机构投资者询价竞争与IPO定价效率

发布时间：2018-04-23 09:10

本文选题：IPO + 询价机构竞争　；参考：《电子科技大学》2017年硕士论文

【摘要】：本文以2009年至2012年期间深圳证券交易所中小板和创业板非公开的独特的IPO账户级询价数据为样本,从机构投资者的竞争视角,探究了IPO上市首日的定价效率问题。首先,相较于以前的研究,本文构造了新的询价机构竞争指标ICI。通过图例分析我们发现,与已有文献中使用的机构报价偏度指标相比,ICI指标更加全面和准确地刻画了IPO过程中机构投资者的询价竞争。进一步地,本文在发现ICI指标具有吸收报价偏度指标效果的同时,在更长的时间区间、更大的样本容量情况下检验了询价机构间的过度竞争对新股发行出现“三高”以及长期表现弱势问题的影响,发现询价机构间的过度竞争会降低IPO定价效率。特别地,本文的重要贡献在于基于本文所用数据的独特性,首次发现了上述结果发生的经济机理。具体地,第一,本文首次从配售制度的合理性角度,对询价机构过度竞争导致IPO定价效率降低的原因进行了探究。我们认为,2010年10月11日提出的第二阶段发行制度改革中配售制度由同比例变为摇号,会导致询价机构的报价行为变得更加谨慎,机构间过度竞争的动机减少;本文以该次改革作为自然实验,分析配售制度改革前后询价机构竞争行为的变化。研究结果表明当配售制度从同比例配售变成摇号配售后,由询价机构过度竞争导致的“三高”、长期表现弱势等现象有所缓解。第二,为了探究“三高”等问题受到的询价竞争影响主要是来源于哪类询价机构,本文将询价数据按机构投资者询价时的报价高低分为构造激进询价机构竞争和适度询价机构竞争,并深入地分析了这两类投资者的竞争对IPO市场中的“三高”问题和长期表现弱势现象的不同影响机制。结果发现,“三高”等问题受到主要是受到激进询价机构之间过度竞争的影响,而并未受到适度询价机构竞争的影响。并且激进型机构过度竞争影响新股定价效率的经济机理同样是配售制度。总体而言,本文的贡献在于:基于数据的独特性,利用更能准确衡量询价机构竞争的变量ICI,以2010年配售制度的改革为自然实验,首次发现了影响询价机构过度竞争与新股定价效率的经济机理是配售制度。进一步地,本文发现激进型询价机构之间过度竞争是导致新股定价效率降低的主要原因,适度询价机构的竞争对“三高”等问题没有影响,并且激进型询价机构竞争影响新股定价效率的经济机理同样是配售制度。
[Abstract]:Based on the unique IPO account inquiry data from 2009 to 2012, this paper explores the pricing efficiency of IPO on the first day of listing of IPO from the perspective of institutional investor competition. First of all, compared with previous studies, this paper constructs a new inquiry agency competition index ICI. Through the legend analysis, we find that compared with the institutional quotation bias index used in the previous literature, the ICI index is more comprehensive and accurate than the institutional investors' inquiry competition in the process of IPO. Furthermore, this paper finds that the ICI index has the effect of absorbing the quoted price deviation index, and at the same time, in a longer time range, In the case of larger sample size, this paper examines the influence of excessive competition among inquiry agencies on the emergence of "three high" new stock issuance and long-term weak performance. It is found that excessive competition among inquiry agencies will reduce the pricing efficiency of IPO. In particular, the important contribution of this paper lies in the discovery of the economic mechanism of the above results for the first time based on the uniqueness of the data used in this paper. Specifically, firstly, from the rational point of view of placing system, this paper explores the reasons why excessive competition of inquiry institutions leads to the reduction of IPO pricing efficiency. We believe that in the second stage of the reform of the issuing system proposed on October 11, 2010, the allotment system will change from the same proportion to a shakedown, which will lead to a more cautious bidding behavior of the inquiry agencies and a decrease in the incentive for excessive competition among the agencies; This paper takes the reform as a natural experiment to analyze the changes of the competitive behavior of inquiry institutions before and after the reform of the placing system. The results show that the phenomenon of "three high", which is caused by excessive competition of inquiry agencies, has been alleviated in the long run when the placing system has changed from the same proportion of placing to the "rocking number". Second, in order to explore the impact of inquiry competition on such issues as the "three High", which kind of inquiry agencies mainly come from, In this paper, the inquiry data are divided into two categories according to the price offered by institutional investors when they inquire, that is, to construct radical inquiry agency competition and moderate inquiry agency competition. The paper also analyzes the different influence mechanism of these two kinds of investors' competition on the "three high" problems and the long-term weak phenomenon in IPO market. The results show that the "three high" problems are mainly affected by the excessive competition among the radical inquiry agencies, but not by the moderate inquiry agencies' competition. Moreover, the economic mechanism of the excessive competition of radical institutions affecting the pricing efficiency of new shares is also the placing system. Overall, the contribution of this paper lies in: based on the uniqueness of the data, ICI, a variable that can more accurately measure the competition of inquiry agencies, is used as a natural experiment in the reform of the placing system in 2010. It is the first time to find that the economic mechanism that affects the excessive competition of inquiry institutions and the efficiency of new stock pricing is the placing system. Furthermore, this paper finds that excessive competition among radical inquiry agencies is the main reason for the reduction of pricing efficiency of new shares, and that the competition of moderate inquiry agencies has no effect on the "three high" problems. And the economic mechanism that radical inquiry agency competition affects the pricing efficiency of new stock is also the placing system.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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