发售机制、信息偏倚与IPO抑价
摘要
IPO抑价是全球股票市场中普遍存在的现象。为探索IPO抑价的成因,自1980年代以来西方金融学界展开了大量的研究,形成三个具有代表性的理论解说流派,即“非对称信息流派”、“制度流派”和“非理性行为流派”。不过,这些解说均难以获得理论界的广泛认同。非对称信息流派的困境是,实证结果不支持其预设的IPO发行价低于股票真实价值的前提,最新的实证研究发现IPO股票发行价其实比真实价值高。制度流派的缺陷在于用以解释IPO抑价成因的制度因素仅是某一个国家的特有制度,不具有全球普适性。非理性行为流派的不足是缺乏核心的理论构架,各解说对行为人的非理性的心理因素假设没有建立一个规范化和公理化的标准,不同解说之间无法在一致认可的标准下进行比较和讨论。因此,IPO抑价成因仍是当前金融理论界有待深入探讨的课题。
对中国而言,研究IPO问题的现实意义尤为重要,因为中国的IPO股票不仅发行价格过高,IPO抑价幅度更是全球之最。而国内理论界对IPO抑价现象的研究大多停留在借用西方理论解说来检验中国IPO数据的层次上,对高IPO抑价之外IPO定价过高的现象更是鲜有涉及。
本文研究目的是既要从普适性的角度来探寻IPO抑价成因,也要从中国市场的特殊情况来分析中国IPO股票定价过高和抑价幅度畸高的原因。具体而言,本文主要解决以下三个方面的问题:(1)全球范围内股票市场为何出现IPO定价偏高和IPO抑价并存的现象;(2)中国股市中为何出现IPO定价过高和IPO抑价幅度畸高并存的现象;(3)不同类型的股票市场如何选择适合于已的发售机制。
本文仍基于传统经济学的“理性经济人”假设前提,以IPO市场信息“多方偏倚”特征为切入点,对全球股市两种最主要的IPO发售机制——固定价格机制和累计投标询价机制——下的IPO定价机制作进一步的理论探讨,为IPO市场的价格现象提供合理的解释。行文的具体思路是,首先,从特定的发售机制出发、分析该发售机制下IPO市场信息“多方偏倚”的原因,构建相应的IPO定价基本模型、对现实中IPO定价偏高和IPO抑价并存的现象提供解释;然后,结合中国市场的特征和制度环境对基本模型进行衍生分析,以解答中国IPO股票定价过高和IPO抑价幅度畸高的原因;接下来,利用中国市场的IPO数据对理论模型的结论进行实证检验;最后,基于理论模型的结论对两种发售机制作市场环境的适应性分析,回答不同类型市场如何选择IPO发售机制的问题,并提出相应的政策建议。
本文的具体结构安排如下:
第一章是导论。提出本文研究的主要问题、介绍具体的研究思路、结构安排以及所采用的研究方法和可能的创新。
第二章是文献回顾。通过对1980年代以后西方金融学界主要的IPO抑价解说进行回顾和梳理,介绍了各流派解说的主要理论观点以及不同流派之间的理论分歧,并结合最新的实证结果和自身的研究体会对既有解说存在的缺陷进行评述,提出本文研究的切入点。
第三章是固定价格机制下IPO抑价的理论研究。首先,从不同认购行为下的心理差异和利益驱动下的行为倾向揭示了IPO认购市场信息“多方偏倚”的原因;然后,以Welch(1992)的“信息瀑布”模型为基础,引入信息的“多方偏倚”变量,构建了认购市场信息“多方偏倚”和“信息瀑布”效应双重影响下的IPO定价基本模型,得到在“多方偏倚”的信息环境下,新股发行可能呈现IPO抑价和IPO定价偏高并存的结论。最后,结合中国股市的特点对基本模型进行衍生分析,揭示了中国股市IPO定价过高和IPO抑价幅度畸高的原因。
第四章是累计投标询价机制下IPO抑价的理论研究。首先,从分期销售和卖空限制两方面因素揭示了询价机制下IPO市场信息“多方偏倚”的原因;然后,以美式询价制为蓝本,在“多方偏倚”的信息结构下,基于机构投资者行为选择的二元性——既可以选择认购IPO股票、也可以选择待IPO股票上市之后卖空,构建了一个嵌入卖空限制变量的IPO定价模型,得到卖空IPO股票难度过大将导致IPO定价偏高的结论,并认为IPO抑价是分期销售机制下的应有之义。最后,结合中国股市的特征对基本模型作衍生分析,指出禁止卖空导致中国股市IPO定价过高,同时认为禁止卖空和机构配售股锁定期过长共同导致了中IPO抑价幅度畸高的现象。
第五章是固定价格机制下的中国IPO实证。首先,通过调查问卷的方式对IPO认购市场信息的“多方偏倚”特征进行了验证;然后,通过对固定价格机制下的IPO数据进行回归分析,验证了中国IPO认购市场“信息瀑布”效应的存在性、以及信息“多方偏倚”对IPO定价的影响。
第六章是累计投标询价机制下的中国IPO实证。首先,以横向比较的方式间接验证了卖空限制与新股发行市盈率之间所存在的正向关系。然后,通过对询价机制下的IPO数据进行回归分析,验证了卖空限制与IPO抑价之间的相关关系、机构配售股锁定期与IPO定价和IPO抑价之间的相关关系。
第七章是结论与研究展望。首先基于第三、四章的理论,对不同类型股市选择新股发售机制的问题从理论和实践两个维度进行了分析,指出大国股市适合采用累计投标询价机制、小国股市适合采用固定价格机制。然后,针对累计投标询价机制下的IPO抑价现象尤其是中国股市IPO抑价畸高的现象,从两个层面提出相关政策建议:针对中国股市的政策建议是引入卖空机制;针对全球股市普遍存在的IPO抑价现象,提出的政策建议是开放IPO股票市前交易来完善累计投标询价机制。最后,提出可进一步研究的方向。
本文的创新之处表现在三个方面:其一,首次提出了IPO市场信息“多方偏倚”的观点;其二,在“信息瀑布”模型的主体框架下,通过引入IPO认购市场信息的“多方偏倚”变量,综合考虑认购市场信息“多方偏倚”和“信息瀑布”效应双重影响,构建了固定价格发售机制下的IPO定价模型;其三,在IPO交易市场“多方偏倚”的信息结构下,首次构建了一个嵌入卖空限制对IPO定价影响的累计投标询价制下的IPO定价模型。
IPO underpricing is a world-wide phenomenon in the stock market.In order to explore the causes of IPO Underpricing,Since the 1980s,Western financial scholars carded out a large amount of theoretical research,and formatted three representative schools of theoretical explanations,that is Schools of asymmetric information, institution and irrational behavior.However,these different schools of explanations are difficult to received wide recognition by the theoretical circle.
School of asymmetric information treat the IPO underpricing as issuers sell IPO stocks under the true value,but the latest empirical research has found that in fact IPO stocks are issued at a price higher than their true value.Deficiencies in the school of system are that systems used to explain the causes of IPO underpricing are only a unique system of one certain country,not have the world's universal.The lack of School of irrational behavior is that theories have not the core framework,and can not be discussed under unanimously recognized standard.Therefore,IPO underpricing is still the cause of the current financial theorists to be discussed in greater depth.For China,research to IPO underpricing has more important practical significance, because Chinese IPO stocks are not only priced too high,but also the ratio of IPO underpricing is the most high in global range.And the research work of domestic theoretical circles is mostly remaining in the level of using Western theories to explain Chinese IPO underpricing,rarely involved the phenomenon of IPO stocks' high-priced.
The purpose of this paper is not only search for the causes of IPO underpricing from the perspective of universal,but also explore the causes of why the ratio of Chinese IPO underpricing is too large,and on the same time why the IPO price is too high from the special circumstances of the Chinese market.In particular,this paper addresses the following three aspects:(1) the reasons for coexistent phenomenon of high IPO price and the IPO underpricing in global stock market;(2) the reasons for coexistent phenomenon of IPO price too high and the IPO underpricing ratio abnormal large in Chinese stock market.(3) Different types of stock market how to choose a suitable mechanism for its own IPO.
In this paper,we further explored the IPO pricing under two main IPO mechanisms in global stock markets,that is Fixed-price and Bookbuilding mechanism, by using the "positive-bias" characteristics of information in IPO market as the breakthrough point and based on traditional economics "rational economic man" assumptions.
The specific clue is as follows.Firstly,we analyzed the reason of information' "the multi-bias" in IPO market under a specific IPO mechanism,and constructed the basic model of IPO pricing to explain the coexistent phenomenon of high IPO pricing and IPO Underpricing.Then,we derived from the basic model by combining the characteristics of the Chinese market and institutional environment to answers the question why Chinese stock are priced too high and on the same time its IPO underpricing ratio is also too large.Next,we take advantage of China's IPO market data to empirically test he conclusions of theoretical models.Finally,we analyzed the adaptive of two mechanisms in different market environment based on the conclusions of theoretical models,and answered the question of different types of market how to choose their IPO mechanism and propose policy recommendations.
The specific structure of this paper is as follows:
ChapterⅠis the introduction of this paper.We put forward the main research question of this article,research clues,structural arrangements and possible innovations.
ChapterⅡis the review of the literature.Through reviewing and grooming the main theories to explain the causes of IPO underpricing of Western financial scholars after the 1980s,we introduce the major theoretical viewpoints of different schools and theoretical differences between different schools.On this basis,we combined the latest empirical research findings and our own research to Comments the existence theory,and proposed the entry point for this study.
ChapterⅢis the theoretical research of IPO underpricing under fixed-price mechanism.Firstly,we based on the psychological differences of different Subscription acts and interest-driven behavior to reveals the reasons of information' "the multi-bias" in IPO subscription market.Then based on Welch(1992) "information cascade" model and by introduced the "multi-bias" variable of information,we build a basic model about IPO pricing under the double effect of "multi-bias" and "information cascade",and concluded that under the environment of information' "multi-bias",IPO stokes may be present IPO underpring and pricing highly.Finally,we derived from the basic model by combining the characteristics of the Chinese market,to reveals the cause of why the high IPO price and abnormal IPO underpricing are coexistent.
ChapterⅣis the theoretical research of IPO underpricing under Bookbuilding issuing mechanism.Firstly,we revealed the reasons of information' "the multi-bias" in IPO market from the characteristic of phased sales and short selling restrictions to IPO shares.Secondly,we set up an IPO pricing model under American Bookbuilding mechanism by embedded in short-selling restrictions' variables,in the model, institutional investors can subscribe for IPO shares or short sell it in the trading market.We concluded that the difficulty of short selling IPO shares led to the high IPO pricing,and that the IPO underpricing is a natural phenomenon under the phased sale.Finally,we derived from the basic model by combining the characteristics of the Chinese market,and pointed out that the prohibition of short selling led to IPO stock overpriced,on the same time the prohibition of short selling and the lock period of institutional stock by placement is too long led to abnormal large IPO underpricing ratio.
ChapterⅤis the empirical test to theoretical propositions of chapterⅢ.Firstly, we tested the information' "multi-bias" in IPO subscription market through the questionnaire.Then we used the IPO data to regress analysis,tested the existence of "information cascade" in China's IPO subscription market and the impact on IPO pricing of information' "multi-bias".
ChapterⅥis the empirical test to theoretical propositions of chapterⅣ.Firstly, we adopted horizontal comparison method to test the theory conclusion that restrictions on short selling will lead to information' "multi-bias".Then,through the regression analysis of IPO data,we verify relationship between of the short-selling restrictions and the IPO underpricing,institutional placement lock-stock and the IPO pricing and IPO underpricing.
ChapterⅦis the conclusions and research prospects.Firstly,we analyzed the selection of IPO issuing methods in different types of stock market based on the theoretical conclusions of ChapterⅢand ChapterⅠ.Ⅴ,and pointed out that Fixed-price method does not suitable for large stock market and Bookbuilding method also does not suitable for small stock market.Secondly,for widespread IPO underpricing under Bookbuilding issuing method and abnormal high IPO underpricing in Chinese stock market,we propose policy recommendations at two different levels.The policy recommendation for Chinese stock market is to introduce short-selling mechanism,for widespread IPO underpricing under Bookbuilding issuing method is to open when-issued market of IPO shares to improve Bookbuilding issuing method.Finally,we put forward the direction of further research on IPO.
In this paper,the innovation embody in three areas:(1) we proposed the view of "multi-bias" firstly about IPO market' information;(2) based on Welch(1992) "information cascade" model and by introduced the "multi-bias" variable of information,we build a basic model about IPO pricing under the double effect of "multi-bias" and "information cascade";(3) under the information structure of "multi-bias" in the IPO market,we firstly set up an IPO pricing model under American Bookbuilding mechanism by embedded in short-selling restrictions' variables.
对中国而言,研究IPO问题的现实意义尤为重要,因为中国的IPO股票不仅发行价格过高,IPO抑价幅度更是全球之最。而国内理论界对IPO抑价现象的研究大多停留在借用西方理论解说来检验中国IPO数据的层次上,对高IPO抑价之外IPO定价过高的现象更是鲜有涉及。
本文研究目的是既要从普适性的角度来探寻IPO抑价成因,也要从中国市场的特殊情况来分析中国IPO股票定价过高和抑价幅度畸高的原因。具体而言,本文主要解决以下三个方面的问题:(1)全球范围内股票市场为何出现IPO定价偏高和IPO抑价并存的现象;(2)中国股市中为何出现IPO定价过高和IPO抑价幅度畸高并存的现象;(3)不同类型的股票市场如何选择适合于已的发售机制。
本文仍基于传统经济学的“理性经济人”假设前提,以IPO市场信息“多方偏倚”特征为切入点,对全球股市两种最主要的IPO发售机制——固定价格机制和累计投标询价机制——下的IPO定价机制作进一步的理论探讨,为IPO市场的价格现象提供合理的解释。行文的具体思路是,首先,从特定的发售机制出发、分析该发售机制下IPO市场信息“多方偏倚”的原因,构建相应的IPO定价基本模型、对现实中IPO定价偏高和IPO抑价并存的现象提供解释;然后,结合中国市场的特征和制度环境对基本模型进行衍生分析,以解答中国IPO股票定价过高和IPO抑价幅度畸高的原因;接下来,利用中国市场的IPO数据对理论模型的结论进行实证检验;最后,基于理论模型的结论对两种发售机制作市场环境的适应性分析,回答不同类型市场如何选择IPO发售机制的问题,并提出相应的政策建议。
本文的具体结构安排如下:
第一章是导论。提出本文研究的主要问题、介绍具体的研究思路、结构安排以及所采用的研究方法和可能的创新。
第二章是文献回顾。通过对1980年代以后西方金融学界主要的IPO抑价解说进行回顾和梳理,介绍了各流派解说的主要理论观点以及不同流派之间的理论分歧,并结合最新的实证结果和自身的研究体会对既有解说存在的缺陷进行评述,提出本文研究的切入点。
第三章是固定价格机制下IPO抑价的理论研究。首先,从不同认购行为下的心理差异和利益驱动下的行为倾向揭示了IPO认购市场信息“多方偏倚”的原因;然后,以Welch(1992)的“信息瀑布”模型为基础,引入信息的“多方偏倚”变量,构建了认购市场信息“多方偏倚”和“信息瀑布”效应双重影响下的IPO定价基本模型,得到在“多方偏倚”的信息环境下,新股发行可能呈现IPO抑价和IPO定价偏高并存的结论。最后,结合中国股市的特点对基本模型进行衍生分析,揭示了中国股市IPO定价过高和IPO抑价幅度畸高的原因。
第四章是累计投标询价机制下IPO抑价的理论研究。首先,从分期销售和卖空限制两方面因素揭示了询价机制下IPO市场信息“多方偏倚”的原因;然后,以美式询价制为蓝本,在“多方偏倚”的信息结构下,基于机构投资者行为选择的二元性——既可以选择认购IPO股票、也可以选择待IPO股票上市之后卖空,构建了一个嵌入卖空限制变量的IPO定价模型,得到卖空IPO股票难度过大将导致IPO定价偏高的结论,并认为IPO抑价是分期销售机制下的应有之义。最后,结合中国股市的特征对基本模型作衍生分析,指出禁止卖空导致中国股市IPO定价过高,同时认为禁止卖空和机构配售股锁定期过长共同导致了中IPO抑价幅度畸高的现象。
第五章是固定价格机制下的中国IPO实证。首先,通过调查问卷的方式对IPO认购市场信息的“多方偏倚”特征进行了验证;然后,通过对固定价格机制下的IPO数据进行回归分析,验证了中国IPO认购市场“信息瀑布”效应的存在性、以及信息“多方偏倚”对IPO定价的影响。
第六章是累计投标询价机制下的中国IPO实证。首先,以横向比较的方式间接验证了卖空限制与新股发行市盈率之间所存在的正向关系。然后,通过对询价机制下的IPO数据进行回归分析,验证了卖空限制与IPO抑价之间的相关关系、机构配售股锁定期与IPO定价和IPO抑价之间的相关关系。
第七章是结论与研究展望。首先基于第三、四章的理论,对不同类型股市选择新股发售机制的问题从理论和实践两个维度进行了分析,指出大国股市适合采用累计投标询价机制、小国股市适合采用固定价格机制。然后,针对累计投标询价机制下的IPO抑价现象尤其是中国股市IPO抑价畸高的现象,从两个层面提出相关政策建议:针对中国股市的政策建议是引入卖空机制;针对全球股市普遍存在的IPO抑价现象,提出的政策建议是开放IPO股票市前交易来完善累计投标询价机制。最后,提出可进一步研究的方向。
本文的创新之处表现在三个方面:其一,首次提出了IPO市场信息“多方偏倚”的观点;其二,在“信息瀑布”模型的主体框架下,通过引入IPO认购市场信息的“多方偏倚”变量,综合考虑认购市场信息“多方偏倚”和“信息瀑布”效应双重影响,构建了固定价格发售机制下的IPO定价模型;其三,在IPO交易市场“多方偏倚”的信息结构下,首次构建了一个嵌入卖空限制对IPO定价影响的累计投标询价制下的IPO定价模型。
IPO underpricing is a world-wide phenomenon in the stock market.In order to explore the causes of IPO Underpricing,Since the 1980s,Western financial scholars carded out a large amount of theoretical research,and formatted three representative schools of theoretical explanations,that is Schools of asymmetric information, institution and irrational behavior.However,these different schools of explanations are difficult to received wide recognition by the theoretical circle.
School of asymmetric information treat the IPO underpricing as issuers sell IPO stocks under the true value,but the latest empirical research has found that in fact IPO stocks are issued at a price higher than their true value.Deficiencies in the school of system are that systems used to explain the causes of IPO underpricing are only a unique system of one certain country,not have the world's universal.The lack of School of irrational behavior is that theories have not the core framework,and can not be discussed under unanimously recognized standard.Therefore,IPO underpricing is still the cause of the current financial theorists to be discussed in greater depth.For China,research to IPO underpricing has more important practical significance, because Chinese IPO stocks are not only priced too high,but also the ratio of IPO underpricing is the most high in global range.And the research work of domestic theoretical circles is mostly remaining in the level of using Western theories to explain Chinese IPO underpricing,rarely involved the phenomenon of IPO stocks' high-priced.
The purpose of this paper is not only search for the causes of IPO underpricing from the perspective of universal,but also explore the causes of why the ratio of Chinese IPO underpricing is too large,and on the same time why the IPO price is too high from the special circumstances of the Chinese market.In particular,this paper addresses the following three aspects:(1) the reasons for coexistent phenomenon of high IPO price and the IPO underpricing in global stock market;(2) the reasons for coexistent phenomenon of IPO price too high and the IPO underpricing ratio abnormal large in Chinese stock market.(3) Different types of stock market how to choose a suitable mechanism for its own IPO.
In this paper,we further explored the IPO pricing under two main IPO mechanisms in global stock markets,that is Fixed-price and Bookbuilding mechanism, by using the "positive-bias" characteristics of information in IPO market as the breakthrough point and based on traditional economics "rational economic man" assumptions.
The specific clue is as follows.Firstly,we analyzed the reason of information' "the multi-bias" in IPO market under a specific IPO mechanism,and constructed the basic model of IPO pricing to explain the coexistent phenomenon of high IPO pricing and IPO Underpricing.Then,we derived from the basic model by combining the characteristics of the Chinese market and institutional environment to answers the question why Chinese stock are priced too high and on the same time its IPO underpricing ratio is also too large.Next,we take advantage of China's IPO market data to empirically test he conclusions of theoretical models.Finally,we analyzed the adaptive of two mechanisms in different market environment based on the conclusions of theoretical models,and answered the question of different types of market how to choose their IPO mechanism and propose policy recommendations.
The specific structure of this paper is as follows:
ChapterⅠis the introduction of this paper.We put forward the main research question of this article,research clues,structural arrangements and possible innovations.
ChapterⅡis the review of the literature.Through reviewing and grooming the main theories to explain the causes of IPO underpricing of Western financial scholars after the 1980s,we introduce the major theoretical viewpoints of different schools and theoretical differences between different schools.On this basis,we combined the latest empirical research findings and our own research to Comments the existence theory,and proposed the entry point for this study.
ChapterⅢis the theoretical research of IPO underpricing under fixed-price mechanism.Firstly,we based on the psychological differences of different Subscription acts and interest-driven behavior to reveals the reasons of information' "the multi-bias" in IPO subscription market.Then based on Welch(1992) "information cascade" model and by introduced the "multi-bias" variable of information,we build a basic model about IPO pricing under the double effect of "multi-bias" and "information cascade",and concluded that under the environment of information' "multi-bias",IPO stokes may be present IPO underpring and pricing highly.Finally,we derived from the basic model by combining the characteristics of the Chinese market,to reveals the cause of why the high IPO price and abnormal IPO underpricing are coexistent.
ChapterⅣis the theoretical research of IPO underpricing under Bookbuilding issuing mechanism.Firstly,we revealed the reasons of information' "the multi-bias" in IPO market from the characteristic of phased sales and short selling restrictions to IPO shares.Secondly,we set up an IPO pricing model under American Bookbuilding mechanism by embedded in short-selling restrictions' variables,in the model, institutional investors can subscribe for IPO shares or short sell it in the trading market.We concluded that the difficulty of short selling IPO shares led to the high IPO pricing,and that the IPO underpricing is a natural phenomenon under the phased sale.Finally,we derived from the basic model by combining the characteristics of the Chinese market,and pointed out that the prohibition of short selling led to IPO stock overpriced,on the same time the prohibition of short selling and the lock period of institutional stock by placement is too long led to abnormal large IPO underpricing ratio.
ChapterⅤis the empirical test to theoretical propositions of chapterⅢ.Firstly, we tested the information' "multi-bias" in IPO subscription market through the questionnaire.Then we used the IPO data to regress analysis,tested the existence of "information cascade" in China's IPO subscription market and the impact on IPO pricing of information' "multi-bias".
ChapterⅥis the empirical test to theoretical propositions of chapterⅣ.Firstly, we adopted horizontal comparison method to test the theory conclusion that restrictions on short selling will lead to information' "multi-bias".Then,through the regression analysis of IPO data,we verify relationship between of the short-selling restrictions and the IPO underpricing,institutional placement lock-stock and the IPO pricing and IPO underpricing.
ChapterⅦis the conclusions and research prospects.Firstly,we analyzed the selection of IPO issuing methods in different types of stock market based on the theoretical conclusions of ChapterⅢand ChapterⅠ.Ⅴ,and pointed out that Fixed-price method does not suitable for large stock market and Bookbuilding method also does not suitable for small stock market.Secondly,for widespread IPO underpricing under Bookbuilding issuing method and abnormal high IPO underpricing in Chinese stock market,we propose policy recommendations at two different levels.The policy recommendation for Chinese stock market is to introduce short-selling mechanism,for widespread IPO underpricing under Bookbuilding issuing method is to open when-issued market of IPO shares to improve Bookbuilding issuing method.Finally,we put forward the direction of further research on IPO.
In this paper,the innovation embody in three areas:(1) we proposed the view of "multi-bias" firstly about IPO market' information;(2) based on Welch(1992) "information cascade" model and by introduced the "multi-bias" variable of information,we build a basic model about IPO pricing under the double effect of "multi-bias" and "information cascade";(3) under the information structure of "multi-bias" in the IPO market,we firstly set up an IPO pricing model under American Bookbuilding mechanism by embedded in short-selling restrictions' variables.
引文
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