【作者】 朱良君；

【导师】 蓝发钦；

【作者基本信息】 华东师范大学 ， 金融学， 2010， 硕士

【摘要】 中国的证券市场当前已经进入“转轨”阶段,上市公司是股票市场中主要的参与者之一。一个普通公司想成为上市公司,就要达到一个要求。这个要求。从宏观上可以说是公众对这家公司的认可;从微观上就是目前中国监管机构设置的一道道。门槛。一个公司一旦在微观上跨越了这些门槛,就有了上市的资格,那么接下来就是如何合理地发行股票从而更有效地募集资金了。这个时候,发行股票的定价就成了关键问题。现实中的中国股票市场,一个新上市公司发行新股,或有整个体系非市场化的种种缺陷,或有供需双方的信息不对称,导致在新股发行的时候,价格确定成了最大的争议,由这个争议引发的种种问题也成了目前中国股票市场理论研究的标的。上市公司的基本目标是使股东的价值或权益最大化。公司的内在价值来源于公司特有的竞争优势,以及在此基础之上识别和实施有价值的投资机会,并将其转换成未来的收益能力。进行IPO的公司与潜在投资者交易的就是公司一定比例的未来收益的现值。IPO定价就是识别、评价企业独特的竞争优势与核心能力,依据价值原理对其进行评估,将对业绩的预测转换为定量的股票价格,并有效地传达给资本市场的过程。中国上市公司IPO价格确定一般有两个阶段:首先是发行人配合主承销商根据一定的估价模型或者数量分析确定公司内部价值的参考价格,我们在上一点里已经全面地对估价模型作了详细的论述;接着,主承销商根据具体情况选择合适的新股发行方式,使最终确定的发行价格充分反映市场需求情况。而这就是上市公司IPO的发售机制。对于IPO定价问题的分析和解决,中国仍局限于采用可比公司模型,利用以市盈率为主的影响因素进行分析和类比定价。虽然对于目前这一方法在中国的学术研究方面仍有一定的作用,但是大量研究表明,市盈率沿用的原因并不是它的优点,而是目前中国的股票市场的实际情况满足不了比较合理的定价模型的假设、定义和模型数据的选取。研究这些问题和根本原因,对于我们找出解决IPO定价问题的方法路径将会有极为有益的启示。在上市公司IPO过程中,要涉及到包括投资者、发行公司及承销商三方的利益博弈,主要表现为:如果新股定价过高,可能导致新股上市当天就跌破发行价,这势必影响到投资者的利益,同时也给券商的声誉以及以后的承销业务带来了风险;反之,如果新股定价过低,新股上市当天收盘价机会显著得高于发行价,我们称之为IPO抑价。投资者从IPO抑价中获得的首日开盘的超额收益成为目前扭曲整个中国股票市场整个投资氛围的主要因素。在目前中国证券市场处于建立和构造规范化制度体系的历史转折时期,在中国经济和资本市场的市场化改革进程中,政府监管部门需要对证券市场制度安排的整体框架和发展前景有充分和全面的掌握,有一个可行的发展战略和计划安排。在这种对发展前景充分把握的前提下,充分行使权威性的政策监管职能,依照现有的市场制度和即将进行的制度安排,注重保持监管的规范化和连续性,针对违反制度安排的市场行为严格执行法律法规利有关规则,从而在市场中逐步培育出遵守市场制度包括法律、法规等各项规则的市场参与主体。2009年6月17日随着股票市场的第七次IPO重启,一些具体的改革措施已经逐渐在慢慢改变并调整着整个市场的气氛。然而,真正的制度残缺并没有在本次改革中解决:第一,流通股比例过低;第二,流通股发行规模太小,股票供应不足导致发行市盈率过高;第三,因限售而留给未来的“大小限”问题;第四,首日不设涨跌停引发的爆炒新股问题;第五,发行节奏实质上仍由行政控制的非市场化问题。这次改革致使象征性的对中小投资者作了一点让步,把五大核心问题留给了未来。更多还原

【Abstract】 Currently, the stock market in China is transferring to a different track. The listed companies have become the main participants in the stock market. If a common company wants to be public listed, he must reach a requirement .Regarding this requirement, it is an approval for the listed company by the public from the point of macroscopic view; it is one and one doorsill which set up by the Chinese regulatory administrations from the point of microscopic view. Once this company steps across this doorsill from the microscopic view, he will get the listed qualification and the following work for him is how to issue stocks reasonably, collect funds effectively. At this time, fixing the price of the issued stock becomes a crucial problem. In the reality of Chinese stock market, there will be some problems for a newly-listed company issue the new stock, such as various defects by non market-oriented of the whole system, or the dissymmetrical information by the both sides of supply and damand.These problems lead to the fixed price becoming the greatest controversy and this controversy also take some following problems which have been the bids for the Chinese stock market research theory at the present time.The fundamental goal for the listed companies is to maximize the stockholder’s value or benefits. The internal value of the company comes from the company’s own special competitive advantage; the investment opportunities distinguished and executed on the basis of the advantage, furthermore, the earnings capabilities by the transferring in the future. The deal between the companies which execute IPO and the potential investors is the present value of the company’s future profits in a definite proportion. The IPO pricing is a process which is to distinguish and comment the company’s own special competitive advantage and core capacity; to evaluate according to the value theory; to predict the future performance which change to the quantitative stock price and transfer it to the capital market effectively.Generally, there are two steps for IPO pricing of the Chinese public listed companies. First, the issuer cooperates with the lead underwriter to fix the conference price of the company internal value according to a certain evaluation mould or quantity analysis. We state the detailed evaluation mould completely in the above. Then, the lead underwrite will determine the appropriate issuing method per as the real condition to fix the price which can fully reflect the market demands. This is the IPO issuing mechanism by the listed company.Regarding the analysis and settlement of the IPO pricing, China is still restricted to the comparable company mould, and use the factors greatly influenced by price/earning ratio to analyze and analog the pricing. There is some certain effect in current China, but many researches show that the reason of price/earning ratio is being used is not because of its advantages; it is because of the current situation in China. The current stock market situation cannot meet the requirements of the reasonable pricing mould, including the assumption, definition, the date’s choice of the mould. Researching these problems and basic reasons will help us a lot to find out the way of IPO pricing.The procedure of the IPO for the listed companies will involve three parties’ benefits game playing, including investors’, issuer companies’, and underwriters’. The actions are as follows : if the newly-issued stock is overpricing ,it will falls below the issuing price on its initial day of trading, it indeed will influence the investors’ profits and hence even spoilt the underwriter’s fame and bring the risk of underwriting in the future; On the contrast,if the newly-issued stock is underpriced , there will be more chances that the new stock’s closed price will be higher then the open price. We call this as controlled price. The significant gain for investors on its initial day of trading form the IPO controlled price has been the important factors which twisted China’s whole stock market investment atmosphere currently.In this transferring stage of building and forming the standardized systems and rules in current China’s securities market ,with the marketization process of China’s economy and capital market, our regulatory administrations should maser the overall frame and development prospect of the securities market system fully and completely ,and make a practical development strategy and plan arrangement. On the premises that are confident with the development prospect, they should take the administrative and supervised functions fully. According to the current market system and would-be arranged system, they also should pay great attention to the standardization and continuity of the supervision. For the market actions which violate the system arrangement, they should execute per as the law and rules strictly. In this way, there will be the main parties who are trained to obey the laws, rules and other regulations in the market system step by step.Followed the seventh generating of IPO in the stock market on June 17th ,2009,some detailed reform measures are being changed step by step and the whole market atmosphere is also being adjusted.However ,the real system defects are not solved in this reform: first , floating stock ratio is quite low;second,the floating stock scale is too small ,and the price/earning ratio is so high by the stock short supply;third,there is still the left "great/small limitations" for future caused by the limited selling; forth , the issue of playing with the new shares by the un-set up and down price in the first day; fifth ,there is the non market-orient issue that the IPO issuing step is still being controlled by the administration actually .This reform just symbolically yield to the small investors and leave the main five core issues to the future.更多还原