【作者】 宋书彬；

【导师】 王振山；

【作者基本信息】 东北财经大学 ， 金融学， 2011， 博士

【摘要】 2011年我国股票市场创建整整二十个年头。伴随着改革开放,我国股票首次发行市场(IPO市场)也走过了不平凡的发展历程。在这个时期,我国IP0市场的股票发行制度进行了重大改革,经历了由行政审批制、核准通道制、核准保荐制的演变过程,证监会对新股的发行定价方式与定价方法也进行了频繁的变革,伴随着向市场化渐进改革的步伐,我国股票发行制度不断走向成熟,IPO市场主承销商行为也逐渐得以规范。但在IPO新股承销的实践中,依旧存在诸多问题,如部分上市保荐人不够尽职,承销商首发申请被否数量增加,IPO市场市盈率偏高,首日上市跌破发行价案例增加等,距高效、规范、理想的市场化运作愿景还相差甚远。在学术研究方面,国内学者对A股IPO市场承销商的研究起步很晚,研究内容比较宽泛,多集中于承销商声誉、承销商与IPO抑价关系方面,而全面研究承销商行为的文献较少,尤其是在承销商的业务对象选择、定价决策的心理、承销业务中形成的风格等方面的研究成果相当匮乏,国内的承销商行为理论研究与IPO承销业务的现实状况还有较大差距,对此领域的认识急需进一步拓展、加深。为此,本文以2001-2010年为研究窗口期,针对IPO市场的主承销商行为,应用理论分析、比较分析、实证分析、规范分析等方法,从6个视角对主承销商的行为进行了研究,较系统的总结了承销商在1PO市场中的相关行为。文章以主承销商在IPO过程中扮演的角色为主线,以其承销行为为核心,通过实证,揭示了我国主承销商在A股IPO发行与承销领域的多种行为,依次总结了主承销商的业务对象选择行为、承销商的业务风格与特点；主承销商发行定价中所反应的公司信息、发行定价时的心理锚定、锚点弱化行为；主承销商在IPO过程中的上市包装行为。主要内容如下。通过对主承销商的注册地址与其承销IPO公司注册地址的统计分析,发现承销商与IPO企业配对并未受地域限制,主承销商并不存在固定的承销地域。多年来,主承销商的行业性体现比较突出,其业务对象的选择明显受到了各自专长(行业)的影响。承销商的本地业务完成量则因地区而异,IPO企业资源丰富地区承销商的本地业务占比较大。承销商的业务量与其注册资本正相关。在对主承销商风格的实证中发现,近10年来我国IPO新股承销方式比较单一承销商承担了较大的发行风险,单一的承销方式不利于IPO市场风险分散,不利于IPO市场承销业务方式的多元化发展。在推出公司IPO股票发行业务时,主承销并没有对市场时机进行考虑。发行制度的改变对承销商业务风格影响不大,承销商实力与其承销业务规模对称,实力雄厚承销商的业务风格极大的影响了整个承销领域的业务风格。在总体上承销商行为有“业务量与注册资本与保荐(推荐)次数正相关、保荐(推荐)成功率负相关”的特征,不同实力的承销商对发行抑价程度没有显著差异。第5章应用主成分分析法,通过对反映IPO公司经营实体信息的34个财务指标提取并回归,检验了主承销商的发行定价中对公司上市前三年经营信息的含量及变化情况,针对主承销商的发行定价对公司规模、盈利能力、发展能力、风险状况、抗风险能力、经营费用等指标的解释能力进行了分析,用最近10年的发行定价对IPO公司信息反映情况进行观察,逐年分析,总结了不同板块、不同股权结构、不同市场状态下定价信息含量情况,认为,发行制度会在短期内对承销商发行定价中的公司信息含量产生负面影响；承销商在定价时对股权结构、市场状态敏感；对不同板块的上市公司在定价时的公司信息含量不同。在对不同承销经验的主承销商IPO定价对公司信息含量检验时还发现,经验丰富的承销商在发行定价中反映IPO公司实体经营信息反而比经验较少的承销商弱。为了解释这种现象,文章将计量回归的残差标进行了准化,然后结合承销商自身的特征进行了分析,认为在制定发行价格时,不同经验的承销商对公司价值组成的两部分判断可能存在差异,在定价中赋予了不同的权重,这样就导致了IPO定价中反映公司实体经营信息的情况出现了区别。相对来说,经验丰富的承销商比经验欠缺承销商在对公司价值的未来预期方面综合性更强。第7章对IPO市场主承销商的发行定价心理锚定、锚定弱化现象进行了实证总结,发现在实行市场化定价(累计询价制)以来,新股IPO过程中主承销商对股票的定价选择依然存在锚定行为——对市盈率、市净率的价格锚定现象明显,但不同的板块对两个指标锚定的紧密程度不同,有锚定目标分离的特征。从时间序列上看,在两板块中主承销商定价选择对两指标的锚点并不固定(近年来总体有上升趋势),表现出动态锚定特点。实证也证明了中小板上市公司的发行市盈率、市净率锚值低于创业板,但到2010年上半年两板块对市净率倍数的锚定开始接近。研究认为,IPO市场表现出对固定锚点的锚定弱化并不是对锚定现象的否定,相反,却是承销商定价行为与市场环境高度融合后对锚定的一种深化,是在更深层次上的锚定表现。在分析中,加深了对IPO市场锚定行为双刃剑作用的认识。认为主承销商IPO市场定价的锚定行为有利于维持新股发行定价的稳定,使投资者可以对IPO首日超额收益保持稳定的心理预期,但这种锚定在主承销商之间也成为攀比的指标,它的存在反而不利于IPO市场优化定价机制,从而影响市场长期发展,成为破坏市场效率提高的潜在因素。通过比对不同状况下的上市公司样本,找出了涉及包装行为的主承销商分布特征。研究表明,如果新上市公司出现了首日跌破发行价、上市后短期内宣布改变投资方向、上市两年之内主营业务大幅下滑等现象,那么主承销商极有可能对IPO公司进行了包装上市活动。实证表明,不同类型主承销商与上市公司首日跌破发行价、改变了投资方向、短期业绩发生变脸之间存在稳定的关系。在剔除干扰因素后,估计了主承销商对IPO公司上市包装而导致的二级市场投资者对低质量上市公司价值高估水平。实证结果显示,受主承销商的包装影响,首日跌破发行价的新股在二级市场被投资者高估约为100%；业绩变脸的新股在二级市场高估水平为27.8%；首日跌破发行价且宣布了改变投资方向的新股在二级市场高估水平为44.7%；首日跌破发行价且发生了业绩变脸的上市价格在二级市场高估水平约52.4%；宣布改变投资方向且发生了业绩变脸的公司高估水平为25.86%。而兼具首日跌破发行价、改变了投资方向、短期业绩发生变脸的新上市公司在IPO时价格在二级市场高估水平为51.9%。在分析中还证实了发行制度改革使二级市场投资者对IPO公司的价值判断得到了校正,他们受发行人、主承销商上市包装行为的影响明显减弱,显然,逐渐健全的市场制度产生了积极作用。本文的创新主要体现在三方面：①对IPO承销商自身特征与其业务对象进行了匹配研究,得出了承销商在承销业务时有各自行业专长的结论。②从残差角度对主承销商的发行定价进行了分析,发现价格回归残差与主承销商的自身特征存在稳定的联系。③提出了承销商对IPO公司定价时对不同板块存在不同的锚定目标,并用锚定效应、锚值弱化对承销商的承销心理、价格决策行为进行了实证检验。本文存在一些局限性,IPO市场承销商行为是一个十分广泛的课题,限于时间与精力,只选择了承销商的部分行为进行了实证研究,加之数据获取困难,未能对承销商其它行为进行涵盖,尤其是未能对承销商是否存在托市行为进行深入研究则成为本文的遗憾。更多还原

【Abstract】 In China, stock market has been created 20 years. For these twenty years, with reforming and opening up, China’s capital market had an extraordinary development process. Chinese IPO market share issuance system has carried on the important reforms, Experienced from Administrative Examine and Approve System, Approve Channel System, to Approved Sponsor System. Methods of Setting IPO Price also changed frequently, with the progressive reforms in Stock Issuance System, Stock issuance system continues to mature, and IPO market main underwriter’behavior also gradually get specifications.In view of IPO underwriting practice, there has problems, such as few IPO guarantors less due diligence, so many underwriter’s application were denied, the soar up of the IPO prices, the issue price flops, so, there still has a far way to an efficient market.In academic research, Chinese scholars’research on A-share IPO underwriter’s started lately, The research more focused on comparative broad underwriter’s reputation, the relationship between underwriter and IPO price, the relationship between underwriter and IPO price devaluation.Thought there had so many literatures, system researches on underwriters behavior is few, and fewer can give readers a comprehensive conclusion about IPO underwriters’ behavior.Therefore, the article takes year 2001-2010 as window period to research the behaviors of IPO market main underwriters, using theoretical analysis, empirical analysis, comparative analysis and normative analysis, the article studied different perspectives on the main underwriter, and systematically summarized the behaviors of the underwriters in Chinese IPO market.Following the order of lead underwriters in IPO, through the multiple perspectives of empirical study, the author analyses the behavior of main underwriter in A-share IPO, in turn, summarizes the business choice behavior, issuing pricing behavior, psychological anchors in pricing, Gradually loosening from the early anchor point, window dress behaviors of main underwriters in IPO market, then, summing up the underwriters business style. brief content as follows. Through statistical comparisons of registered address between main underwriters and issuers, the author found the main underwriters does not exist fixed business region, so, the pairing of underwriters and issuers should not limited by region.It shows the main underwriters have prominent area in industries; selections of clientele are clearly influenced by its profession. The underwriter’s local business accomplishment amounts are vary by region, in the rich IPO resources region, the underwriters underwritered more local issuing. And there is a clear positive relation between their registered capital and volume of business.Using Principal Component Analysis, the article compares issuing price and market price of IPO company, the result shows the explanatory ability of issuing price is stranger than market price in reflecting of the issuer’operating information which based on 34 financial index. After yearly observation of explanatory ability, the author summarizes phenomena related different industries, different equity structure, different market condition.In empirical test we found the rich experience underwriters’IPO pricing reflects the company’s financial information less than those of lack of experience underwriters.In order to make the phenomenon clear, the paper analysis the regression residuals and explained:during pricing process, different experience underwriters endowed different weights to composed parts. Relatively speaking, experienced underwriters’ IPO prices are more comprehensive than inexperienced underwriters.Chapter 6 conducting an empirical summary from behavioral finance view of IPO market, the paper find main underwriters has the effect of psychological anchor in issuance pricing, it also shows phenomena of gradually loosening from the early anchor point. In market-oriented pricing IPO process, main underwriters still has the behavior of price anchoring. Obviously they rely on PE ratio and PA ratio, but in different industries the anchoring degree is different.From the time series, there are common behaviors in the main underwriters’ pricing processes, their pricing options do have anchoring effect. But the anchor points have dynamic characteristics.Then, the author tests anchoring effect in IPO progress on recent five years by listed companies’IPO pricing data, finds that there do have significantly anchoring effect in Small Plate and Growth Enterprises Market, this research also shows the Small Plate’s IPO pricing anchor is more closer on PE than on PB; on the contrary, GEM’s anchoring target is tightly on PB.The paper also shows the behavior of loosing anchor point in underwrite isn’t deny of the anchor effect, instead, it is a deeper anchor performance.The paper put light on double-edged sword effect of IPO market anchor. On the one hand, main underwriters’pricing anchoring behavior in IPO market conducive to the stability of the IPO price, it can keep investors in stable psychological expected, on the other hand, this kind of anchor compare with the higher in PE ratio and PA ratio, it do harm to long-term stability in the market, they are destruction factors to market efficiency. Using hindsight measures, The article also reasoning in three conditions that main underwriters and listed companies may have window dressed when they were in IPO process.This article finds influenced by main underwriters’window dressing, those whose first closing price were under issue price would overestimate about 100% by investors in the secondary market; those whose Performance decline in short terms would overestimate a level of 27.8% in the secondary market; those who announced investment direction changes would overestimate level for 44.7% in the secondary market; the issuers which first closing price were under issue price and Performance decline in short terms would overestimate a level about 52.4%; the issuers which have all the three characters would overestimate a level about 51.9%.The study had proved the reforms to the rule give a correct rectify to secondary market investors when they make evaluation to an IPO company. During years of practices the evaluation influence from the issuer and main underwriter to investors getting weak. Obviously, gradually effective market system produced a positive role.The empirical test found that the contracts between main underwriters and issuer almost in the same mode in recent 10 years. This would lay underwriters in a larger issuance risk, potential risks also do harm to IPO market. When there are new issues launch on the market, the underwriters didn’t consider the environment of the capital market.The change in IPO rule influence main underwriter little, the volume of underwriter’s capital and its business scale are symmetrical, big underwriter’s business style has greatly influenced the whole underwriters’business style. Different underwriters’price devaluation in IPO did not show difference in empirical test in study period.The innovations in this paper are in three point:first, from different angles the author summarized IPO market underwriters business behavior characteristics, the main underwriters’business style has also refined. Second, from the perspective of regression residual, the paper analyzed the relation between issuance price and character of main underwriters. Third, analysis the psychological anchor effect of main underwriter in IPO pricing, the phoneme of loosen from anchor point was also discussed.Through the writing, I found there existed some shortages, For limitations in data collection ability, I failed to research main underwriters’behavior thoroughly in some areas which I interested in. Limited to personal qualification, I found behaviors of main underwriters was not fully understand. The paper was broad to spare, and lack of depth.更多还原