信息不对称角度下中国股票市场IPO抑价及其影响因素的研究
发布时间：2017-09-19 14:07
摘要
本文的调查结果显示，为了解决IPO抑价过高这个问题，中国的金融监管部门自2010年先后实施了一系列的新制度和政策，但从本文的研究来看，我国的IPO的抑价水平还是很高。
政府颁布的这些新制度包括:限制了发行市盈率，限制了IPO首日的涨幅等等,但并没有从根本上解决IPO抑价过高的问题，反而使得IPO定价不能真实反映企业内在价值，不能真实反映供求关系，，进一步加大了普通投资者与企业，机构和政府之间的信息不对称。本文的结果显示股本结构，企业负债率，价格，市盈率，企业总资产，发行规模，中签率，承销商信誉这些因素都应该是造成IPO抑价水平增高的原因，其中价格，市盈率，发行规模，总资产，资本负债率与IPO抑价之间存在有统计学意义的线性的相关关系。基于此，笔者也推导出，赢者诅咒理论较好的解释了中国IPO抑价的现象。最后，笔者从制度完善，投资者的教育，加强监督三个方面为政府未来解决IPO抑价问题提出了建议。
关键词：IPO，定价效率，抑价，发行价格，赢者诅咒理论
Abstract
This research used descriptive and multi regression analysis in order to examine how the variety of determinants can affect IPO underpricing in Chinese stock market. The chosen sample in the empirical research was 200 IPO Chinese companies in 2015. As results, there was a statistically significant linear correlation between an enterprise’s total assets, asset-liability ratio, issue scale, price-earnings ratio, issuing price and IPO underpricing rate.
The results in this study present that China's IPO underpricing rate was still high. Although China's financial regulatory authorities have implemented a series of new systems and policies such as limiting issuing price-earnings ratio, limiting the amount of increase of IPO on first day of issue since 2010, it failed to solve the problem of high IPO underpricing rate and truly reflect the intrinsic value of enterprises. Based on the empirical result and literature review, the information asymmetry between investors, enterprises and the government seriously existed. The author deduces that the Winner's Curse theory better explains the phenomenon of China’s IPO underpricing.
Keywords: IPO; pricing efficiency; underpricing; issuing price; the Winner's Curse theory
Table of Contents
Abstract 2
I. Introduction 3
1.1. Background 3
1.2. Research Objectives 5
1.3. Research Structure 6
1.4. Contribution 6
II. Theory and literature review 7
2.1. Asset pricing model 7
2.1.1. Discounted cash flow model 7
2.1.2. Capital asset pricing model 7
2.1.3. Arbitrage Pricing Theory (APT) 8
2.2. Efficiency in IPO pricing 9
2.2.1. Definition of IPO pricing efficiency 9
2.2.2. Importance of IPO pricing efficiency 9
2.2.3. Principles for IPO pricing 10
2.2.4. Criteria for measuring IPO pricing efficiency 11
2.3. Information asymmetry theory on IPO underpricing 13
2.3.1. Principal-agent theory 13
2.3.2. Market feedback hypothesis 14
2.3.3. Signaling hypothesis 15
2.3.4. The Winner's Curse 16
2.3.5. Avoiding litigation theory17
III. Hypothesis and methodology 19
3.1. Data and sample collection 19
3.2. Definition of variables 19
3.3. Hypothesis 20
3.3.1. IPO pricing efficiency and pricing underpricing 20
3.3.2. Stock structure 20
3.3.3. Total assets of company 21
3.3.4. Asset-liability ratio 21
3.3.5. Price-earnings ratio 22
3.3.6. Allocation ratio 22
3.3.7. Issuing scale 22
3.3.8. Offering price 23
3.3.9. Reputation of investment bank 23
3.4. Research model 23
IV Empirical results and analysis 25
4.1. Descriptive statistics 25
4.2. Correlation analysis results 26
4.3. Regression analysis 29
4.3.1. Overall regression analysis results 29
4.3.2. Regression analysis on large-scale enterprises 30
4.3.3. Regression analysis on small-scale enterprises 32
4.3.4. Regression analysis on private enterprises 34
4.3.5. Regression analysis on state-owned enterprises 36
4.4. Situation of IPO underpricing in China 38
4.5 IPO and proportion of tradable stock 40
4.6. IPO underpricing, asset scale and issuing scale 41
4.7. IPO underpricing and asset-liability ratio 44
4.8. IPO underpricing and issuing price-earnings ratio 45
4.9. IPO underpricing and allocation ratio 47
4.10. IPO underpricing and offering price 50
4.11. IPO underpricing and reputation of underwriter 51
4.12. Nature of enterprise 52
4.12. Applicability of IPO underpricing theories for the Chinese stock market 54
V. Conclusion and suggestion 58
5.1. Conclusion 58
5.2. Suggestion 60
5.2.1. Improve systems 60
5.2.2. Strengthen supervision 61
5.3. Limitations and future research 61
References 63
Appendix 1: Raw material 67
Appendix 2: Underwriter Top 10 in 2015 72
Acknowledgements 73
List of Tables
Table 1: Descriptive statistics...............................................
Table 2: Correlation analysis results.........................................
Table 3: Model summary...................................................
Table 4: AOVA I...........................................................
Table 5: Coefficients I......................................................
Table 6: Descriptive statistics...............................................
Table 7: Model summary II................................................. 26
Table 8: ANOVA II................................................... ... 31
Table 9: Coefficients II.................................................... 31
Table 10: Descriptive statistics.............................................. 32
Table 11: Model summary III................................................ 33
Table 12: ANOVA III..................................................... 33
Table 13: Coefficients III................................................... 33
Table 14: Descriptive statistics............................................... 34
Table 15: Model summary IV................................................ 35
Table 16: ANOVA IV................................................... . 35
Table 17: Coefficients IV................................................... 35
Table 18: Descriptive statistics................................................ 36
Table 19: Model summary V.................................................. 37
Table 20: ANOVA V................................................... ... 37
Table 21: Coefficients V................................................... 37
Table 22: Loss situation of companies after listing (2001- 2012)................. 42
Table 23: Correlation analysis on price an asset-liability ratio.................... 45
Table 24: Comparison with Chinese and Anglo-American...................... 51
List of Figures
Figure 1: Top six exchanges by fund raised in 4Q, 2015.............................
Figure 2: Comparison of IPO underpricing rate in different countries in 2013....
Figure 3: IPO Underpricing rate scatterplot..................................
Figure 4: Scatterplot of percentage of tradable stock..........................
Figure 5: Gap between industry price-earnings ratio and issuing price-earnings ratio..... .................................. ............................47
Figure 6. Demographics of Chinese stock investors........................... 3
I. Introduction
Since the global financial crisis in 2008, the instability in the financial market is getting increase and the growth rate of financial market is stuck into the low growth phase. However, IPO markets in the Asian have still continued to expand. Especially, the growth rate of Chinese IPO market is particularly outstanding compared with other Asian IPO markets.
The development of stock market in China has paralleled the transition of Chinese economy from a planned economy to a market economy. Additionally, due to high economic growth rates in China and market liquidity in the Global market, the stock market in China has become one the world’s largest. For instance, Stock Exchange is currently the world's 4th largest stock market by market capitalization at US$3.5 trillion as of February 2016, and 2nd largest in East Asia and Asia . Additionally, Shenzhen Stock Exchange was the world's 3rd largest stock market by market capitalization in the end of 2011.
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