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。     

Friends can help: The effects of relationship in the Chinese book-building process

Using detailed bidding information in Chinese IPO book-building process, we find that institutional investors who have a close relationship with the underwriter are more likely to participate in bidding and their bidding prices are higher, compared to other institutional investors. We also find that related institutional investors bid higher when the underwriter is more likely to need or receive their support. Further analysis suggests that related institutional investors gain some benefits for their support to the underwriter, including receiving more shares in profitable IPOs, better timing their exit from the IPO in the open market, and receiving more optimistic earnings forecasts or stock recommendations from analysts of the underwriter. Regarding the economic consequence, we show that the underwriter is more likely to revise the offer price upward if related institutions bid higher. The evidence overall indicates the existence of relationship-driven bidding in the Chinese book-building process.     

Institutional Allocation in Initial Public Offerings: Empirical Evidence

We analyze institutional allocation in initial public offerings (IPOs) using a new data set of U.S. offerings between 1997 and 1998. We document a positive relationship between institutional allocation and day one IPO returns. This is partly explained by the practice of giving institutions more shares in IPOs with strong premarket demand, consistent with book-building theories. However, institutional allocation also contains private information about first-day IPO returns not reflected in premarket demand and other public information. Our evidence supports book-building theories of IPO underpricing, but suggests that institutional allocation in underpriced issues is in excess of that explained by book-building alone.     

On the anticipation of IPO underpricing: Evidence from equity carve-outs

We investigate IPO market efficiency using a sample of equity carve-outs offered during the period of 1985–2005. Unlike IPOs examined in previous studies where trading during the pre-IPO book-building period does not exist and trading on the IPO date is rationed, in equity carve-outs, investors can trade in the non-rationed market for shares of the parent, which holds a significant fraction of the subsidiary. We find that the subsidiary's initial day return is significantly related to its parent's return over the book-building period, but unrelated to its parent's contemporaneous return. Neither the pre-IPO price revision of the subsidiary nor the return to the parent on the initial trading day can be predicted. While the portion of the subsidiary's initial return unpredictable from information available during the book-building period is significantly related to its parent's contemporaneous return, the predictable component of the initial return is not. We interpret these results as evidence consistent with market efficiency.     

Management of the IPO performance in Thailand

This research aims to explore the relationships between six major IPO elements in Thailand: underwriter reputation, ownership concentration, book-building, IPO allocation, the length of the lock up period, and investor interest and underpricing. The sample comprises 153 IPOs listed between 2001 and 2011. Cross-sectional analysis reveals that IPO allocation appears to be the strongest factor with a negative relation to underpricing. The length of the lock up period, issue size, industry, and hot issue market show significant and positive relationships with underpricing. Underwriter reputation is not associated with underpricing as the choice of underwriter is restricted by the Thai regulator's requirements. Book-building does not explain underpricing. Institutional investors play very limited roles in Thai IPOs. A small change in ownership concentration does not affect underpricing. Nevertheless, a longer lock up period can yield a higher initial return. Such a provision can restrain insider dealing.     

Uncertainty,prospectus content,and the pricing of initial public offerings

This study reports evidence on the relation between the pre-market due diligence and book-building processes in determining initial public offering (IPO) share prices. The evidence suggests that there is a complementarity between these processes that has not been discussed in the literature. We find that when there is greater uncertainty regarding the value of the shares, more information of the type that investors are likely to have a comparative advantage in evaluating tends to be included in the offering prospectus prior to the roadshow. The increase in these disclosures is, in turn, associated with greater information discovery during book-building.     

Investor interest, trading volume, and the choice of IPO mechanism in France

This paper investigates the relationship between underpricing and investor interest level prior to and after the IPO date. Empirical tests show a significant 3-day buy-and-hold abnormal return of 19.15%. It is positively related to the share demand-to-offer ratio in the pre-market period and to trading volume in the aftermarket. Despite a high initial underpricing for some book-built issues, the book-building procedure allows for more effective pricing and a lower divergence of opinion among investors in the aftermarket than the auction-like procedure.     

Disclosure of Intended Use of Proceeds and Underpricing in Initial Public Offerings

We use the context of a company's initial public offering (IPO) of equity securities as a capital‐markets setting to empirically study the economic consequences of endogenous disclosure. In particular, we examine the relation between the extent of dollar detail an IPO issuer provides regarding their intended use of proceeds and first‐day underpricing. We document substantial variation in the specificity of this disclosure and find that an increase in such specificity is associated with lower IPO underpricing. Overall, our results suggest that IPOs that provide specific use‐of‐proceeds disclosures have less ex ante uncertainty, in the sense that these disclosures help investors estimate the dispersion of secondary market values. Our paper contributes to the empirical accounting literature by documenting an association between voluntary disclosure and what is arguably the foremost cost of raising initial equity capital (i.e., IPO underpricing).     

询价制度第一阶段改革有效吗

询价制度第一阶段改革后,新股定价效率明显提高,证监会取消对发行价格的管制是新股定价效率提高的前提,询价对象竞争程度的增加是定价效率提高的根本动因;改革后,机构投资者择股效应显著,将定价效率提高所引发的部分投资风险转嫁给了中小投资者。中小投资者由改革前利益分配不公平转变为改革后风险分担不公平,定价效率进一步提高很可能引发中小投资者的赢者诅咒。发行制度未来改革应在注重提高定价效率的同时,限制机构投资者向中小投资者转嫁风险的能力。     

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.     

Bookbuidling, Auctions, and the Future of the IPO Process

Auction theorists predict that bookbuilding, long the standard process for selling equity IPOs in the U.S., is about to give way to an Internet‐based IPO auction process that is both more efficient and more fair. The promise of auctions is that, by using an electronic platform that gives all investors the opportunity to bid on IPOs, the underpricing of IPOs and commissions to underwriters will be reduced, leading to an increase in net proceeds to issuers. Largely missing from such arguments, however, is an appreciation of why bookbuilding has dominated U.S. practice (and continues to supplant auctions in IPOs in most countries outside the U.S) and the role of undepricing in the IPO process. Rather than canvassing all investors, bookbuilding involves eliciting expressions of interest from institutional investors, and then allocating shares mainly according to the strength of their professed interest. In contrast to auctions, which allocate shares according to a set of explicit rules, bookbuilding involves a set of implicit “rules” that provide considerable room for judgment by the underwriter. This does not mean that the rules are arbitrary or not well understood by participants, particularly after thousands of IPOs conducted over the better part of two centuries. But to manage the exchange of information between issuers and investors, and the potential conflicts of interest in representing both groups, such rules must be administered by an intermediary with a considerable stake in protecting its reputation for fair dealing. Investment banks that deal with both issuers and the investment community on a regular basis are well positioned to perform this function. The underpricing of IPOs is best viewed not as a transfer of wealth from issuers to favored investors but rather as compensation to the large influential investors that play a major role in the price discovery process. By opening the process to all comers, auctions will discourage these large investors from bidding aggressively because less sophisticated investors will be able to “free ride” on their research and due diligence. To the extent this happens, auctions may suc ceed in reducing underpricing (in fact, they may even lead to over pricing), but they will also reduce the net proceeds for issuers. Nevertheless, recent advances in communications technology and auction theory will undoubtedly reshape current securities underwriting practices. In particular, Internet auctions are likely to replace bookbuilding in debt IPOs and less risky equity issues (say, IPOs of LBOs). But the argument that Bookbuilding will be completely cast aside in favor of largely untested alternatives fails to appreciate a successful institutional response to major market imperfections, some of which can never be wholly eliminated. Especially in the case of risky (first‐time) equity IPOs, there will continue to be an important role for managing the information exchange between issuers and investors that is critical to the IPO process.     

创业板IPO中的配售机制与定价效率研究

询价制的本质是通过向机构投资者询价,发现市场真实需求,从而确定反映市场供给与需求的合理价格。本文研究表明:询价对象报价的诚实程度是影响询价制定价效率关键因素和前提条件。中美两国的询价制中不同的配售机制直接影响了询价对象报价的诚实程度,是中国IPO抑价率继续处于相对较高水平的根本原因。其中,"抽签配售"的激励强于"按比例配售"的激励,从而导致不同的抑价率。不同配售机制是导致中国创业板产生不同抑价率的根本原因。     

中国机构投资者的学习机制研究——理性贝叶斯还是简单强化式学习

理论文献通常假设机构投资者遵循理性贝叶斯法则更新其信念,在此学习模式下,盈亏经验本身并不能直接影响机构行为。但该假设的合理性尚未得到实证研究的充分支持。中国新股发行中的抽签分配制度为检验上述命题提供了比较理想的随机实验机会。本文基于新股抽签分配数据,系统检验了随机的盈亏经验对机构投资行为的影响,结果发现:(1)机构投资者显著受制于幼稚的强化式学习机制的影响,即通过随机抽签在前期获得新股分配的机构(处置组)相对未获配机构(控制组),其下期参与新股申购的概率显著提高,并且前期收益率能够有效地强化这种盈利经历与参与概率之间的正向关系。(2)盈亏经验能够显著改变专业机构的估值信念,即前期通过随机抽签获得高收益体验的机构相对未获配机构,在后续新股询价过程中给出了显著更高的报价上调水平。(3)盈亏经验对机构行为产生影响的一种可能渠道是借助机构投资管理人的强化式学习过程,基于基金经理个人特征变量的调节机制研究表明,丰富的长期从业经验、高学历的教育水平以及多位基金经理的相互竞争都能在一定程度上缓解盈亏经历对基金行为的影响。本文基于随机实验的设计为经验与行为之间的因果关系提供了可信证据,证实了即使是被奉为理性投资者代表的专业机构也会受制于简单强化式学习的显著影响。     

Is there useful information in the ‘use of proceeds’ disclosures in IPO prospectuses?

This study contributes evidence on the valuation relevance of the ‘use of proceeds’ disclosure in the initial public offering (IPO) prospectus. This article develops a classification of ‘use of proceeds’ disclosures that aims to capture information embedded in the disclosures relating to the purpose (growth, production, financing) and amount committed to specific assets. These measures are then related to IPO underpricing, survival prediction and expected and realised prospects of the IPOs. The results suggest the ‘use of proceeds’ disclosure categories have incremental information over other sources of information for underpricing, for predicting firm survival and in the case of some disclosure categories, for investors’ evaluation of the firms’ prospects and risks in the early years after listing.     

What comprises IPO initial returns: Evidence from the Chinese market

We studied the IPO price and long-term performance in China after the adoption of the book-building pricing mechanism. Using comparable firm value, we separated the IPO initial returns into pre-market deliberate underpricing and aftermarket overpricing. This separation enables us to clearly test different theories regarding high IPO initial returns. We find little evidence supporting the classic information theory on IPO underpricing but strong evidence supporting the behavioral arguments regarding IPO overpricing. Even though the results are specific to the Chinese market, we find some general results on what composes and drives IPO initial returns that have been lacking in the IPO literature.     

The partial adjustment of IPO prices to public information and issuing methods in Taiwan

Using 1997 to 2009 exchange-listed data, we examine the treatment of public information by underwriters throughout the entire initial public offering (IPO) price-setting process in Taiwan. We find that regardless of which mechanism (fixed-price, auctions, or book-building) an issuer has chosen, the partial adjustment of the IPO offer prices to public information is evident in our study. Although both fixed-price and book-built issues show a modest but statistically significant relationship between market returns and the level of initial returns, we find economically meaningful effects for both issuing methods. Our findings also demonstrate that auctioned IPOs exhibit strong evidence of partial adjustment to market returns. That is to say, the estimated effect is statistically and economically significant. Therefore, we attempt to provide rational explanations for such phenomena.     

Bookbuilding vs. fixed price revisited: The effect of aftermarket trading

Investors who possess information about the value of an IPO can participate in the offering as well as trade strategically in the aftermarket. Both the bookbuilding and the fixed price IPO selling methods require more underpricing when aftermarket trading by informed investors is considered. Bookbuilding becomes especially costly, since the potential for profit in the aftermarket adversely affects investors' bidding behavior in the premarket. Unless the underwriter can restrict its bookbuilding effort to a small enough subset of the informed investors, a fixed price strategy that allocates the issue to retail investors produces higher proceeds on average, contrary to the conventional wisdom in the literature. We therefore find a benefit to limiting access to the premarket and, hence, provide an efficiency rationale for the practice by American bankers of marketing IPOs to a select group of investors. We also provide unique policy and empirical implications.     

The Pricing of Insurer Demutualization Initial Public Offerings

This article examines the pricing of the initial public offerings (IPOs) that follow insurance company demutualizations. Insurers that convert from mutual to stock form typically cite the need for capital as a key motivation. Given that capital adequacy is a primary regulatory objective for insurers, one would expect that for a given number of shares to be sold, these firms would price their offerings to maximize proceeds. However, the vast literature on IPO pricing suggests various theories as to why it may be in the issuing firm's best interest to underprice its offering. By examining the initial and long‐run stock returns for these conversion IPOs, the existence and degree of underpricing, as characterized by large initial returns, can be determined. It is observed that on average demutualization insurer IPOs post significantly higher first‐day returns than nondemutualization insurer IPOs. These gains would accrue to the initial investors and to those policyholders who receive compensation in the form of shares in the newly created stock insurer. Attractive returns are sustained for both groups of insurers during the first few years after IPO.     

Issuer-oriented underpricing costs in initial public offers: Evidence from Hong Kong

This paper estimates the underpricing cost associated with new shares issued and sold when firms go public in a traditional British-style IPO market in contrast to prior work which focussed on the underpricing cost to pre-IPO investors. Secondly, the estimates account for interest income on application funds received by issuing firms. Using data from the Hong Kong IPO market, the results show that the issuer underpricing cost of new share issues is on average only 14% of headline underpricing. When interest on application funds is taken into account, net issuer underpricing cost reduces to just around 7% of headline underpricing. This finding provides a compelling explanation of why issuing companies may not be concerned about underpricing in traditional British-style IPO markets. Thirdly, we also find that pre-IPO investors take steps to minimise wealth transfer to new investors either by selling a very small proportion or none of their pre-IPO shares. These findings suggest that explanations of IPO underpricing to the various parties involved in the process should, in part, be sought in the institutional structures and investment banking practices of the relevant primary capital market.     

The strategic reallocation of IPO shares

In this work, we study the reallocation of shares to retail and institutional investors, measured as the difference between the allocation declared before the initial public offering (IPO) and the effective allotment decided by the underwriter after the bookbuilding process. The reallocation is disaggregated into three components, two of which are under the direct control of the underwriter: the initial allocation, and the demand satisfaction ratio. The empirical analysis is based on a sample of 193 hybrid IPOs issued in Italy between 1997 and 2012. Controlling for firm and IPO characteristics, we find that the IPO shares are typically shifted toward institutional investors when positive information is collected during the bookbuilding process. The IPO pricing and share reallocation are found to be interdependent, and reallocation is used in combination with partial adjustment to reward institutional investors.