirical results also confirm the correctness of the conclusion.
Secondly, the evolutionary game theory is used to analyze the IPO price formation under the single-stage inquiry system. On the premise of weakening the guidance of the single-stage inquiry and the new share pricing window, the single-group evolutionary game model is established for the inquiry target group, and the bidding behavior of the inquiry target and the formation of the IPO price in the process of the new share inquiry are analyzed. The analysis shows that the bidding behavior and IPO price formation of the inquiry object are related to the estimated mean of the underpricing of the new shares. The more individuals choose to quote high, the higher the underwriter's pricing will be, and it is likely to deviate from the intrinsic value of listed companies. The lower the price is, the more likely it is to deviate from the intrinsic value of the listed company; when enough institutions do not participate in the new share inquiry, the issue of new shares will be terminated due to the lack of inquiry institutions.
Thirdly, based on the background of the two inquiry issuing mechanism reforms, this paper selects the data of IPOs on SMEs board from 2006 to 2011 as a sample and employs the stochastic boundary model to study whether there is deliberate discount in the IPO pricing before and after the two reforms. After the reform of the system, the IPO underpricing rate of the SME board has been significantly reduced; before the first inquiry issuing mechanism reform, there was a significant discount behavior of new shares, and the discount ratio can not be ignored; the discount of new shares aggravated the high underpricing of new shares; but after the first inquiry issuing mechanism reform, there was no discount behavior of new shares, and the source of the underpricing of new shares was almost the same. It is entirely above the overvaluation of the secondary market; there is no significant change in the pricing behavior of new shares before and after the reform of the second inquiry issuing mechanism.
Finally, based on the two-time inquiry issuing mechanism reform, this paper establishes a multiple regression model to study the impact of new stock speculation on IPO underpricing before and after the reform. In order to have a significant positive correlation with IPO underpricing, speculation has become the most important determinant of IPO underpricing after the two inquiry issuing mechanism reforms.
【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;F224
本文编号：2184626
[Abstract]:The issue of IPO pricing and underpricing has been a hot topic in finance in recent decades and has attracted much attention from scholars both at home and abroad. Since the establishment of China's securities market, the IPO pricing system has been constantly improved and perfected. Before the implementation of the Securities Law in 1999, China's new share issuance has been under the examination and approval system, and then gradually transited to the approval system. Many scholars have conducted useful research and Discussion on the issue of new share pricing, but the main collection. Since the implementation of the inquiry mechanism in 2005, there have been two major reforms of the inquiry issuance mechanism in China, and the phenomenon of underpricing has been alleviated. However, a series of new problems have emerged, such as the high price-earnings ratio of new shares and the obvious phenomenon of over-offering. PO underpricing phenomenon, but it is rare to study IPO pricing and underpricing combining with the characteristics of China's inquiry mechanism.
In view of the actual situation of China's inquiry mechanism, this paper, starting from the uniqueness of inquiry mechanism and the reform of inquiry issuing mechanism, studies the formation and underpricing of IPO price in China, and tries to explain and demonstrate it from both theoretical and empirical aspects.
This paper first studies the IPO price formation under the two-stage inquiry system. Since the implementation of the inquiry system, the two-stage inquiry system for new stock issuance has always existed. Under the premise of dividing the inquiry into two stages of initial inquiry and cumulative bidding inquiry, this paper studies the equilibrium strategy of institutional investors in two stages and the formation of final IPO price, and theoretically analyzes the motive of hidden demand quotation to lower the issuing price when institutional investors make initial inquiry. Institutional investors intentionally hide their demand during the initial inquiry. The ultimate equilibrium price is the upper limit of the issuing price range determined by Underwriters after the initial inquiry. The larger the hidden demand ratio of institutional investors during the initial inquiry, the smaller the IPO issuing price, the wider the range of issuing price determined by underwriters, and the larger the IPO issuing price. The empirical results also confirm the correctness of the conclusion.
Secondly, the evolutionary game theory is used to analyze the IPO price formation under the single-stage inquiry system. On the premise of weakening the guidance of the single-stage inquiry and the new share pricing window, the single-group evolutionary game model is established for the inquiry target group, and the bidding behavior of the inquiry target and the formation of the IPO price in the process of the new share inquiry are analyzed. The analysis shows that the bidding behavior and IPO price formation of the inquiry object are related to the estimated mean of the underpricing of the new shares. The more individuals choose to quote high, the higher the underwriter's pricing will be, and it is likely to deviate from the intrinsic value of listed companies. The lower the price is, the more likely it is to deviate from the intrinsic value of the listed company; when enough institutions do not participate in the new share inquiry, the issue of new shares will be terminated due to the lack of inquiry institutions.
Thirdly, based on the background of the two inquiry issuing mechanism reforms, this paper selects the data of IPOs on SMEs board from 2006 to 2011 as a sample and employs the stochastic boundary model to study whether there is deliberate discount in the IPO pricing before and after the two reforms. After the reform of the system, the IPO underpricing rate of the SME board has been significantly reduced; before the first inquiry issuing mechanism reform, there was a significant discount behavior of new shares, and the discount ratio can not be ignored; the discount of new shares aggravated the high underpricing of new shares; but after the first inquiry issuing mechanism reform, there was no discount behavior of new shares, and the source of the underpricing of new shares was almost the same. It is entirely above the overvaluation of the secondary market; there is no significant change in the pricing behavior of new shares before and after the reform of the second inquiry issuing mechanism.
Finally, based on the two-time inquiry issuing mechanism reform, this paper establishes a multiple regression model to study the impact of new stock speculation on IPO underpricing before and after the reform. In order to have a significant positive correlation with IPO underpricing, speculation has become the most important determinant of IPO underpricing after the two inquiry issuing mechanism reforms.
【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;F224
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