中国商业银行股权融资定价研究

【作者】 刘亚干；

【导师】 陈毓圭；

【作者基本信息】 财政部财政科学研究所 ， 会计学， 2010， 博士

【摘要】 商业银行估值是现代企业价值评估的一个难题,而如何对中国商业银行的股权融资进行正确定价就更加困难。商业银行独特的资产负债结构及业务运营,严格的资本充足率监管与窗口指导,都使局外人很难确定贷款组合的质量,测算利率和期限错配的影响,把握银行利润的真实性和准确性。银行业是我国金融体系的核心,我国企业融资总额的80%左右来自商业银行提供的贷款和其他融资工具。在中国自上而下地开启渐进式银行业改革的背景下,银政分开、股份制改造、战略引资、公开上市、适时再融资成为中资银行改革的主要路径。而引资、上市、再融资必然会涉及到如何对股权进行定价。进行合理的股权融资定价,已成为理论界和实务界关注的热点。以此为背景,本研究的主要目的是探讨和解决三个层面的问题：(1)银行股权正确定价的前提是正确估值,银行估值为什么不同于一般企业,银行估值方法有很多种,究竟哪种方法最适合中国的商业银行；(2)在同一家银行内含价值基本相同的前提下,为什么引资、上市、再融资定价差异巨大,不同阶段影响定价的主要因素有何异同；(3)如何设计制度和机制,使不同阶段的银行股权均实现正确定价,各利益相关方的利益得到平衡。本研究以理论分析为主,理论分析与问券调查、案例分析紧密结合,定性分析和定量分析紧密结合。对照商业银行的经营特性和制度性特征,本研究深入分析何种估值方法最适合评估商业银行内含价值,归纳总结资本市场和实务界大量最新数据和案例,提炼分析中国商业银行股权融资定价的影响因素。本研究的主要内容和结论如下：(1)首先,评价一般企业价值评估理论,阐述四种主流理论的假设前提、模型和优缺点,之后分析商业银行的特性,并逻辑说明股利折现法是最适合商业银行内含价值评估的方法,接着就方法中涉及的变量选择和计算进行阐述。通过向国际国内著名投资银行和机构投资者问卷调查,我们的理论分析和逻辑推断得到了印证。(2)回顾中国银行业引进战略投资者的历程,围绕股权转让定价,进行理论分析。对于各主要商业银行达成的股权转让价格,分析了定价影响因素,本文发现影响定价的因素主要有外资受信息不对称影响、股权转让比例与控制权溢价因素、私募方式与持股锁定期、影响引资谈判及股权价格的制度效应、中外双方在谈判阶段的谈判实力对比、外资的参股动机与投入资源、股权转让的一揽子协议、以及宏观经济环境。(3)对IPO定价有关问题进行了理论解析,对估值方法选择进行了问卷调查,并对中国工商银行IPO时的估值模型进行了多投资银行案例分析。针对IPO发行定价,上市时间窗选择、上市地选择、发行规模、认购倍数及承销商影响这五个方面对上市IPO定价有重要影响。(4)从理论上研究配股、增发、可转债三种再融资形式对银行定价的不同影响。然后结合三种再融资方式的特性,以最新的案例、数据分析了银行再融资方式选择和定价影响因素。再融资阶段,银行需要结合当时经济形势、市场预期等因素,根据自身的经营特点、资本结构乃至发展战略等考虑配股、增发、可转债等融资方式的选择。股票当前交易价格、股票发行规模、股票波动率等对再融资定价均有重要影响。从商业银行经营特性和制度性特征出发研究商业银行内含价值的评估方法,通过对权威机构的问券调查,结合资本市场大量最新数据和案例,分析引资、上市、再融资不同阶段的定价影响因素是本文的一个创新尝试,与已往文献相比,本文的研究在理论、视角方面具有以下创新：理论研究创新：国内外现有文献没有对商业银行的股权融资定价进行系统研究,针对中国商业银行引资、上市和再融资不同阶段如何估值和定价,也缺乏系统深入分析。本文没有泛泛而谈商业银行的估值特性与一般企业的区别。本文在理论上深刻剖析商业银行的经营特性和制度性特征,并由此逻辑推导出股利折现法(DDM)是最适合商业银行的内含价值评估方法。在DDM模型中,最好用商业银行基本面分析法Camelot来确定风险系数Beta参数值。商业银行引资、上市、再融资定价差异较大,研究发现主要原因是引资、上市、再融资阶段的定价影响因素有很大不同。研究视角创新：理论源于实践,实践是检验真理(理论)的唯一标准。为了掌握资本市场究竟是如何评估中国商业银行的内含价值,本文向国际国内著名机构发出了67份调查问卷,回收有效问卷65份,其中包括国际国内著名投资银行25家(卖方),国际国内著名机构投资者40家(买方),有力地论证和支持了哪种估值方法最适合中国商业银行。在案例分析中,既有个案的深入分析,又有多案例的共同论证,并紧密结合现实背景和实务操作,来讨论商业银行股权融资定价。毫无疑问,在阐述观点时,由于银行业的特殊性,理论方面没有太多现成的文献可供参考,本文有些观点是探索性的,非尽善尽美,需要进一步研究。本文对定价影响因素的论述较多地采用了理论分析、案例说明和统计分析的方式,这些因素具体会产生多大程度的影响,本文没有进行严格的数量论证,笔者拟在后续研究中选择适合的方法对其进行进一步研究。更多还原

【Abstract】 The valuation of commercial banks is one of the most challenging issues in the discipline of modern corporate valuations, and getting a correct price for equity financing of mainland commercial banks is even more challenging. Commercial banks have unique capital structure and operation characteristics, and are subject to stringent regulations on capital adequacy and exposure guidance. All these factors make it difficult for outsiders to know the asset quality, the credibility and accuracy of a bank correctly, to estimate the impact of interest rate and duration mismatches.The banking industry is the core element of China’s financial system.80% of total capital financing in China is provided by commercial banks through loans and other financing instruments. With the gradual implementation of the top-down banking industry reform, mainland banks are involveing in a serices of reforms including the separation of government and banks, joint stock reforms, the introduction of strategic investors, initial public offerings, and refinancing at appropriate times. Among these steps, the introduction of strategic investors, the initial public offering and the refinancing are inevitab related to pricing for the equity of banks. The determination of the appropriate pricing for equity financing has become one of the hot topics for both scholars and practitioners in the financial sector.Based on the background, this study focuses on three questions:(1) Why is the valuation of banks differs from those of other enterprises? Among the several bank valuation methods, which one is the most appropriate for commercial banks in China? (2) Given that the intrinsic value of a bank almost the same, why do the prices for the introduction of strategic shareholders, the initial public offering and the refinancing differ so substantially? What are the factors that affect the pricings during these periods? (3) Is it possible to design a system and mechanism that could enable a correct pricing for bank stocks during different periods to balance the interests of different stakeholders?This study is based on the theoretical analysis, complimented by a questionnaire survey and case studies. It involves both quantitative and qualitative analyses. Basing on the operation and regulatory characteristics of commercial banks, this study analyses different valuation method and finds the most appropriate one for valuating the intrinsic value of commercial banks. Latest data and cases in the capital market and financial sector are used to find the factors affecting the pricing for equity financing of Chinese commercial banks. The key content and conclusions of the study are as follows:(1) Review of valuation theories for ordinary enterprises, including the assumptions, models, strengths and weaknesses of these theories, analyze the characteristics of commercial banks. We prove that the dividend discount model is the most appropriate method in determining the intrinsic value of commercial banks, and explain the calculations of parameters in this method. Our theoretical and logical inferences are further verified through aquestionnaire survey for staff in key international and domestic investment banks.(2) We analyzs cases of previous introduction of strategic investors in the Chinese banking industry, and performe a theoretical analysis on the pricing of the shares transferred. We analyze the factors that affected the pricing of shares for the major commercial banks to reach the share transfer agreements. We find that the main factors affecting pricing included information asymmetry faced by foreign capital, share transfer ratio and control premium. Private placement, the holding lock, institutional factors related to negotiations and share price also influence the pricing of shares. Besides, the contrast of the bargaining power between Chinese and foreign parties in the negotiation stage, the motivation and input of foreign capital, the package deal of share transfer and the macroeconomic environment are factors that related to the pricing.(3) We performe a theoretical analysis of IPO pricing and conduct a questionnaire survey on the choice of valuation methods for equity pricing. In addition, we use ICBC as a case to study the valuation methods used by multi-investment banks during commercial banks’IPO stage. In regarding to factors affecting the pricing of IPO, the time window, listing place, issue size, subscription ratio and underwriters of IPO are five important aspects that need to consider.(4) We analyzed the different effects of three ways to refinance, including allotment of shares, additional share and convertible bonds. Then combining the characteristics of three forms of re-financing, we analyzed the methods of bank refinancing and pricing related factors with the latest case and data. Refinancing stage, the banks need to consider the economic situation at that time, market expectations, its own operation characteristics, capital structure and even the development strategies to choose the proper way of re-financing. The current trading price of the stock, stock issue size and volatility of stock prize have important effects on the price of refinancing.Based on the operation and regulatory characteristics of commercial banks, we studied the valuation methods for the intrinsic values of banks. Through questionnaire surveys with key institutions and analysis of the latest data and cases in the capital market, we attempted to analyze the factors that affect pricing in the introduction of strategic investors, IPO and refinancing. Compared to previous studies, we accomplished innovations in terms of theory, perspective.Theory innovation:There is few existing literature that either systematically study the equity pricing of commercial banks or explain how Chinese commercial banks valuate and price equity during the stages of introduction foreign investment, initial public offer and re-financing. This article does not talk about the difference in valuation features between commercial banks and other businesses generally. Instead, we perform in-depth analysis on the operating and institutional feathers of commercial banks and thus logically derived dividend discount model (DDM) is the most suitable model for the valuation of commercial banks. In the DDM model, the fundamental analysis of commercial banks, CAMELOT, is the best way to determine the Beta parameters. The equity price of commercial banks during the foreign capital introduction stage, public list stage and refinancing stage are quite different, that could be explained by the main factors affecting pricing.Perspective Innovation:Theory comes from practice and practice is the sole criterion of truth. To understand how the capital market determines the intrinsic value of Chinese commercial banks, we issued questionnaires to 64 renowned domestic and international institutions, and received 58 valid replies, including replies from 15 renowned international and domestic investment banks, and 15 key international and domestic institutional investors. The survey provides an effective verification on which valuation method is the most appropriate for Chinese commercial banks. In the study, we performe both in-depth analyses of individual cases and multi-cases analysis, and have taken into account both the practical background and the actual implementations of the valuation methods.Due to the uniqueness of the banking industry, there are not many ready-made theory and literatures for reference. Some of the views elaborated in this article are exploratory and still need further study. This article discusses the influencing factors of pricing by theory, case study and statistical analysis. To what degree would these factors influence pricing are not analyzed by strict empirical research. We intend to focus on the question in the follow-up studies.更多还原