企业风险与审计师选择

信号传递理论认为,IPO市场中审计师选择可以作为信号机制,降低发行企业和投资者之间的信息不对称程度.本文以股权分置改革后我国证券发行制度向市场化过渡为背景,考察我国审计师声誉和IPO企业特征之间的关系.研究结果表明,在公司规模、资产负债率、资产净利率、投资银行声誉、公司成立时间这五个反映公司风险的变量中,公司规模、投资银行声誉、公司成立时间与是否选择大事务所进行审计有显著正相关关系,且大规模事务所审计的IPO企业的首日回报显著要低,这意味着大规模事务所的高声誉得到了市场的认可,审计师的信号传递功能在我国初步有效.     

What Do Investment Banks Truly Bring to the Table?

This paper investigates the role of intermediaries in the initial public offering (IPO) process. In the U.S. market, investment banks have traditionally been involved in a firm‐commitment or best‐efforts underwriting capacity. However, in the Australian IPO market, investment banks are increasingly being named in association with new issues in diverse roles such as issue managers, sponsoring brokers and corporate advisers. Using a sample of 468 IPOs over the 1996 to mid‐2006 period, we examine the influence of investment banks across these different engagements. In support of the signalling and information production roles of intermediaries, we find that issuers choosing high intermediary involvement are typically older, retain more capital, seek to raise larger amounts of capital and are without independent expert certification. We find mixed support for the certification hypothesis when testing for the effect of intermediary reputation on IPO issuer wealth loss. Further, the impact of intermediary involvement on underpricing is not significantly different for the different levels of intermediary involvement once issue characteristics have been accounted for. This is puzzling since these different roles by definition do not provide the same level of issue quality assurance.     

Information Collection and IPO Underpricing

This study provides new evidence that IPO underpricing is economic rents paid for investor to gather costly information. Subrahmanyam and Titman (1999) report that diverse investor information, once aggregated in the public market, could provide a more informative stock price and accurate feedback to firm’s investment decision. I investigate the hypothesis that IPO underpricing as economic rents could be higher, when investor information is diverse. In support of this hypothesis, I find a positive and significant correlation between the extent of underpricing and the information diversity measure proposed by Barron et al. (1998). There is a positive and significant correlation between this information diversity measure and an IPO firm’s subsequent (absolute) change in capital and R&D expenditures. In addition, firms with high information diversity measure and change in subsequent investment exhibit a better subsequent return performance than firms with low diversity and change in investment. This is consistent with the proposition that investor information serves as useful feedback for managers in the IPO market.JEL Classification: G32     

Evidence of Information Spillovers in the Production of Investment Banking Services

We provide evidence that firms attempting IPOs condition offer terms and the decision whether to carry through with an offering on the experience of their primary market contemporaries. Moreover, while initial returns and IPO volume are positively correlated in the aggregate, the correlation is negative among contemporaneous offerings subject to a common valuation factor. Our findings are consistent with investment banks implicitly bundling offerings subject to a common valuation factor to achieve more equitable internalization of information production costs and thereby preventing coordination failures in primary equity markets.     

Do banks price their informational monopoly?

Theory suggests that banks’ private information lets them hold up borrowers for higher interest rates. Since new information about a firm is revealed at the time of its bond IPO, it follows that banks will be forced to adjust their loan interest rates downwards after firms undertake their bond IPO. We test this hypothesis and find that firms are able to borrow at lower interest rates after their bond IPO. Importantly, firms that get their first credit rating at the time of their bond IPO benefit from larger interest rate savings than those that already had a credit rating. These findings provide support for the hypothesis that banks price their informational monopoly. We also find that it is costly for firms to enter the public bond market.     

IPO underwriting and subsequent lending

This study investigates the relation between IPO underwriting and subsequent lending. We find that when a bank underwrites a firm’s IPO, the bank is more likely to provide the issuer with future loans at a lower cost, compared to banks without an IPO underwriting relationship. The evidence also suggests that the underwriting banks share information surplus with the IPO firms in the post-IPO loans, supporting the cost-saving hypothesis. Overall, the evidence for the relation between prior IPO underwriting and subsequent lending supports the notion that firms can derive value from investment bank relationships.     

Auditor Quality, Signalling, and the Valuation of Initial Public Offerings

The initial public offering (IPO) market represents a classic example of information asymmetries where the incumbent owners have good information about the value of the business but potential investors have little data to guide them on the attractiveness of the new issue. In order to mitigate these information asymmetry problems, the sponsors of the IPO will try to enhance the credibility of the share offer through various signalling mechanisms. Of interest to this study is the role that auditing firms play in adding credibility to the new issue. In particular we test some recent theoretical models of auditor choice by examining the initial public offering market in Singapore. Our empirical results show that high risk IPOs are associated with high quality auditors. Further, high quality auditors are associated with higher IPO market valuations and they allow entrepreneurs to retain lower ownership stakes in the IPO while maintaining market valuation.     

Does the effect of revealed private information on initial public offering (IPO) first trading day return differ by IPO market heat?

By IPO market regime, I decompose the effect of revealed private information on the initial return of IPOs (initial public offerings) into adjusted and unadjusted private information and find (i) investment banks partially adjust the offer price in return for revealed private information in all but the non‐hot IPO market; (ii) the economic importance of private information associated with IPOs (and hence agency costs) is procyclical; and (iii) industry information spillovers between IPOs occur only in the hot and very‐hot IPO markets.     

Auctions vs. Bookbuilding and the Control of Underpricing in Hot IPO Markets

Market returns before the offer price is set affect the amountand variability of initial public offering (IPO) underpricing.Thus an important question is "What IPO procedure is best adaptedfor controlling underpricing in "hot" versus "cold" market conditions?"The French stock market offers a unique arena for empiricalresearch on this topic, since three substantially differentissuing mechanisms (auctions, bookbuilding, and fixed price)are used there. Using 1992–1998 data, we find that theauction mechanism is associated with less underpricing and lowervariance of underpricing. We show that the auction procedure'sability to incorporate more information from recent market conditionsinto the IPO price is an important reason.     

Reforming the US IPO market: lessons from history and theory

The current US IPO market is inefficient and unfair. To protect their own balance sheets, US investment banks systematically underprice offerings. To ration the cheap securities, the investment banks utilize various nefarious nonprice rationing techniques, including kickbacks. Regulators should reform the market by loosening restrictions against issuers. The early history of the market (1781-1861) shows that unregulated IPO markets can function efficiently. Early US corporations successfully sold equities directly to investors without the aid of intermediaries because they could overcome information asymmetry cheaply. Today, the Information Revolution is again decreasing the cost of reducing information asymmetry between investors and issuers. Regulators could improve upon the past, however, by allowing the market to price ration new shares via an auction method.     

CAPITAL FORMATION AND THE INTERNET

The Internet is expected to play a significant role in the capital-raising process. Internet investment banks like Wit Capital and WR Hambrecht are supposed to make the IPO process more equitable by giving retail investors access to deals and pricing deals more accurately, thereby leaving less "money on the table" and lowering the cost of going public.
This article argues that the Internet will not replace, but will likely "supplement," the current system. The certification function provided by traditional investment banks and their relationships with institutional investors will continue to be important determinants of a successful offering. Thus, although Internet banks will get pieces of IPO transactions, the lead managers of such deals will continue to be older firms with well-established reputations and ties with institutions.
Nevertheless, the Internet is expected to play a larger role in the case of public bond offerings. Because the issuance of bonds is a repetitive business and the pricing is much simpler, the authors predict that the Internet will significantly reduce the costs of issuing bonds and perhaps limit the role of traditional investment banks in this process.     

The Pricing of Initial Public Offerings: A Dynamic Model with Information Production

This paper presents an information-theoretic model of IPO pricing in which insiders sell stock in both the IPO and the secondary market, have private information about their firm's prospects, and outsiders may engage in costly information production about the firm. High-value firms, knowing they are going to pool with low-value firms, induce outsiders to engage in information production by underpricing, which compensates outsiders for the cost of producing information. The information is reflected in the secondary market price of equity, giving a higher expected stock price for high-value firms.     

The decision to first enter the public bond market: The role of firm reputation,funding choices,and bank relationships

This paper uses survival analysis to investigate the timing of a firm’s decision to issue for the first time in the public bond market. We find that firms that are more creditworthy and have higher demand for external funds issue their first public bond earlier. We also find that issuing private bonds or taking out syndicated loans is associated with a faster entry to the public bond market. According to our results, the relationships that firms develop with investment banks in connection with their private bond issues and syndicated loans further speed up their entry to the public bond market. Finally, we find that a firm’s reputation has a “U-shaped” effect on the timing of a firm’s bond IPO. Consistent with Diamond’s reputational theory, firms that establish a track record of high creditworthiness as well as those that establish a track record of low creditworthiness enter the public bond market earlier than firms with intermediate reputation.     

IPO activity and information in secondary market prices

This paper explores the link between IPO underpricing and financial markets. In my model the IPO is a mean for a capital constrained initial investor to exit and thereby to raise funds for a new investment opportunity. This investor is privately informed vis-a-vis outside investors about the profitability of the new opportunity and the quality of the firm to be offered in the IPO. He can then use the offer price and the fraction of shares sold as signals of his private information. The model shows that underpricing is not only linked to firm’s characteristics, i.e. firm value, but to elements external to the firm, i.e. new investment profitability and financial markets characteristics. In particular higher market efficiency reduces the cost of listing. This results in lower underpricing and the listing of more valuable firm. Similarly, a higher lower bound of the new investment’s profitability reduces the information asymmetry and hence reduces underpricing and widens the range of firms listed.     

媒体报道与IPO绩效:信息不对称还是投资者情绪?——基于创业板上市公司的研究

本文以创业板开板以来至2011年4月底的所有创业板IPO公司为研究样本,通过讨论IPO前不同时期的媒体报道情况对IPO绩效的影响,探讨了媒体在IPO过程中所扮演的角色。在控制样本自选择偏差后,发现招股公告日至上市日之间的短期媒体报道与IPO抑价和首日换手率均呈显著的正相关关系,符合投资者情绪假说;而招股公告日前一年的长期媒体报道与IPO抑价也显著正相关,但是和首日换手率之间的关系并不显著,信息不对称假说未得到支持。本文认为信息不对称假说未得到支持可能与市场以情绪投资为主、忽视价值投资的现象有关。     

Let us work together: The impact of customer strategic alliances on IPO underpricing and post-IPO performance

Leveraging the availability of three years of pre-IPO data and related vs unrelated-party customer information for Chinese firms, we examine the impact of customer strategic alliances (CSA) on IPO underpricing from 2007 to 2015. Our core findings suggest that IPO firms with CSAs have less IPO underpricing than those without such a relationship. The decrease in underpricing is more salient for IPO firms that have non-related-party customers. Additional analysis suggests that the core findings are primarily driven by firms with good information environment pre-IPO, including high audit quality, high analyst following, and low earnings management. We interpret the results as indicating that a good pre-IPO information environment enhances the credibility of CSA relationships and signals high IPO quality. Furthermore, we document that a CSA relationship has a positive impact on an IPO firm's post-IPO performance, especially when the firm has non-related-party customers. Overall, CSAs reduce IPO underpricing and enhance IPO returns post-IPO.     

Management Quality and Equity Issue Characteristics: A Comparison of SEOs and IPOs

We use hand-collected data on the management quality of firms making seasoned equity offerings (SEOs) or initial public offerings (IPOs) to analyze the relationship between management quality and equity issue characteristics, and to compare the effect of management quality on SEOs versus IPOs. We hypothesize that higher quality managers are more credible to equity market investors, thereby reducing the information asymmetry they face in the market and outsiders’ information production costs. Therefore, the equity issues of higher management quality firms will have more reputable underwriters, smaller underwriting spreads, and other expenses, and smaller SEO discounts. Further, since better managers will be able to select better projects, higher management quality firms will have larger offer sizes. Finally, since SEO firms are likely to suffer from less information asymmetry compared to IPO firms, these effects will be smaller for SEOs than for IPOs. Our findings support the above hypotheses. Our direct tests of the relationship between management quality and information asymmetry, and our comparison of information asymmetry in SEOs versus IPOs provide further support for these hypotheses.     

信息环境、审计质量与IPO抑价——以A股市场2009-2011年上市的公司为例

本文以中国A股市场2009年7月至2011年4月非金融类IPO公司为研究样本,对上市前审计质量与IPO抑价率之间的关系进行了重新讨论。与现有文献不同,我们在讨论中引入了信息环境的考虑,并得到了与前人完全不同的结论。研究发现:首先,上市前审计在新股发行时发挥信号作用,这会提高IPO抑价率;其次,首发市场的信息环境可以较有力地影响审计市场效力。总体而言,上市前审计结果是可以信赖的。本文结论为现正进行的新股发行改革强调信息披露和规范信息中介方等政策的必要性、迫切性提供了初步证据支持。     

Great expectations: Banks as equity underwriters

We examine the in-roads commercial banks have made into equity underwriting over 1990–2002. While banks end the period handling upwards of 25% of equity underwriting, this increase results almost exclusively from acquisitions of investment banks with an already established market share of equity underwriting. We find a significant decline in the market share of equity underwriting that banks acquired in the post-merger period, a decline that is larger than that experienced by independent investment banks of comparable reputation. Banks lose market share because they originate fewer IPOs and their IPOs have a lower incidence of follow-on SEOs compared to independent investment banks. Following the merger, banks experience a large fall off in their ability to retain follow-on SEOs and are less successful in winning SEO mandates when an issuer switches from its IPO underwriter. Overall, the findings suggest it has been difficult for banks to achieve scope economies in equity underwriting.     

The Pricing of Initial Public Offers of Corporate Straight Debt

This study examines the initial-day and aftermarket price performance of corporate straight debt IPOs. We find that IPOs of speculative grade debt are underpriced like equity IPOs, while those rated investment grade are overpriced. IPOs of investment grade debt are typically issued by firms listed on the major exchanges and underwritten by prestigious underwriters. In contrast, junk bond IPOs are more likely to be handled by less prestigious underwriters and are typically issued by OTC firms. Our analysis also reveals that bond rating, market listing of the firm, and investment banker quality are significant determinants of bond IPO returns.