基于期权定价理论的股票首次公开发行定价研究
|
摘要
股票首次公开发行是股份公司募集资金的重要方式。由于我国正处在经济转轨时期，国有企业正逐步实现“所有权”与“经营权”相分离，对应的首次公开发行也经历着由行政定价向市场定价的过渡。在我国股市的初创阶段，新股发行最突出的特点是政府监管部门干预过多，从审批发行额度、确定发行价格到规定销售方式，政府都做出严格的限制，妨碍了股票市场的发展与完善。伴随市场经济的发展，股市的市场化改革势在必行，新股发行的市场化进程主要体现在两个方面：定价方式市场化和定价机制市场化。从全球角度来看，首次公开发行价格存在三个显著异常现象：新股抑价、新股长期弱势和新股热销，这也是困扰金融界的三个难题。
本文的研究目的是为我国新股发行的市场化改革提供参考，研究对象是我国首次公开发行股票的定价模型，包括理论研究和实证研究两部分。其中理论研究是在回顾我国新股发行历史变革的基础上，综述传统的新股定价的理论模型，并对其实用性加以评析，然后从我国新股发行现状出发，将期权定价思想纳入新股定价过程，给出一个具有参考意义的定价公式。样本检验结果证明，我国具有高成长性的行业的股票价值中包含的期权价值约占股票发行价格的五分之一，这是新股理论价值中应当包含在内而在实际定价中被“漏掉”的部分，这也是我国新股抑价程度高的原因之一。
实证研究主要围绕新股价格的三个异常现象来展开，包括国内外新股价格异常现象的对比分析和我国新股抑价、新股长期弱势的实证分析。新股抑价的实证研究分两步进行：一是通过单因素方差分析确定与新股抑价关系密切的影响因素，这些因素包括流通股数量、市盈率、发行上市时间差、每股发行费用等，与人们的直观印象不同的是，新股抑价和上市公司的财务指标相关性不强；二是构造包括上述影响因素的多元线性回归模型进行回归分析，依据分析结果提出对应的政策建议。新股长期弱势的实证研究主要限于指标分析，结论是我国新股上市14个月内的走势略好于大市，但是15—37个月内的走势明显弱于大市。
本文的研究结论为：我国的新股发行的市场化程度正在逐步提高，监管部门要审慎对待继续完善新股定价方式和定价机制的市场化改革，新股发行的小盘化不可取，政府应该依据公司行业性质来调控新股发行上市时间差，最大限度地实现股市进行资金配置的功能。
Initial public offering is the most important way to raise capital for joint-stock companies. Since China has transferred gradually from a planned economy into a market-oriented economy, state-owned enterprises want to realize separating property rights from operation rights. At the same time, IPO in China also undergo from administration pricing to market pricing. During the beginning stage of stock market, government intervened the issue quantity, the price and the selling ways. All of these hindered the development of market. All over the world, IPO has three abnormal phenomena, underpricing, long-term underperformance and hot issue, which are also puzzles perplexing financial circle.
The aim of this article is to give some advice for marketilization of Chinese stock market. And the article emphasizes on IPO pricing models, including in theoretical method and in empirical method.
In theoretical part, traditional IPO pricing models are discussed, and their application is analyzed, based on reviewing the "reform" history of Chinese IPO. Furthermore, a new IPO pricing model is put up, which embraces "option" thought. We find that option value of Chinese hi-tech enlisted companies is about 20% of IPO price, which is one of chief reasons of high underpricing in China through numeric calculation.
In empirical part, we research on three abnormal phenomena in IPO, including underpricing, underperformance and hot issue. And methodology is divided into two steps. Firstly, factors of underpricing and underperformance are determined through single-factor AN OVA (analysis of variance). Therefore, a multi-variable linear regression model is established. It is found that Chinese underpricing is highly related to factors such as primary shares, P/E ratio, according to empirical study. It is also found that Chinese IPO price trend is rather stronger than the market within 14 months, and obviously weaker than the market in 15-37 months.
It is finally concluded that (1) the marketilization degree of Chinese IPO rises up step by step, (2) it is not a good idea for IPO in small amount, (3) marketilization reform of Chinese IPO should be more cautious than ever before, and (4) authorities should
regulate and supervise the time of certain company, according to its attribute of industry, in order to allocate financial resources efficiently.
Zhang qingwei (finance) Directed by Yang chunpeng
本文的研究目的是为我国新股发行的市场化改革提供参考，研究对象是我国首次公开发行股票的定价模型，包括理论研究和实证研究两部分。其中理论研究是在回顾我国新股发行历史变革的基础上，综述传统的新股定价的理论模型，并对其实用性加以评析，然后从我国新股发行现状出发，将期权定价思想纳入新股定价过程，给出一个具有参考意义的定价公式。样本检验结果证明，我国具有高成长性的行业的股票价值中包含的期权价值约占股票发行价格的五分之一，这是新股理论价值中应当包含在内而在实际定价中被“漏掉”的部分，这也是我国新股抑价程度高的原因之一。
实证研究主要围绕新股价格的三个异常现象来展开，包括国内外新股价格异常现象的对比分析和我国新股抑价、新股长期弱势的实证分析。新股抑价的实证研究分两步进行：一是通过单因素方差分析确定与新股抑价关系密切的影响因素，这些因素包括流通股数量、市盈率、发行上市时间差、每股发行费用等，与人们的直观印象不同的是，新股抑价和上市公司的财务指标相关性不强；二是构造包括上述影响因素的多元线性回归模型进行回归分析，依据分析结果提出对应的政策建议。新股长期弱势的实证研究主要限于指标分析，结论是我国新股上市14个月内的走势略好于大市，但是15—37个月内的走势明显弱于大市。
本文的研究结论为：我国的新股发行的市场化程度正在逐步提高，监管部门要审慎对待继续完善新股定价方式和定价机制的市场化改革，新股发行的小盘化不可取，政府应该依据公司行业性质来调控新股发行上市时间差，最大限度地实现股市进行资金配置的功能。
Initial public offering is the most important way to raise capital for joint-stock companies. Since China has transferred gradually from a planned economy into a market-oriented economy, state-owned enterprises want to realize separating property rights from operation rights. At the same time, IPO in China also undergo from administration pricing to market pricing. During the beginning stage of stock market, government intervened the issue quantity, the price and the selling ways. All of these hindered the development of market. All over the world, IPO has three abnormal phenomena, underpricing, long-term underperformance and hot issue, which are also puzzles perplexing financial circle.
The aim of this article is to give some advice for marketilization of Chinese stock market. And the article emphasizes on IPO pricing models, including in theoretical method and in empirical method.
In theoretical part, traditional IPO pricing models are discussed, and their application is analyzed, based on reviewing the "reform" history of Chinese IPO. Furthermore, a new IPO pricing model is put up, which embraces "option" thought. We find that option value of Chinese hi-tech enlisted companies is about 20% of IPO price, which is one of chief reasons of high underpricing in China through numeric calculation.
In empirical part, we research on three abnormal phenomena in IPO, including underpricing, underperformance and hot issue. And methodology is divided into two steps. Firstly, factors of underpricing and underperformance are determined through single-factor AN OVA (analysis of variance). Therefore, a multi-variable linear regression model is established. It is found that Chinese underpricing is highly related to factors such as primary shares, P/E ratio, according to empirical study. It is also found that Chinese IPO price trend is rather stronger than the market within 14 months, and obviously weaker than the market in 15-37 months.
It is finally concluded that (1) the marketilization degree of Chinese IPO rises up step by step, (2) it is not a good idea for IPO in small amount, (3) marketilization reform of Chinese IPO should be more cautious than ever before, and (4) authorities should
regulate and supervise the time of certain company, according to its attribute of industry, in order to allocate financial resources efficiently.
Zhang qingwei (finance) Directed by Yang chunpeng
引文
1Habib, Michel, and Alexander Ljungqvist, 2001, Underpricing and entrepreneurial wealth losses in IPOs: theory and evidence, Review of Financial Studies 14,433-458．
2 Rock, Kevin, 1986, Why new issues are under-priced, Journal of Financial Economics 15, 187-212．
3Maksimovic, Vojislav, and Pegaret Pichler, 2001, Technological innovation and initial public offerings, Review of Financial Studies 14, 459-494．
4 Jay R. Ritter, 1991,The long-run performance of initial public offerings, Journal of Finance, 1,3-27
5Chen chien-hsun, 2001, Initial public offering and corporate governance in China's transitional economy, Revised version, 1-17
6Sherman, Ann, 2000, IPOs and long-term relationships: An advantage of bookbuilding, Review of Financial Studies 13, 697-714．
7Loughran, Tim, and Jay R. Ritter, 2002, Why don't issuers get upset about leaving money on the table in IPOs? Review of Financial Studies 15, 413-443．
8 Jay R. Ritter, 1998, Initial public offerings, Contemporary Finance Digest 1,5-30
9Kandel, S., O. Sarig and A. Wohl, 1999, The demand for stocks: An analysis of IPO auctions, Review of Financial Studies 12, 227-247．
10Krigman, L., W. Shaw, and K. Womack, 1999, The persistence of IPO mispricing and the predictive power of flipping, Journal of Finance 54, 1015-1044．
11Sherman, Ann, and Sheridan Titman, 2002, Building the IPO order book: Underpricing and participation limits with costly information, Journal of Financial Economics, forthcoming.
12 Jay Ritter ,2002, A Review of IPO Activity, Pricing, and Allocations, Yale ICF Working Paper No. 02-01
13 Michelle.L&William.S,2002, IPO market cycles: Bubbles or sequential learing? Journal of Finance 3, 1171-1200
14 Reena.A&Nanju.P, 2002, Instutional allocation in initial public offerings: empirical evidence, Journal of Finance 3, 1421-1442
15 Longhran,T.&J.R.Ritter 1995 ,The new issues puzzle, Journal of Finance 50,23-51
16 Tim Loughran & Jay Ritter,2002, Why Has IPO Underpricing Changed Over Time?
17 John A. Doukas and Halit Gonenc 2001 Long-term Performance of New Equity Issuers, Venture Capital and Reputation of Investment Bankers
18 Alexander P. Ljungqvist& Vikram Nanda,2002, Hot Markets, Investor Sentiment, and IPO Pricing
19 Aggarwal, Reena, and Patrick Conway, 2000, Price discovery in initial public offerings and the role of the lead underwriter. Journal of Finance 55, 2093-2922．
20Allen, Franklin and Gerald R. Faulhaber, 1989, Signaling by Underpricing in the IPO market, Journal of Financial Economics 23, 303-324．
21Barber, Brad M. and John D. Lyon, 1997, Detecting long-run abnormal stock returns: The empirical power and specification of test statistics, Journal of Financial Economics 43, 341-372．
22 Beatty, Randolph P. and Jay R. Ritter, 1986, Investment banking, reputation, and the Underpricing of initial public offerings, Journal of Financial Economics 15, 213-232．
23 Benveniste, Lawrence M., and Walid Y. Busaba, 1997, Bookbuilding vs. fixed price: An analysis of competing strategies for marketing IPOs, Journal of Financial and Quantitative Analysis 32,383-403.
24 Bray, Alon, 2000, Inference in long-horizon event studies: A Bayesian approach with applications to initial public offerings, Journal of Finance 55, 1979-2016.
25 Bray, Alon and Paul A. Gompers, 1997, Myth or reality? The long-run underperformance of initial public offerings: Evidence from venture and nonventure capital-backed companies, Journal of Finance 52, 1791-1821.
26 Carter, Richard B., Frederick H. Dark and Alan K. Singh, 1998, Underwriter reputation, initial returns, and the long-run performance of IPO stocks, Journal of Finance 53,285-311.
27 Cornelli, Francesca, and David Goldreieh, 2001, Bookbuilding and strategic allocation, Journal of Finance, 2337-2369.
28 Houge, Todd, Tim Loughran, Gerry Suchanek, and Xuemin Yan, 2002, Divergence of opinion, uncertainly, and the quality of initial public offerings, Financial Management 30, 5-23.
29 Ibbotson, R, G., 1975, Price performance of common stock new issues, Journal of Financial Economics 2, 235-272.
30 Jenkinson, Tim and Alexander Ljungqvist, 2001, Going Public: The Theory and Evidence on How Companies Raise Equity Finance (2nd edition), Oxford University Press.
31 Kim, Moonchul and Jay R. Ritter, 1999, Valuing IPOs, Journal of Financial Economics 53, 409-437.
32 Lee, Philip J., Stephen L. Taylor and Terry S. Walter, 1999, IPO underpricing explanations: Implications from investor application and allocation schedules, Journal of Financial and Quantitative Analysis 34, 425-444.
33 Nanda, Vikram and Youngkeol Yun, 1997, Reputation and financial intermediation: An empirical investigation of the impact of IPO mispricing on underwriter market value, Journal of Financial Intermediation 6, 39-63.
34 Ritter, Jay R., 2002, Investment banking and securities issuance, North-Holland Handbook of the Economics of Finance edited by G. Constantinides, M. Harris, and R. Stulz.
35 Stoughton, Neal M., and Josef Zechner, 1998, IPO-mechanisms, monitoring and ownership structure, Journal of Financial Economics 49, 45-77.
36 Subramanyam, A., and Sheridan Titman, 1999, The going public decision and the development of financial markets, Journal of Finance 54, 1045-1082.
37 张育军．深圳证券交易所研究报告 2000．北京．经济科学出版社．2001
38 Aswath Damodaran．朱武祥、邓海峰译．投资估价．北京．清华大学出版社．2000
39 John C．Hull．张陶伟译．期权期货和其他衍生产品．北京．华夏出版社．1997
40 段海虹．十年历程：进程与演化 http://www.people.com.cn
41 谢刚．核准制下新股定价机制研究．投资与证券，2001，6：49-54
42 刘彤，吴世农．论我国首次公开发行股票的价格行为与信息不对称．中国经济问题，2001，3：19-27
43 王美今，张松．中国新股弱势问题研究．经济研究，2000，9：49-56
44 刘力，李文德．中国股票市场股票首次发行长期绩效研究．经济科学，2001，6：33-43
45 韩德宗，陈静．中国IPO定价偏低的实证研究．统计研究，2001，4：29-35
46 王晋斌．新股申购预期超额报酬率的测度及其可能原因的解释．经济研究，1997，12：17-24
47 陈工孟，高宁．中国股票一级市场发行抑价的程度与原因．金融研究，2000，8：1-12
48 王莉．中国新股发行抑价：一个假说的检验．复旦学报，2001，5：85-90
49 徐文燕，武康平．承销商托市对新股初始同报的影响．当代经济科学，2002，1：80-86
50 高利．从用友软件新股发行看新股小盘化问题．证券市场导报，2001，6：24-27
51 赵勇，朱武祥．绿鞋期权与新上市股票的市场风险管理．证券市场导报，2000，2：53-55
52 李国秋，许明．发行—上市时间差假设及操作建议．证券市场导报，1998，8：51-53
53 沈艺峰，陈雪颖．我国首次公开发行股票的实证研究．厦门大学学报，2002，2：79-87
54 王春峰，罗建春．我国股票IPOs长期弱势现象的实证研究．南开经济研究，2002，3：25-30
55 黄俊辉，王浣尘．创业板市场的IPO研究．财经问题研究，2001，12：71-75
56 邓召明．我国股票发行定价效率实证研究．南开经济研究，2001，6：60-64
57 周侃．新股发行低定价的信息经济学解释．外国经济与管理，2001，5：9-15
58 傅建设．论核准制下新股竞价发行．证券市场导报，2001，11：68-71
59 中国统计年鉴2001
2 Rock, Kevin, 1986, Why new issues are under-priced, Journal of Financial Economics 15, 187-212．
3Maksimovic, Vojislav, and Pegaret Pichler, 2001, Technological innovation and initial public offerings, Review of Financial Studies 14, 459-494．
4 Jay R. Ritter, 1991,The long-run performance of initial public offerings, Journal of Finance, 1,3-27
5Chen chien-hsun, 2001, Initial public offering and corporate governance in China's transitional economy, Revised version, 1-17
6Sherman, Ann, 2000, IPOs and long-term relationships: An advantage of bookbuilding, Review of Financial Studies 13, 697-714．
7Loughran, Tim, and Jay R. Ritter, 2002, Why don't issuers get upset about leaving money on the table in IPOs? Review of Financial Studies 15, 413-443．
8 Jay R. Ritter, 1998, Initial public offerings, Contemporary Finance Digest 1,5-30
9Kandel, S., O. Sarig and A. Wohl, 1999, The demand for stocks: An analysis of IPO auctions, Review of Financial Studies 12, 227-247．
10Krigman, L., W. Shaw, and K. Womack, 1999, The persistence of IPO mispricing and the predictive power of flipping, Journal of Finance 54, 1015-1044．
11Sherman, Ann, and Sheridan Titman, 2002, Building the IPO order book: Underpricing and participation limits with costly information, Journal of Financial Economics, forthcoming.
12 Jay Ritter ,2002, A Review of IPO Activity, Pricing, and Allocations, Yale ICF Working Paper No. 02-01
13 Michelle.L&William.S,2002, IPO market cycles: Bubbles or sequential learing? Journal of Finance 3, 1171-1200
14 Reena.A&Nanju.P, 2002, Instutional allocation in initial public offerings: empirical evidence, Journal of Finance 3, 1421-1442
15 Longhran,T.&J.R.Ritter 1995 ,The new issues puzzle, Journal of Finance 50,23-51
16 Tim Loughran & Jay Ritter,2002, Why Has IPO Underpricing Changed Over Time?
17 John A. Doukas and Halit Gonenc 2001 Long-term Performance of New Equity Issuers, Venture Capital and Reputation of Investment Bankers
18 Alexander P. Ljungqvist& Vikram Nanda,2002, Hot Markets, Investor Sentiment, and IPO Pricing
19 Aggarwal, Reena, and Patrick Conway, 2000, Price discovery in initial public offerings and the role of the lead underwriter. Journal of Finance 55, 2093-2922．
20Allen, Franklin and Gerald R. Faulhaber, 1989, Signaling by Underpricing in the IPO market, Journal of Financial Economics 23, 303-324．
21Barber, Brad M. and John D. Lyon, 1997, Detecting long-run abnormal stock returns: The empirical power and specification of test statistics, Journal of Financial Economics 43, 341-372．
22 Beatty, Randolph P. and Jay R. Ritter, 1986, Investment banking, reputation, and the Underpricing of initial public offerings, Journal of Financial Economics 15, 213-232．
23 Benveniste, Lawrence M., and Walid Y. Busaba, 1997, Bookbuilding vs. fixed price: An analysis of competing strategies for marketing IPOs, Journal of Financial and Quantitative Analysis 32,383-403.
24 Bray, Alon, 2000, Inference in long-horizon event studies: A Bayesian approach with applications to initial public offerings, Journal of Finance 55, 1979-2016.
25 Bray, Alon and Paul A. Gompers, 1997, Myth or reality? The long-run underperformance of initial public offerings: Evidence from venture and nonventure capital-backed companies, Journal of Finance 52, 1791-1821.
26 Carter, Richard B., Frederick H. Dark and Alan K. Singh, 1998, Underwriter reputation, initial returns, and the long-run performance of IPO stocks, Journal of Finance 53,285-311.
27 Cornelli, Francesca, and David Goldreieh, 2001, Bookbuilding and strategic allocation, Journal of Finance, 2337-2369.
28 Houge, Todd, Tim Loughran, Gerry Suchanek, and Xuemin Yan, 2002, Divergence of opinion, uncertainly, and the quality of initial public offerings, Financial Management 30, 5-23.
29 Ibbotson, R, G., 1975, Price performance of common stock new issues, Journal of Financial Economics 2, 235-272.
30 Jenkinson, Tim and Alexander Ljungqvist, 2001, Going Public: The Theory and Evidence on How Companies Raise Equity Finance (2nd edition), Oxford University Press.
31 Kim, Moonchul and Jay R. Ritter, 1999, Valuing IPOs, Journal of Financial Economics 53, 409-437.
32 Lee, Philip J., Stephen L. Taylor and Terry S. Walter, 1999, IPO underpricing explanations: Implications from investor application and allocation schedules, Journal of Financial and Quantitative Analysis 34, 425-444.
33 Nanda, Vikram and Youngkeol Yun, 1997, Reputation and financial intermediation: An empirical investigation of the impact of IPO mispricing on underwriter market value, Journal of Financial Intermediation 6, 39-63.
34 Ritter, Jay R., 2002, Investment banking and securities issuance, North-Holland Handbook of the Economics of Finance edited by G. Constantinides, M. Harris, and R. Stulz.
35 Stoughton, Neal M., and Josef Zechner, 1998, IPO-mechanisms, monitoring and ownership structure, Journal of Financial Economics 49, 45-77.
36 Subramanyam, A., and Sheridan Titman, 1999, The going public decision and the development of financial markets, Journal of Finance 54, 1045-1082.
37 张育军．深圳证券交易所研究报告 2000．北京．经济科学出版社．2001
38 Aswath Damodaran．朱武祥、邓海峰译．投资估价．北京．清华大学出版社．2000
39 John C．Hull．张陶伟译．期权期货和其他衍生产品．北京．华夏出版社．1997
40 段海虹．十年历程：进程与演化 http://www.people.com.cn
41 谢刚．核准制下新股定价机制研究．投资与证券，2001，6：49-54
42 刘彤，吴世农．论我国首次公开发行股票的价格行为与信息不对称．中国经济问题，2001，3：19-27
43 王美今，张松．中国新股弱势问题研究．经济研究，2000，9：49-56
44 刘力，李文德．中国股票市场股票首次发行长期绩效研究．经济科学，2001，6：33-43
45 韩德宗，陈静．中国IPO定价偏低的实证研究．统计研究，2001，4：29-35
46 王晋斌．新股申购预期超额报酬率的测度及其可能原因的解释．经济研究，1997，12：17-24
47 陈工孟，高宁．中国股票一级市场发行抑价的程度与原因．金融研究，2000，8：1-12
48 王莉．中国新股发行抑价：一个假说的检验．复旦学报，2001，5：85-90
49 徐文燕，武康平．承销商托市对新股初始同报的影响．当代经济科学，2002，1：80-86
50 高利．从用友软件新股发行看新股小盘化问题．证券市场导报，2001，6：24-27
51 赵勇，朱武祥．绿鞋期权与新上市股票的市场风险管理．证券市场导报，2000，2：53-55
52 李国秋，许明．发行—上市时间差假设及操作建议．证券市场导报，1998，8：51-53
53 沈艺峰，陈雪颖．我国首次公开发行股票的实证研究．厦门大学学报，2002，2：79-87
54 王春峰，罗建春．我国股票IPOs长期弱势现象的实证研究．南开经济研究，2002，3：25-30
55 黄俊辉，王浣尘．创业板市场的IPO研究．财经问题研究，2001，12：71-75
56 邓召明．我国股票发行定价效率实证研究．南开经济研究，2001，6：60-64
57 周侃．新股发行低定价的信息经济学解释．外国经济与管理，2001，5：9-15
58 傅建设．论核准制下新股竞价发行．证券市场导报，2001，11：68-71
59 中国统计年鉴2001
© 2004-2018 中国地质图书馆版权所有 京ICP备05064691号 京公网安备11010802017129号 地址：北京市海淀区学院路29号 邮编：100083 电话：办公室：(+86 10)66554848；文献借阅、咨询服务、科技查新：66554700 |