The Expiration of IPO Share Lockups

We examine 1,948 share lockup agreements that prevent insiders from selling their shares in the period immediately after the IPO (typically 180 days). While lockups are in effect, there is little selling by insiders. When lockups expire, we find a permanent 40 percent increase in average trading volume, and a statistically prominent three-day abnormal return of −1.5 percent. The abnormal return and volume are much larger when the firm is financed by venture capital, and we find that venture capitalists sell more aggressively than executives and other shareholders. We find limited support for several hypotheses that may explain the abnormal return, but no complete explanation.     

IPO定价方式的比较分析与我国IPO定价的市场化改革

资本市场的基本功能之一就是对资产进行合理定价。国际上常用的IPO定价评估方法主要有三大类。分别是绝对估值法、相对估值法和实物期权法,在具体运用过程中,它们各自都有优缺点。而当前我国IPO定价存在的问题表现为抑价幅度过大、机构投资者操纵新股询价、发行监管部门的权力与责任不对等以及发行公司信息披露机制不完善。改变这些不足的方法是坚持IPO定价的市场化改革方向,尤其是要引入问责机制,进一步完善IPO询价制度。     

好品行的重要性

安然事件的丑闻把人们的焦点又聚回了道德准则.银行不能再忽视社会责任和那些可能已失去的东西.Karnia Robinson报道说:"对一个人辛苦工作的最高奖赏不是他为此得到了什么,而是为此成为了什么."     

创业板市场IPO定价效率研究——来自香港市场的经验证据

本文对香港创业板市场IPO抑价现象进行了实证检验，研究表明，香港创业板IPO市场定价效率相对较低：风险投资家能够带领风险企业提前上市并得到投资者认同；IPO企业经营年限、价值不确定性及IPO发行时信息处理效率等变量对香港创业板IPO市场定价效率有显著影响：承销商、审计事务所的鉴证功能得不到体现；高效的IPO发行机制有利于创业板IPO市场效率的提高。     

IPO定价管制、价值不确定性与投资者“炒新”

本文以价值不确定性理论解释IPO定价管制对投资者"炒新"行为的影响,并以2006年6月-2012年2月的样本进行实证检验。结果发现,相对于定价市场化阶段,定价管制期间的IPO溢价(以首日收盘价减去估计的内在价值度量)显著更高。并且,新股上市前价值不确定性越大,定价管制对IPO溢价的影响越大;上市时二级市场投资者情绪越高,定价管制对IPO溢价的影响越大。上述发现都支持了价值不确定性理论对投资者"炒新"行为的解释。为增强结果的可靠性,我们使用双重差分模型控制时间序列上其他可能因素的影响,结论保持不变。本文的发现有助于理解新股定价管制的经济后果,并对注册制改革有重要启示。     

媒体语气、投资者情绪与IPO定价

本文利用IPO公司在上市前不同时间段内主流财经媒体报道中的正负面词汇数据,构建了媒体语气这一度量公司层面投资者情绪的代理变量,从个股层面检验投资者情绪对IPO抑价率的影响。本文研究结果表明,相比正面媒体语气,负面媒体语气能够更好地解释IPO抑价率、首日换手率以及超募比例。具体而言,我们发现负面媒体语气与IPO抑价率、IPO超募资金比例以及承销商费用占比均显著负相关:负面语气每下降1%,IPO抑价率上升0.22%,超募资金比例提高0.13%,承销商费用占比上升1.44%。我们进一步发现发行公司和承销商有动机和激励通过媒体推介IPO公司,引导、煽动投资者情绪,从而厘清投资者情绪的影响因素以及其作用于资产价格的渠道。本文最后验证了媒体语气作为投资者情绪代理变量的可靠性。     

The Role of IPO Underwriting Syndicates: Pricing, Information Production, and Underwriter Competition

We examine syndicates for 1,638 IPOs from January 1997 through June 2002. We find strong evidence of information production by syndicate members. Offer prices are more likely to be revised in response to information when the syndicate has more underwriters and especially more co‐managers. More co‐managers also result in more analyst coverage and additional market makers following the IPO. Relationships between underwriters are critical in determining the composition of syndicates, perhaps because they mitigate free‐riding and moral hazard problems. While there appear to be benefits to larger syndicates, we discuss several factors that may limit syndicate size.     

Issuer IPO underpricing and Directed Share Program (DSP)

The issuer underpricing hypothesis addresses why IPOs with a Directed Share Program (DSP) are substantially more underpriced and why the issuers are not upset over the additional money left on the table. In support of the hypothesis, we find that both the final size and likelihood of DSP adoption are greater when expected IPO underpricing is high. Issuers with a DSP also strategically underprice their IPO through a downward bias in offer price adjustments, but will do so only when the cost is not prohibitive. Finally, the first-day IPO return is relatively higher when directed shares are allocated to customers.     

提高新股定价效率的若干建议

造成目前新股定价效率不高的主要原因是二级市场定价效率不高,因此,提高新股定价效率的政策建议应着眼于提高二级市场的定价效率,即通过市场整体效率的提高达到提升新股定价效率的目的.     

IPO定价管制与新股短期市场表现

本文选取沪深两市IPO作为研究样本考察IPO定价管制对新股上市后5、20、60、120和150个交易日短期市场表现的影响.实证研究结果表明,IPO定价管制显著影响新股短期市场表现,两者成正相关关系,即IPO定价管制程度越严重,新股短期市场表现越强势;而基于各个市场板块的实证研究结果发现,IPO定价管制对中小板新股短期市...     

IPO定价与抑价发行治理

创业板开闸以来出现高市盈率、高发行价、高超募和高抑价率并存现象,对新股发行制度改革尤其是IPO定价效率提出了新的要求。本文通过IPO定价与股票估值之间固有区别的比较,提出了一个更为实用的估价函数,根据平价发行条件得出一个以发行前每股净值、发行比例、EPS和EPS增长率为因子的平价定价模型。必然抑价点的存在,证明特殊市场条件下以行政指导定价和市场自由化定价对抑价发行治理完全无效。进而指出治理IPO抑价是一个需要恰当制度安排、通过市场机制作用对投资情绪进行纠正、引导和培育的长期过程,并给出IPO定价市场化和合理化的几点建议。     

A Review of IPO Activity, Pricing, and Allocations

We review the theory and evidence on IPO activity: why firms go public, why they reward first–day investors with considerable underpricing, and how IPOs perform in the long run. Our perspective is threefold: First, we believe that many IPO phenomena are not stationary. Second, we believe research into share allocation issues is the most promising area of research in IPOs at the moment. Third, we argue that asymmetric information is not the primary driver of many IPO phenomena. Instead, we believe future progress in the literature will come from nonrational and agency conflict explanations. We describe some promising such alternatives.     

盈余管理、IPO审核与资源配置效率

本文以2006~2012年申请上市公司为样本,基于盈余管理视角对发审委审核决策进行了考察。研究发现,拟上市公司IPO审核通过率与上市前盈余管理显著负相关,但这一关系仅在公司盈余管理程度较高时成立。进一步的分析显示,当拟上市公司为国有企业或其所在行业获得产业政策支持时,其IPO申请更不会因盈余管理而被否;同时,对于拥有政治关联背景或经营业务复杂的拟上市公司,IPO审核通过率与公司盈余管理的负相关关系变弱。最后,实施程度较高盈余管理并通过发行审核的公司,上市后的股票收益和经营业绩更差,由此表明,拟上市公司的盈余管理降低了资本市场资源配置的效率。     

创业投资IPO偏低定价与退出绩效实证研究

本文以1993～2006年在香港主板和创业板上市的133家H股公司为研究对象，对其偏低定价和短长期绩效情况进行了实证分析。研究表明，创业投资支持的公司的IPO偏低定价程度低于非创业投资支持的公司。创业投资支持的公司在香港主板市场的IPO偏低定价程度、长短期绩效均低于香港创业板市场，且在香港主板上市后的长期绩效呈不断下降趋势。在香港主板市场上，退出绩效与IPO偏低定价显著负相关。对创业投资支持的公司来说，在热发行期退出将获得更好的绩效。     

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。     

VC Fund Financial Performance: The Relative Importance of IPO and M&A Exits and Exercise of Abandonment Options

By combining data from two sources, we are able to examine how fund financial performance is related to fund outcomes (initial public offering [IPO] and merger & acquisition (M&A) percentages) and abandonment practices. We also are able to relate fund performance to the track record of the venture capital firm. Our primary findings include: 1) fund IPO and M&A outcomes are statistically significantly related to financial performance, 2) M&A success is around 60% to 80% as important as IPO success in explaining performance, 3) except among the top performers, funds with aggressive exercise of abandonment options outperform those that continue to support a large percentage of their initial investments, and 4) prior performance of the firm, in terms of success percentages and abandonment practices, is significantly related to fund performance. Results are robust to controlling for selection bias of the reporting entities, as well as biases related to looking back at the performance of earlier funds survivorship, and attrition. Quantile regression estimates establish that our results hold across the full range of realized performance levels.     

绿色配额初始分配与定价:模式设计及应用

绿色配额只有在政府强制实现对环境产权有偿初始分配的前提下才能有效发挥引导行为的"限外奖正"作用。由于绿色配额客体的公共属性,初始分配实质上是把社会总体福利置于理性微观主体间的配置,应综合考虑福利的代际补偿成本和个体的代间交易成本,在实行标价限量配置方式下,以边际环境损害为基础,体现交易成本地区差异的定价机制。     

绿色配额初始分配与定价:模式设计及应用

绿色配额只有在政府强制实现对环境产权有偿初始分配的前提下才能有效发挥引导行为的"限外奖正"作用.由于绿色配额客体的公共属性,初始分配实质上是把社会总体福利置于理性微观主体间的配置,应综合考虑福利的代际补偿成本和个体的代间交易成本,在实行标价限量配置方式下,以边际环境损害为基础,体现交易成本地区差异的定价机制.     

Pricing and Capital Allocation for Multiline Insurance Firms

We study multiline insurance companies with limited liability. Insurance premiums are determined by no‐arbitrage principles. The results are developed under the realistic assumption that the losses created by insurer default are allocated among policyholders following an ex post, pro rata, sharing rule. In general, the ratio of default costs to expected claims, and thus the ratio of premiums to expected claims, vary across insurance lines. Moreover, capital and related costs are allocated across lines in proportion to each line's share of a digital default option on the insurer. Our results expand and generalize those derived elsewhere in the literature.     

强化我国IPO定价主体独立性的应对之策

新股发行是证券市场的核心制度之一,是证券交易活动的前提。其中IPO定价既是整个新股发行制度的重点环节,也是我国推行新股发行市场化改革的着手点。为实现IPO市场化定价,我国历次新股发行改革总是围绕着定价方式本身进行,效仿发达资本市场采用的询价制定价方法,不断改进具体的发售方式,而忽视了市场化定价模式对定价主体最基本的独立性要求。文章分析认为实现我国IPO市场化定价首要任务是对定价主体独立性给予法律制度上的完善,确保定价主体能够名副其实地自主决定新股发行价格。从定价主体与政府和定价主体之间两个维度进行制度完善,开放证券市场进入、退出环节,加强审核机关的责任约束;同时从事前约束和事后补偿两方面加强定价主体之间的独立性。