中国IPO发行制度演变对新股定价效率的影响——基于定价管制视角
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摘要
中国资本市场长期存在IPO抑价现象,与此同时,新股发行定价制度也经历了一个从严格的发行市盈率管制向市场化定价的过渡阶段。通过划分发行制度改革的七个阶段,对中国1992年1月～2017年12月新股发行抑价情况及其影响因素进行了实证考察,以探讨发行制度演变对新股定价效率的影响。结果表明,随着中国发行制度改革的不断完善,IPO抑价程度逐步下降,定价效率逐步提升;发行市盈率衍生变量与IPO发行抑价率呈负相关关系,定价管制的存在是中国股票发行定价过程中产生较高IPO发行抑价率的重要原因;IPO发行抑价率与新股发行价格、募集资本、首日换手率、超额认购率、发行周期、ROE存在显著的相关关系。
Initial public offering(IPO) underpricing has existed in China's capital markets for a long time,and the new stock pricing system has also undergone a transitional period from strict price-to-earnings(P/E) ratio regulation to market-oriented pricing.This study divides the reform of the issuance system into seven stages and examines the underpricing of new stock issuance in China between January 1992 and December 2017,as well as the influencing factors,to explore the effect of the evolution of the issuance system on the pricing efficiency of new stocks.Results show that as China's issuance system continues to be reformed and improved,IPO underpricing has gradually declined,whereas pricing efficiency has increased.The derivative variable of P/E ratio at issuance is negatively correlated with the rate of IPO underpricing,and the reason for the high rate of IPO underpricing in the stock issuance process in China is the existence of pricing control.The rate of IPO issuance underpricing also has a significant correlation with the new stock price,raised capital,first-day turnover rate,oversubscription rate,issuance cycle,and the return on equity.
Initial public offering(IPO) underpricing has existed in China's capital markets for a long time,and the new stock pricing system has also undergone a transitional period from strict price-to-earnings(P/E) ratio regulation to market-oriented pricing.This study divides the reform of the issuance system into seven stages and examines the underpricing of new stock issuance in China between January 1992 and December 2017,as well as the influencing factors,to explore the effect of the evolution of the issuance system on the pricing efficiency of new stocks.Results show that as China's issuance system continues to be reformed and improved,IPO underpricing has gradually declined,whereas pricing efficiency has increased.The derivative variable of P/E ratio at issuance is negatively correlated with the rate of IPO underpricing,and the reason for the high rate of IPO underpricing in the stock issuance process in China is the existence of pricing control.The rate of IPO issuance underpricing also has a significant correlation with the new stock price,raised capital,first-day turnover rate,oversubscription rate,issuance cycle,and the return on equity.
引文
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[15] Ibbotson R.G.,1975.Price Performance of Common Stock New Issues.Journal of Financial Economics,Vol.2,No.3:235-272.
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[2] 陈工孟,高宁.中国股票一级市场发行抑价的程度与原因[J].金融研究,2000(8).
[3] 娄正华.IPO抑价现象的原因及对策研究[J].财会研究,2009(17).
[4] 张学勇,廖理,罗远航.券商背景风险投资与公司IPO抑价——基于信息不对称的视角[J].中国工业经济,2014(11).
[5] 李源源.会计师事务所声誉、投资者情绪与IPO抑价关系研究[J].财会通讯,2017(3).
[6] 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[J].经济研究,1997(12).
[7] 宋逢明,梁洪昀.发行市盈率放开后的A股市场初始回报研究[J].金融研究,2001(2).
[8] 李志文,修世宇.中国资本市场新股IPO折价程度及原因探究[J].中国会计评论,2006(4).
[9] 武龙,夏新平.噪声申购者,市盈率管制与投资者收益[J].管理科学,2009(3).
[10] 王冰辉.价格管制与IPO时机选择[J].经济学(季刊),2013(12).
[11] 宋顺林,唐斯圆.IPO定价管制,价值不确定性与投资者“炒新”[J].会计研究,2017(1).
[12] 田利辉.金融管制、投资风险和新股发行的超额抑价[J]金融研究,2014(4).
[13] 李翔,阴永晟.发行管制变迁下的中国股市IPO首日回报率研究[J].经济科学,2004(3).
[14] Cheung Y.L.,Ouyang Z.,and Tan W.,2009.How Regulatory Changes Affect IPO Underpricing in China.China Economic Review,Vol.20,No.4:692-702.
[15] Ibbotson R.G.,1975.Price Performance of Common Stock New Issues.Journal of Financial Economics,Vol.2,No.3:235-272.
[16] 姚颐,赵梅.中国式风险披露,披露水平与市场反应.经济研究,2016(7).
[17] 邵新建,薛熠,江萍,赵映雪,郑文才.投资者情绪,承销商定价与IPO新股回报率[J].金融研究,2013(4).
[18] 汪昌云,武佳薇.媒体语气,投资者情绪与IPO定价[J].金融研究,2015(9).
[19] Balvers R.J.,McDonald B.,and Miller R.E.,1988.Underpricing of New Issues and the Choice of Auditor as A Signal of Investment Banker Reputation.The Accounting Review,Vol.63,No.4:605-622.
[20] Chan K.,Wang J.,and Wei K.C.J.,2004.Underpricing and Long-term Performance of IPOs in China.Journal of Corporate Finance,Vol.10,No.3:409-430.
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