创业板高科技公司IPO定价模型及应用研究
摘要
2009年9月25日随着首批十家公司在创业板IPO申购的启动，标志着我国创业板市场的正式推出并进入了实质性的运行之中。截止2013年8月31日已有355家公司在创业板市场成功上市，创业板这一概念由此日益成为广泛议论的热门话题。创业板市场是为了适应新经济的要求和高新技术产业发展的需要，弥补现有证券市场功能上的缺陷而设立的新市场，它将成为我国建立多层次资本市场的一个显著标志，将对我国中小企业特别是高科技创业型企业的成长与发展提供一个关键性的融资平台。创业板上市公司发行定价问题，即IPO定价问题是理论界与实务界所关注的重要问题。这是因为，对此问题的研究既与创业板两级市场间的协调发展相关，还与创业板在未来发展过程中的资源配置功能相关，因而深入分析创业板市场的IPO定价问题对创业板市场的长期、规范、健康地发展具有重要影响，进而也会在提升我国资本市场的投资理念、提高证券市场的整体质量与运作效率、进一步推动我国证券市场向规范化、市场化、国际化迈进等方面产生深远的影响。
论文在综述了国内外相关研究基本理论与方法的基础上，阐述了IPO定价的基本原则与发行方式，分析了影响发行公司IPO定价的内部与外部因素，对高科技、高科技产业及高科技企业进行了重新界定，进一步分析了创业板公司的估值定价特点。包含的公司内在价值影响因素的信息越多,股票价格的合理性越高,反之股票价格的合理性越低。本文在分析高科技公司定价的合理性时，利用相关的分析方法为股票价格对公司内在价值变量展开回归分析，回归的拟合优度反映了股票价格的合理性。通过增加一系列公司特征变量，本文利用多元回归分析还综合考察了获利能力、经营能力、偿债能力和资本结构等特征对公司内在价值的影响。考虑到变量间共线性问题，本文利用主成分分析法对影响公司内在价值的主要变量展开分析，从寻因的角度考察高科技公司一级市场价格和二级市场价格的准确性。此部分研究在于进一步考察我国主板市场在高科技公司IPO定价时的合理性，以便为创业板高科技公司IPO定价模型及方法的研究提供更坚实的基础。
在分析创业板高科技公司IPO参与各方利益均衡的基础上，论文研究发行人对IPO发行规模的期望与一般投资者在利益均衡时的弱势处境，推导出承销商对IPO发行规模即募集资金额的期望值，以及机构投资者对高科技公司IPO价格的报价值，并且给出了模型的相关推论，从而从另一角度为IPO抑价问题提出了解答。通过结合我国高科技企业生命周期（研究与开发期、创业期、早期成长期、加速成长期、稳定成长期和成熟期等六个阶段）及价值特征（高风险性、高成长性、高成本性及高附加值性等四大特征），论文分析了以股权现金流为主的关键性财务指标在企业不同发展阶段的变化特点，建立了适应证券发行询价制的以股权现金流与股权资本成本为主要变量的创业板高科技企业IPO定价分析模型，并且进行了实证研究。研究表明：这一定价模型体现了询价制下创业板高科技公司IPO定价的投资价值原则与市场化原则。进一步地，论文还分析了高科技公司的经济增加值（EVA）及其在不同生命周期的价值特征，进而提出了适合高科技公司IPO定价的较新的方法。论文将EVA理论应用在IPO定价分析中，在已有理论的基础上建立了基于EVA的高科技公司IPO定价模型，并且利用该模型对实际案例进行分析与计算得出合理的IPO定价。
最后，论文提出了符合创业板高科技公司特征的多阶段风险投资项目的复合期权价值评估模型以及与随机动态模拟相结合的创业板IPO定价方法，并且分为三个阶段对模型进行分析求解。结合基于噪声抑价的高科技公司的IPO定价方法，论文针对具体的算例分别进行定价计算，进而得出相应的询价区间。通过随机波动的蒙特卡罗模拟定价及从噪声抑价角度的噪声抑价模型定价分析发现，传统的IPO定价偏低，不适合高科技公司高风险高收益的特点。基于噪声抑价的创业板高科技上市公司的IPO定价要比随机波动下的蒙特卡罗模拟定价更高，反映了我国股票市场的噪声交易过多、非理性投资充斥市场的现状。论文进而引入了实物期权定价方法中的三叉树模型，在假设拟上市公司存在三种发展状态：上涨、不变、下跌，同时在将整个过程视为一个多阶段欧式看涨期权的基础上，建立了针对高科技类特殊行业的IPO定价模型，并且通过实例计算阐释了该方法的可行性。由于创业板高科技公司IPO定价方法的问题研究在我国尚处在起步阶段，在实际操作中，还应该结合实际情况，考虑理论模型中各参数，如可比公司市值的可获性，相关参数准确估计的可行性，并且与“回拨机制”、“绿鞋期权”等发行方式相结合运用，以便能更好地发掘创业板高科技公司IPO的真实价值，提高我国资本市场的资源配置效率。
September25,2009，with first10listed companies starting to IPO subscription,China's Growth Enterprise Market (GEM) was launched formally and enter into asubstantial operation. By the end of August31,2013, there were355companies listedon GEM. The concept of GEM is becoming a hot topic for people to discuss. GEM is anew market established to meet demands for new economy and needs for high-techindustries’ development, to make up for functional deficiencies in the current stockmarket. It’ll be a notable symbol for China to establish a multi-level capital market, andit’ll provide a growth and development platform for SMEs particularly high-techstart-ups to in our country. IPO pricing of GEM is an issue problem which receivesattention from theory circle and practitioners. This is not only related to the coordinativedevelopment between primary market and secondary market of GEM and how well theGEM to play the role of optimizing the allocation of resources in the future, but alsorelated to the GEM market's ability to long-term, standardized, and healthy development,and thus also will make a far-reaching impact on enhancing the investment philosophyof China's securities market, improving overall quality and operational efficiency of thesecurities market and promoting China's securities market to standardization,maketization and internationalization.
On the basis of summing up basic theories and methods of related research in thewhole world, this thesis expounded the basic principles of IPO pricing and distributionmethods, analyzed internal and external factors affecting IPO pricing. This thesisre-defined high-tech, high-tech industries and high-tech enterprises. It analyzed thevaluation price characteristics of GEM companies. Stock prices with more informationaffecting the intrinsic value of companies will be more reasonable, or they’ll be lessreasonable. Based on the analysis of reasonableness of high-tech companies’ pricing ofboard, this thesis used regression analysis to analyzed companies intrinsic value variable.The regression goodness of fit indicated the reasonableness of stock price. It analyzedthe multi-collinearity problems between company’s profitability, management capacity,solvency, capital structure and indicator variables related to the intrinsic value. Themain ingredient regenerated was used for regression as new independent variablesinstead of the original ones in order to overcome the interference of multi-collinearity.Thus, this thesis uses principal component regression analysis to study high-tech company’s IPO issue price and secondary market prices’ reasonableness. This part ofthe study was to examine whether high-tech companies’ of motherboard market pricingIPO reasonably and provide a more solid foundation of studying GEM’s high-techcompanies’ IPO pricing model and method.
In this thesis, the analysis of high-tech company GEM’s IPO involved the interestsof all parties on the basis of the balance of the issuers, we research on IPO issuing scaleof expectations and general investors’ weak situation in the benefit equilibrium. Wederived the underwriters for the IPO issuing scale that raises the amount of expectationsas well as the IPO value of institutional investors on the high-tech company, and gavethe related model of inference. At the same time, IPO underpricing problem is analyzedfrom another angle. This paper analyzed High-tech enterprise in China by the life cycleand value characteristics. High-tech enterprises’ life cycle was divided into research anddevelopment, Start-up, early growth, accelerated growth, stable growth, and maturityperiod of six stages, and a high technology companies have four value characteristics:high-risk, high growth, high cost and high value-added. It proposed equity cash flowand other related financial targets and analyzed these indicators’ change characteristicsin different development stages of enterprises. It also set up high-tech enterprise’s IPOpricing analysis model which adapts to securities inquiry and takes equity cash flow andequity cost of capital as the main variables and conducted an empirical study. The Studyshowed that the pricing model reflects the investment value principles andmarket-oriented principles of GEM high-tech companies’ IPO pricing under the inquirysystem. Aimed at the characteristics of high-tech companies, it analyzed the economicvalue-added of high-tech companies and their value characteristics in different lifecycles, then it proposed another method for high-tech companies’ IPO pricing. Theeconomic value added (EVA) theory was used to analyzed IPO pricing. On the basis ofexisted theories, it established the EVA-based high-tech company IPO pricing modeland used the model in actual cases’ analysis and calculated a reasonable IPO pricing.
Finally, this thesis presents multi-stage venture investment project’s compoundoption valuation model in line with high-tech companies’ characteristics and GEM IPOpricing method with a combination of stochastic dynamic simulation, and it made athree-phase analysis of the model solution. Combining with noise suppression basedIPO pricing method of high-tech companies, this thesis calculated pricing separately topractical examples and then draw the appropriate inquiry interval. Through randomfluctuations Monte Carlo simulated pricing and noise under pricing model, we can find that the traditional IPO is under pricing, so it is not suit for high-tech companies whichare high-risk and high-yield. For high-tech companies, noise suppression based IPOpricing is higher than the random fluctuations Monte Carlo. It showed that there’s toomuch noise traders in China’s stock market, and our stock market is not yet mature andbubbling atmosphere is too strong. Besides, this thesis introduced trigeminal tree modelof real option pricing methods. On the assumption that there are three developmentstates of listed companies: up; unchanged and down, and on the basis of taking thewhole process as a multi-stage European call option, it established a IPO pricing modelaimed to special industry of high-tech class. And it illustrated the feasibility of themethod through calculation. As the high-tech enterprises’ IPO pricing research in Chinais still in its infancy, in actual operation, we should consider the real situation andparameters in theoretical model, such as acquisition of comparable companies’ marketvalue, the feasibility of relevant parameters’ accurate estimate. Besides, IPO pricingmethods should be combined with distribution methods such as "call-back mechanism"and "green shoe option" in order to explore the true value of high-tech companies onGEM better and improve resource allocation efficiency of China’s capital market.
论文在综述了国内外相关研究基本理论与方法的基础上，阐述了IPO定价的基本原则与发行方式，分析了影响发行公司IPO定价的内部与外部因素，对高科技、高科技产业及高科技企业进行了重新界定，进一步分析了创业板公司的估值定价特点。包含的公司内在价值影响因素的信息越多,股票价格的合理性越高,反之股票价格的合理性越低。本文在分析高科技公司定价的合理性时，利用相关的分析方法为股票价格对公司内在价值变量展开回归分析，回归的拟合优度反映了股票价格的合理性。通过增加一系列公司特征变量，本文利用多元回归分析还综合考察了获利能力、经营能力、偿债能力和资本结构等特征对公司内在价值的影响。考虑到变量间共线性问题，本文利用主成分分析法对影响公司内在价值的主要变量展开分析，从寻因的角度考察高科技公司一级市场价格和二级市场价格的准确性。此部分研究在于进一步考察我国主板市场在高科技公司IPO定价时的合理性，以便为创业板高科技公司IPO定价模型及方法的研究提供更坚实的基础。
在分析创业板高科技公司IPO参与各方利益均衡的基础上，论文研究发行人对IPO发行规模的期望与一般投资者在利益均衡时的弱势处境，推导出承销商对IPO发行规模即募集资金额的期望值，以及机构投资者对高科技公司IPO价格的报价值，并且给出了模型的相关推论，从而从另一角度为IPO抑价问题提出了解答。通过结合我国高科技企业生命周期（研究与开发期、创业期、早期成长期、加速成长期、稳定成长期和成熟期等六个阶段）及价值特征（高风险性、高成长性、高成本性及高附加值性等四大特征），论文分析了以股权现金流为主的关键性财务指标在企业不同发展阶段的变化特点，建立了适应证券发行询价制的以股权现金流与股权资本成本为主要变量的创业板高科技企业IPO定价分析模型，并且进行了实证研究。研究表明：这一定价模型体现了询价制下创业板高科技公司IPO定价的投资价值原则与市场化原则。进一步地，论文还分析了高科技公司的经济增加值（EVA）及其在不同生命周期的价值特征，进而提出了适合高科技公司IPO定价的较新的方法。论文将EVA理论应用在IPO定价分析中，在已有理论的基础上建立了基于EVA的高科技公司IPO定价模型，并且利用该模型对实际案例进行分析与计算得出合理的IPO定价。
最后，论文提出了符合创业板高科技公司特征的多阶段风险投资项目的复合期权价值评估模型以及与随机动态模拟相结合的创业板IPO定价方法，并且分为三个阶段对模型进行分析求解。结合基于噪声抑价的高科技公司的IPO定价方法，论文针对具体的算例分别进行定价计算，进而得出相应的询价区间。通过随机波动的蒙特卡罗模拟定价及从噪声抑价角度的噪声抑价模型定价分析发现，传统的IPO定价偏低，不适合高科技公司高风险高收益的特点。基于噪声抑价的创业板高科技上市公司的IPO定价要比随机波动下的蒙特卡罗模拟定价更高，反映了我国股票市场的噪声交易过多、非理性投资充斥市场的现状。论文进而引入了实物期权定价方法中的三叉树模型，在假设拟上市公司存在三种发展状态：上涨、不变、下跌，同时在将整个过程视为一个多阶段欧式看涨期权的基础上，建立了针对高科技类特殊行业的IPO定价模型，并且通过实例计算阐释了该方法的可行性。由于创业板高科技公司IPO定价方法的问题研究在我国尚处在起步阶段，在实际操作中，还应该结合实际情况，考虑理论模型中各参数，如可比公司市值的可获性，相关参数准确估计的可行性，并且与“回拨机制”、“绿鞋期权”等发行方式相结合运用，以便能更好地发掘创业板高科技公司IPO的真实价值，提高我国资本市场的资源配置效率。
September25,2009，with first10listed companies starting to IPO subscription,China's Growth Enterprise Market (GEM) was launched formally and enter into asubstantial operation. By the end of August31,2013, there were355companies listedon GEM. The concept of GEM is becoming a hot topic for people to discuss. GEM is anew market established to meet demands for new economy and needs for high-techindustries’ development, to make up for functional deficiencies in the current stockmarket. It’ll be a notable symbol for China to establish a multi-level capital market, andit’ll provide a growth and development platform for SMEs particularly high-techstart-ups to in our country. IPO pricing of GEM is an issue problem which receivesattention from theory circle and practitioners. This is not only related to the coordinativedevelopment between primary market and secondary market of GEM and how well theGEM to play the role of optimizing the allocation of resources in the future, but alsorelated to the GEM market's ability to long-term, standardized, and healthy development,and thus also will make a far-reaching impact on enhancing the investment philosophyof China's securities market, improving overall quality and operational efficiency of thesecurities market and promoting China's securities market to standardization,maketization and internationalization.
On the basis of summing up basic theories and methods of related research in thewhole world, this thesis expounded the basic principles of IPO pricing and distributionmethods, analyzed internal and external factors affecting IPO pricing. This thesisre-defined high-tech, high-tech industries and high-tech enterprises. It analyzed thevaluation price characteristics of GEM companies. Stock prices with more informationaffecting the intrinsic value of companies will be more reasonable, or they’ll be lessreasonable. Based on the analysis of reasonableness of high-tech companies’ pricing ofboard, this thesis used regression analysis to analyzed companies intrinsic value variable.The regression goodness of fit indicated the reasonableness of stock price. It analyzedthe multi-collinearity problems between company’s profitability, management capacity,solvency, capital structure and indicator variables related to the intrinsic value. Themain ingredient regenerated was used for regression as new independent variablesinstead of the original ones in order to overcome the interference of multi-collinearity.Thus, this thesis uses principal component regression analysis to study high-tech company’s IPO issue price and secondary market prices’ reasonableness. This part ofthe study was to examine whether high-tech companies’ of motherboard market pricingIPO reasonably and provide a more solid foundation of studying GEM’s high-techcompanies’ IPO pricing model and method.
In this thesis, the analysis of high-tech company GEM’s IPO involved the interestsof all parties on the basis of the balance of the issuers, we research on IPO issuing scaleof expectations and general investors’ weak situation in the benefit equilibrium. Wederived the underwriters for the IPO issuing scale that raises the amount of expectationsas well as the IPO value of institutional investors on the high-tech company, and gavethe related model of inference. At the same time, IPO underpricing problem is analyzedfrom another angle. This paper analyzed High-tech enterprise in China by the life cycleand value characteristics. High-tech enterprises’ life cycle was divided into research anddevelopment, Start-up, early growth, accelerated growth, stable growth, and maturityperiod of six stages, and a high technology companies have four value characteristics:high-risk, high growth, high cost and high value-added. It proposed equity cash flowand other related financial targets and analyzed these indicators’ change characteristicsin different development stages of enterprises. It also set up high-tech enterprise’s IPOpricing analysis model which adapts to securities inquiry and takes equity cash flow andequity cost of capital as the main variables and conducted an empirical study. The Studyshowed that the pricing model reflects the investment value principles andmarket-oriented principles of GEM high-tech companies’ IPO pricing under the inquirysystem. Aimed at the characteristics of high-tech companies, it analyzed the economicvalue-added of high-tech companies and their value characteristics in different lifecycles, then it proposed another method for high-tech companies’ IPO pricing. Theeconomic value added (EVA) theory was used to analyzed IPO pricing. On the basis ofexisted theories, it established the EVA-based high-tech company IPO pricing modeland used the model in actual cases’ analysis and calculated a reasonable IPO pricing.
Finally, this thesis presents multi-stage venture investment project’s compoundoption valuation model in line with high-tech companies’ characteristics and GEM IPOpricing method with a combination of stochastic dynamic simulation, and it made athree-phase analysis of the model solution. Combining with noise suppression basedIPO pricing method of high-tech companies, this thesis calculated pricing separately topractical examples and then draw the appropriate inquiry interval. Through randomfluctuations Monte Carlo simulated pricing and noise under pricing model, we can find that the traditional IPO is under pricing, so it is not suit for high-tech companies whichare high-risk and high-yield. For high-tech companies, noise suppression based IPOpricing is higher than the random fluctuations Monte Carlo. It showed that there’s toomuch noise traders in China’s stock market, and our stock market is not yet mature andbubbling atmosphere is too strong. Besides, this thesis introduced trigeminal tree modelof real option pricing methods. On the assumption that there are three developmentstates of listed companies: up; unchanged and down, and on the basis of taking thewhole process as a multi-stage European call option, it established a IPO pricing modelaimed to special industry of high-tech class. And it illustrated the feasibility of themethod through calculation. As the high-tech enterprises’ IPO pricing research in Chinais still in its infancy, in actual operation, we should consider the real situation andparameters in theoretical model, such as acquisition of comparable companies’ marketvalue, the feasibility of relevant parameters’ accurate estimate. Besides, IPO pricingmethods should be combined with distribution methods such as "call-back mechanism"and "green shoe option" in order to explore the true value of high-tech companies onGEM better and improve resource allocation efficiency of China’s capital market.
引文
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