【作者】 江洪波；

【导师】 陈琦伟；

【作者基本信息】 上海交通大学 ， 金融学， 2007， 博士

【摘要】 IPO股票价格行为是指IPO从发行到上市再到上市后较长时期之内,其价格的变化过程。在这个过程中长期存在两个“异象”,一个是IPO抑价,另一个是IPO长期弱势表现,这使得IPO的价格行为成为数十年来的一个研究热点。但时至今日,这一课题仍被称为“谜题”。所谓IPO抑价,是指IPO股票的发行价格明显低于其上市首日的市场价格,从而给一级市场投资者带来正的初始收益。所谓IPO长期弱势表现,则是指以上市首日价格为起点,IPO股票的长期市场表现往往弱于市场大盘,或者可比的非新股。其中,相对市场的弱势表现比较显著,而相对可比公司的弱势表现则温和许多。在以往的研究中,IPO抑价和后市表现长期被割裂,前者通常采用有效市场假说(EMH)和非对称信息的分析框架,而后者则对有效市场假说构成挑战。对IPO抑价现象的存在并无争议,但对其的理论解释则各有不同,并且普遍缺乏完全的解释能力。对于IPO后市表现,由于事关有效市场假说能否成立,因而对其存在和解释的争议更大。而笔者认为,IPO抑价和IPO后市表现是相互联系的系统、动态过程,是一个过程的两个阶段,必须作为一个整体进行研究。在这个过程中有几个关键问题需要得到解答:IPO后市长期异常收益是否存在(上市首日市场是否有效)?在考虑后市异常收益后,IPO发行价格是否低估?在判断完IPO股票发行价格是否低估之后,对IPO抑价如何解释?对于我国A股IPO而言,还需要考虑一些“中国特色”给IPO价格行为带来的影响,这既有助于真正理解A股IPO的价格行为过程,也有助于认识和预测这些“特色”改进的方向和效果。在有关文献中最受重视的“中国特色”主要包括政府管制和股权分置。因此,本文研究的主要目标是结合A股市场的“特色”,对A股IPO的价格行为进行系统研究;并在此基础上对已有理论进行扬弃和发展,对提高A股市场定价效率提出建议。本文的主要工作和成果是:1.明确了IPO价格行为过程的含义和系统研究的意义,总结了IPO价格行为的理论背景和A股IPO实践历程,确定本文研究方向和内容。2.提出了IPO价格行为的系统研究框架(包括IPO抑价、后市表现、市场参与者的行为),依据该框架分析和评价了国际上有关IPO价格行为的主要或重要文献;在此基础上归纳出了IPO价格行为过程的三种可能模型,并指出基于非有效市场假设的模型更符合现实。总结和评价了针对我国A股IPO价格行为的研究状况。通过对国内外文献的回顾,更加清楚地证明了动态、系统考察完整的IPO价格行为的重要性和必要性,并为本文的后续研究作好了理论储备。3.分析和比较了主要的异常收益度量方法和模型,明确了本文异常收益测度中重要参数的选择标准、方法和结果,为本文后续研究做好了方法和工具上的准备。4.对A股IPO价格行为做出了较为完整的描述(完整性体现在样本时间跨度、子样本的划分和收益测度方法的选择上),提出A股IPO价格行为过程符合第三个模型,即抑价和反应过度(或不足)的混合。5.对A股IPO价格行为进行了多种横截面和时间序列回归分析。发现:(1)IPO的长期异常收益并不是一种偶然的或者可以相互抵消的现象,或者仅仅是小盘股的异常收益问题,而是与IPO抑价一样,普遍地出现在各个时期、各种规模和各个行业的IPO中间,并且表现出跟二级市场的火热程度相关联的迹象;IPO抑价与长期异常收益呈显著的负相关关系,证明IPO上市之初的市场价格并非有效,也证明IPO的抑价和后市表现不能割裂开来独立研究;Fama-French时间序列回归的结果再次证明了市场化定价的IPO的长期弱势表现;而对异常收益的时间序列横截面回归结果表明,市场化定价的IPO表现出了上市之初高估,然后逐渐向公允价值回归的过程。(2)尽管IPO初始收益大小的主要部分是一级市场发行价格的低估,但对IPO抑价的多元回归结果表明,决定其差异的因素主要来自二级市场。传统的基于有效市场和非对称信息框架的理论中,信号理论和承销商代理理论没有得到统计意义和(或)经济意义上的显著支持,仅有“赢者诅咒”理论在市场化发行IPO样本的检验中有可能得到支持。而所谓的中国特色问题,即复杂的股权分置结构和过长的上市等待期,并没有对IPO抑价提供什么解释。(3)从发行和上市的相对价格乘数(尤其是相对市盈率)看,不同定价阶段的IPO定价表现出一种“学习”能力,即会参考发行时二级市场的总体价格乘数水平,按一个比较稳定的折扣进行定价,而在新股上市时迅速接近市场水平。造成这一现象的原因可能在于大资金或机构投资者在二级市场的双向竞价过程中具有决定价格的能力,并因此保持一个符合“惯例”的比较稳定的初始收益水平。6.尝试对主张股改对价的“持股成本差异论”进行实质性的分析和论证,提出并讨论了该论断能否成立的两个关键问题,通过实证研究发现股权分置并没有提高流通股股东的投资成本(即新股发行价格)或损害流通股股东的投资收益(新股的后市表现)。这能够为股改的后续研究提供一些借鉴。7.对IPO价格行为的未来研究方向提出了建议。本文的创新性主要体现在:1.打破了传统IPO价格行为研究中IPO抑价与后市表现之间(同时也是EMH和行为金融之间)的藩篱,以开放的态度,提出基于不同假设的三个可能的IPO价格行为模型,并且不预先设定假设地去系统研究IPO价格行为的全过程。结果证明A股IPO价格行为既不能由EMH下的非对称信息模型完全解释,也不能由行为金融完全解释,而是二者混合叠加的产物。此外,本文研究还显示,从上市价格的形成机制出发,后续研究的领域将外延到微观市场结构。2.通过多种横截面和时间序列回归,确认了市场化定价阶段的A股IPO表现出上市时的过度反应和其后的长期弱势表现。在这些实证研究中,将Fama-French三因素模型运用到A股IPO的收益分析,在国内相关研究中是一次较新的尝试;对IPO异常收益进行时间序列横截面(TSCS)回归分析,包括模型的构造、假说的提出和变量的定义,均由本文独立设计。3.在对IPO抑价进行回归分析时,不预先限制解释变量选择范围,而是尽可能多地选择各种理论的代理变量,然后运用逐步回归法挑选出真正显著的解释变量。这一过程完全由事实说话。此外,在回归过程中借助每个解释变量对调整可决系数的贡献来衡量各变量(及其代表的理论)的相对重要性。4.对“持股成本差异论”这一缺乏证明的假说提出质疑并进行论证,独立设计了整个分析框架和实证模型。总之,本文建立了包括IPO抑价和后市表现在内的完整的IPO价格行为模型,在理论上对IPO价格行为分析框架和相关理论进行了融合和发展,在实践上对我国A股IPO的价格行为做了大量的实证研究,得到了一些有价值的结论。本文研究对于正确理解A股IPO价格行为,认识其影响因素,改进IPO发行效率和二级市场定价效率,具有重要的理论和现实意义。更多还原

【Abstract】 The price behavior of IPOs refers to the movement of stock price from the offering to post-listing that covers a long period of time. Two anomalies exist in the process, namely, IPO underpricing and the long-run underperformance, which make the study of the price behavior of IPOs a popular one for several decades. However, it remains a“puzzle”yet to be solved till today.The significant price appreciation over the offering price in the first-day, in other words, IPO underpricing, brings a positive initial return to the primary market investors. The long-run underperformance captures the phenomena that the long-run stock performance after listing falls short of market average and comparable seasoned stocks. The underperformance relative to the market is more significant than to comparable seasoned stocks.Researchers in the past treated the IPO underpricing and the after-market performance as two separate topics. The efficient markets hypothesis (EMH) and information asymmetry were adopted as the analysis framework for the IPO underpricing, while the after-market performance constitutes a challenge to EMH. There being no doubt about the IPO underpricing, different theoretical explanations are offered but none of which is able to fully explain the phenomena. The controversy about the existence and explanation of the after-market performance is greater as it challenges the efficient markets hypothesis. I regard IPO underpricing and after-market performance as two interlinked stages in a systematic and dynamic process. Hence it requires a holistic approach. Questions concerning the key links in the process include: Does long-run after-market abnormal return exist? (or: is there an efficient first-day market?)Having considered after-market abnormal return, are IPOs underpriced?Having answered the question of the existence of the IPO underpricing, how to explain it?Implications of certain“Chinese characteristics”on IPO price behavior should be factored in as it helps to unveil the true process of A-share IPO price behavior and bring clarity to understanding and predicting directions and effects with respect to further improvements on those“characteristics”. Important“Chinese characteristics”in the related literature include government regulation and equity division.The paper aims to give a systematic analysis of A-share IPO price performance with consideration of the“characteristics”in the A-share market; existing theories will be sorted out and developed; proposals on how to improve the pricing efficiency of A-shares will be made.The paper undertakes the following work and outcomes achieved include:1.The definition of the price behavior of IPOs and the significance of a systematic approach; A summary of the existing theories and a history of A-share IPOs; The identification of the research direction and content of the paper.2.Suggesting a systematic framework for the studies of the price behavior of IPOs that includes IPO underpricing, aftermarket performance and relevant parties’activities; With a thorough review of major or important literature worldwide structured according to the famework, putting forward three tentative models of IPOs’price behavior; Through a thorough review of literature home and abroad, attesting to the necessity and significance of a dynamic and systematic approach to the study of the price behavior of IPOs. A theoretical basis is laid down for the following research.3.An analysis and comparison of major models and measures of abnormal return; Defining the selection criteria of major parameters and results. The methodology and tools are identified for the following research.4.A comparatively complete description of the A-share IPOs (the completeness refers to the time span of samples, the classification of samples into sub-groups, and return measurements), the argument that the A-share price behavior of IPOs conforms with the third model, namely, a combination of underpricing and overreaction (or underreaction).5.Multiple cross-sectional and time-series regression analysis, with findings as:(1) The long-run abnormal return is neither incidental nor something that can be offset, or a issue limited to the small-caps only. Like IPO underpricing, it is prevalent across all cap sizes, all sectors and all time, and shows similar momentum with the secondary market. There appears a significant negative correlation between the IPO underpricing and the long-run abnormal return and it is established that the first-day price is inefficient and the study of IPO underpricing and the after-market performance should not be conducted independently of one another. The Fama-French regression result once again bears out the long-run underperformance of market-priced IPOs. The TSCS regression result demonstrates that after witnessing first-day overvaluation of market-priced IPOs, there’s a gradual return to its fair value.(2) Although the initial return is mainly composed of primary market undervaluation, multiple regression of IPO underpricing shows that the variance comes from the secondary market. The efficient markets hypothesis and asymmetrical information which constitute the conventional theoretical framework fails to lend significant support to the signaling theory and the underwriter agency theory either statistically or economically, with the exception of the“winner’s curse”theory, which may be supported by the subsample of market-priced IPOs. The questions with so-called“Chinese characteristics”, namely, the complicated equity division structure and a prolonged lag between the offering and the listing do not offer any explanation to the IPO underpricing.(3) In terms of the relative price multipliers of the offering and the listing(especially the relative P/E ratio), IPO pricing at various stages demonstrate the ability of“learning”, which means it is priced at a relatively stable discount, referencing the overall price multipliers in the secondary market and then quickly approaches around the market level once listed. It could be that big funds or institutional investors wield price-setting power in the double auction process in the secondary market. Hence the initial return is maintained at a“normal”level.6.An analysis and test that equity division did not add investment cost (offering price of new shares) to the negotiable shareholders or dampen the investment return (after-market performance) to them. I point out that equity division is not responsible for the pricing inefficiency in the A-share market; those that should include regulator’s control on new issues offering, investors irrational demand, the inadequate market structure and regulatory oversight. The equity division reform cannot solve those problems automatically. I suggest that the proponents of paying considerations in the equity division reform should look elsewhere to justify their request, and put forward the future research direction of equity division reform.7.Suggestions on the research direction of the price behavior of IPOs in the future.The paper is innovative in the following ways:1 .It breaks down the barrier between the underpricing and the after-market performance in the conventional price behavior research of IPOs and adopts a systematic approach to the complete process of IPO price behavior. Three possible IPO price behavior models based on different hypotheses are put forward initially in an open mind instead of installing pre-set hypothesis. The result shows that the A-share IPO behavior cannot be fully explained by the asymmetric information model under the EMH framework alone, or by the behavioral finance theories, but by a combination of both. Proceeding from the listing price formation mechanism, follow-up research should penetrate into the micro market structure.2 .Multiple cross-section and time series regressions confirm that the A-share IPOs in the market-priced stage demonstrate initial overreaction and long-run underperforamance. The Fama-French three-factor regression done to the A-share IPO return is among pioneering attempts within China. So is the TSCS regression done to the IPO abnormal return; the paper’s innovation includes the structure of model, the hypotheses proposed and the definition of variables.3 .In the regression analysis, there is no pre-set scope for independent variables. As many as possible proxies of various theories are used and then through stepwise regression truly significant independent variables emerge out of the lot. The whole process is completely fact-driven. The contribution of each independent variable to the adjusted R2 is used to determine the relative importance of each and every variable (and the theory it represents).4 .The much-hyped hypothesis of equity division pushing up the new share offering price, which lacks proof, is cautiously examined. This is a path-finding research; the complete analysis framework and the empirical model are developed independently. In sum, the paper establishes a complete IPO price behavior model including IPO underpricing and the after-market underperformance. On the level of theory, the paper integrates the related theories and analytical frameworks and develop them further; in practice, a large amount of empirical studies are done to China’s A-share IPO prices, thus arriving at valuable conclusions. The paper is of great theoretical and practical significance to a proper understanding of the A-share IPO price behavior, factors that influence it and how to improve the IPO issueing efficiency and the pricing efficiency in the secondary market.更多还原