创业板IPO高折价现象研究

我国A股创业板市场推出后,IPO高折价现象层出不穷.本文实证研究发现,外国文献中关于IPO折价的“信息非对称”理论基本上不能解释我国创业板IPO高折价现象,而投资者情绪和新股投机氛围是决定IPO折价程度的重要因素     

IPO折价的信息不对称理论述评

首次公开募股（IPO）折价是金融市场上一种普遍存在的现象,根据面临信息不对称的对象不同,将IPO折价的信息不对称理论划分为：与发行人与投资者之间信息不对称相关的IPO折价理论、与发行人与承销商之间信息不对称相关的IPO折价理论、与投资者与投资者之间信息不对称有关的IPO折价理论和与承销商与投资者之间信息不对称相关的IPO折价理论。国外IP0折价的信息不对称理论大多是在信息经济学框架下,基于资本市场的有效性假设而提出的,即假定二级市场对股票的定价是合理的,IPO抑价是源于发行定价偏低。事实上,影响IPO折价的因素很多,而这些众多因素的动态变化决定了任何一种理论都不可能很好地解释IPO折价现象。     

法人配售与IPO折价：基于代理理论的实证检验

引言 首次公开发行折价(Initial Public Offerings Underpricing,以下简称IPO折价),又称新股上市首日超额回报,是各国证券市场(包括新兴市场和发达市场1)的普遍现象.IPO公司为什么将超额回报拱手相让给投资者,被称为"IPO折价之谜",并引发了大量理论和实证研究.     

中国股市IPO折价问题研究

股票市场首次公开发行折价问题被认为是股票IPO异象之一,一直以来受到国内外学者的关注.关于此现象研究的理论层出不穷,但始终没有定论,这已经成为困扰金融学家的一个谜题.而中国的IPO折价幅度更是远高于世界其他国家.本文通过对以往研究的分析,从信息不完全的角度出发,通过简化的分离均衡模型,对IPO折价问题进行分析,并结合中国自身情况进行讨论,认为IPO折价是高质量发行人向投资者发送的信号,并通过后续发行弥补损失,在一定条件下是其最优选择,从而使高质量的股票发行人与低质量的股票发行人相分离.     

国有企业IPO发行折价：基于政策信号理论的解释北大核心CSSCISSCI

IPO发行折价是企业上市的一项重要融资成本。我们发现2002～2005年国有企业的IPO发行折价比非国有企业平均高出29.95%。已有文献大多从代理成本的角度解释这一现象,本文则从政策信号理论出发探讨其原因。政策信号理论认为,国有企业较高的IPO折价是政府在私有化进程中主动向市场投资者传递的政策信号,表明维护长期股权价值的政策主张。我们发现,国有企业中政府私有化意愿较弱的公司IPO折价较高;国有企业IPO发行折价与第一大股东持股比例、公司股权控制链的长度显著负相关,这些关系皆不存在于非国有企业;此外,国有企业,特别是政府私有化意愿较弱的公司,发行后长期股权回报显著高于其他企业。这些证据都与政策信号理论一致,而不能完全被代理理论解释。     

IPO折价现象的行为金融学解释

IPO折价现象是中外证券市场普遍存在的一种现象。国内外对IPO折价问题进行了各种解释，但至今尚未形成统一的认识。近年来随着行为金融学的兴起，国外有部分学者试图从投资者心理的角度对这一问题给出新的解释，其中具有代表性的有：反应过度假说、反应不足假说和自我归因假说。投资者应以一种理性的心态评估股票的价值，进行合理的投资决策。     

我国股市IPO折价问题研究及对策

本文针对当前我国股市IPO折价存在问题,利用沪深A股的股票发行上市数据,分析我国新股发行市场较高的IPO折价的原因,并提出了我国股市IPO市场化改革的一些对策。     

中国股市投资者情绪测量研究:CICSI的构建北大核心CSSCISSCI

投资者情绪研究的关键在于情绪的度量。以往人们主要采用封闭式基金折价等单个指标来度量投资者情绪的变化,然而,这些方法均存在着测量指标过于单一和测量结果不够纯正等问题。为改进这些问题,本文在封闭式基金折价、IPO数量及上市首日收益、消费者信心指数和新增投资者开户数等6个单项情绪指标的基础上,构建了一个能较好测度中国股票市场投资者情绪的综合指数(CICSI),同时控制了经济基本面因素对情绪的影响。     

从承销商声誉角度看我国股票市场IPO折价发行

IPO折价是我国股票市场的一个普遍现象毒按照承销商声誉理论,认为高声誉的承销商为了维护自己的声誉,只会选择承销那些高质量企业的IPO.所以,承销商的声誉和IPO折价程度之间存在负相关.     

IPO折价的影响因素——基于不对称信息理论分析

首次公开募股折价(即上市后首日交易价格高于发行价)是我国证券一级市场上普遍存在的一种现象,本文从不对称信息理论入手,将IPO折价的起因归类为因信息不对称而引起的道德风险、逆向选择问题以及优质公司的信号传递这三方面,并对相关理论进行述评,最后指出中国的IPO折价研究需要结合中国的实际国情,不能照搬套用西方研究理论与经验。     

Underwriter reputation and IPO underpricing: The role of institutional investors in the Chinese growth enterprise market

This paper investigates the effects of underwriter reputation on initial public offering (IPO) underpricing in the Chinese Growth Enterprise Market, in light of the conflicting evidence in the literature on IPO underpricing. Using data during the post global financial crisis period, we find that IPO firms with prestigious underwriters have lower market-adjusted initial returns on average. We further find that prestigious underwriters reduce IPO underpricing by minimizing the time gap between the offering and listing, choosing high-quality firms to underwrite, and reducing information asymmetry between issuers and investors. In the presence of institutional investors, however, we find that more underpricing occurs, as these investors tend to obtain access to IPO shares at a higher price discount via private placements. This new finding suggests that the institutional investors have a role to play in the case of high under-pricing, which partly gets corrected via underwriter reputation.     

Initial Public Offerings on the Unlisted Securities Market: The Impact of Professional Advisers

This paper tests two hypotheses developed in the context of information asymmetry between companies making initial public offerings (IPO) on the Unlisted Securities Market and potential investors. It is argued that the status of the sponsor and audit firm are interpreted by potential investors as signals of an IPO's quality. The results indicate that for IPOs made during 1986–87 the level of discount and the status of the associated auditing firm are significantly related. Higher quality auditing firms are associated with lower levels of discount. A similar relationship for IPOs made during the period 1988–89 is not detected. The paper suggests that there were significant changes in the IPO market between these two periods. No relationship in either period is detected between the level of discount and the status of the sponsor.     

The Diversification Effects of Initial Public Offerings

Abstract:  A firm's stock becomes publicly tradable through an initial public offering (IPO). This study suggests a portfolio diversification perspective to explore IPOs. We examine whether investors can gain diversification benefits by adding an IPO portfolio to a set of benchmark portfolios sorted by firm size and book-to-market ratio. Using US IPOs from 1980-2002, we find that adding a value-weighted IPO portfolio does lead to a statistically and economically significant enlargement of the investment opportunity set for investors relative to investing solely in a set of benchmark portfolios. Specifically, the Sharpe ratio of the tangency portfolio increases by 5.50% on average after including IPO stocks. Furthermore, IPOs associated with prestigious lead underwriters are the main source of this augmentation of the mean-variance investment opportunity set. Finally, our study implies that issuing IPO exchange traded funds or similar products can provide diversification gains to investors.     

交易所大宗交易流动性折价研究——来自沪深交易所的经验证据

随着证券市场规模的扩大及机构投资者规模的壮大，机构投资者对市场流动性的需求日益剧增，大宗交易制度是满足投资者流动性需求的制度性创新。由于大宗交易的数量较大，其交易价格有别于正常交易规模的价格。本文利用沪深交易所的大宗交易数据实证探讨大宗交易价格及其影响因素。研究结果表明，大部分大宗交易价格低于当日收盘价格，呈现流动性折价现象，折价率达到1．27％：研究还发现，折价水平还受交易数量、正常交易时间段股票流动性水平、市场流动性水平及股价波幅等因素影响。     

Transparency in IPO mechanism: Retail investors’ participation,IPO pricing and returns

Using data from the transparent Indian IPO setting, the paper examines retail investors’ participation, their influence on IPO pricing and the returns they make on IPO investment. The transparency in the mechanism, which allows investors to observe prior investors’ participation, leads to demand which is concentrated at either one or two points of the offer price range. Analysis of investors’ demand during the offer period shows that the participation of retail investors is significantly influenced by the participation of institutional investors. We examine IPO pricing and find that favourable demand by retail investors is positively associated with a high IPO price even after controlling for demand by institutional investors. Further, we find that due to aggressive bidding by overconfident investors, retail investors are, on average, unlikely to make positive allocation weighted initial returns even in a setting where they do not have to compete with institutional investors. Retail investors, however, can earn significant positive allocation weighted initial returns if they limit their participation in IPOs with above average institutional investors’ demand.     

投资银行-机构投资者关系、“捧场”与IPO中的利益问题

投资银行是直接融资过程中最重要的中介机构,作为融资产品的“卖方”代表,其核心竞争力源于它所构建的投资者关系网络,但现有文献对于投行-投资者关系在证券发行中的作用还缺乏系统的实证研究。本文利用机构投资者在中国IPO新股发行中的完整询价记录,基于报价参与和报价水平两个维度提出了一种新的动态关系强度测算方法,并由此细致刻画了投行-机构关系对股票发行、定价的作用机制。结果发现:(1)投行可以驱动关系机构主动认购其承销的IPO新股,并引导关系机构给出与投行估值水平保持一致的高位报价,进而有效缓解了IPO拍卖制下的“投资者参与不确定性问题”。(2)关系机构的捧场报价显著提高了股票发行价格、增加了投行的承销收入;但是当新股交易价格在长期内逐渐向其内在价值水平收敛时,受到关系机构捧场支持越多的IPO新股,其长期回报率相对越低。(3)投行与机构的关系在本质上是互惠的,一旦投行被赋予新股分配权力,它明显倾向于将新股抑价发行带来的巨大利益分配给在前期捧场的关系机构,二者的关系越强,机构报价被认定为“有效报价”的概率越高,而一旦被认定为有效报价,关系机构的新股需求更是将被优先满足。     

公司治理与IPO抑价——来自中国股票市场的经验证据

Jensen与Meckling(1976)认为,代理成本是投资者愿意支付的价格与公司内在价值之间的差异。投资者对公司代理成本的预期也会体现在IPO定价过程中,良好的公司治理结构有助于降低公司IPO抑价。本文以我国2002—2003年的133家IPO公司为研究样本,研究样本公司治理结构特征对IPO抑价的影响。结果发现,控制权结构特征以及关联交易性质对IPO抑价有显著的影响,而董事会独立性对IPO的抑价影响则不显著。本文的结果表明,良好的公司治理结构可以显著地降低IPO抑价,降低公司股权融资成本。     

Does the Market Incorporate Previous IPO Withdrawals When Pricing Second‐Time IPOs?

This paper examines the initial public offering (IPO) valuations of issuers that return to the IPO market successfully after withdrawing their first IPO attempt. We find that these second-time IPOs sell at a significant discount relative to similar contemporaneous IPOs that succeed in their first attempt. We also demonstrate that switching underwriters on the second IPO attempt reduces, but does not eliminate, the discount for second-time IPOs. When compared to their matched first-time IPOs, second-time IPOs have similar price revisions and post-IPO long-run stock and operating performances. Overall, these results suggest that the negative information conveyed by the withdrawal event is incorporated into the lower offer valuations for second-time IPOs. Switching investment banks can mitigate, but not eliminate, the perceived higher risk of the second-time offerings.     

Underwriters’ price support regulation and institutional investors’ trading: The case of the putback option

We examine a period in Korea during which a price supporting regulation called the putback option was imposed on the IPO underwriter. Under the regulation, individual investors of IPO had put options which can be exercised at 90% of IPO price. We find that during the regulation period, institutional investors’ flipping activity is evident not on the days following the IPO but on the days following the expiration of putback option. Our study shows that the regulation results in merely delaying the institutional investors’ documented trading behavior and provides evidence that the relationship between the underwriter and the institutional investors affects the trading of institutional investors.     

Valuing and pricing IPOs

This paper investigates how underwriters set the IPO firm’s fair value, an ex-ante estimate of the market value, using a unique dataset of 228 reports from French underwriters. These reports are issued before the IPO shares start trading on the stock market and detail how underwriters determined fair value. We document that underwriters often employ multiples valuation, dividend discount models and discounted cash flow (DCF) analysis to determine fair value but that all of these valuation methods suffer from a positive bias with respect to equilibrium market value. We also analyze how this fair value estimate is subsequently used as a basis for IPO pricing. We report that underwriters deliberately discount the fair value estimate when setting the preliminary offer price. Part of the intentional price discount can be recovered by higher price updates. We find that, controlling for other factors such as investor demand, part of underpricing stems from this intentional price discount.