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论文编号：	14143
作者编号：	2120213349
上传时间：	2023/6/14 23:43:25
中文题目：	注册制对定价效率的影响及其作用机制研究
英文题目：	Study on the effect of registration system on IPO pricing efficiency and its mechanism
指导老师：	马连福
中文关键字：	注册制；定价效率；投资者行为；询价制度；承销商跟投制度
英文关键字：	registration-based initial public offering (IPO) system; Pricing efficiency; Investor behavior; Inquiry system; Underwriters follow the investment system
中文摘要：	2023年2月1日，全面实行股票发行注册制改革正式启动，标志着我国市场化改革又一新的里程碑。注册制改革在中国资本市场深入发展的背景下应运而生，承载着经济的可持续发展和资源的优化配置的使命。提高股票市场定价效率是促进股票市场健康、稳定、快速发展的重要举措，对于实现经济发展、保护投资者权益、增强市场竞争力以及推动资本市场国际化具有重要的意义。但是注册制实施以来，新股发行市盈率屡创新高，新股破发也呈现常态化的趋势，注册制下新股发行价格是否合理的问题再次引起市场各方的关注和忧虑。本文对于注册制对定价效率的影响以及作用机制进行深入研究，研究结论可以评估改革措施的有效性和成效，更好地推进全面注册制改革的落地，对于资本市场的未来发展具有重要的参考价值。 本文选取了从2020年1月6日至2023年3月3日的沪深两市所有A股上市的1210家公司的数据为研究样本，其中注册制公司838家，核准制公司373家，实验检验了注册制改革对于新股发行定价的影响。首先对关于IPO抑价之谜的理论进行梳理研究，并对研究发行制度对定价效率的影响的国内外文献进行归纳梳理，为后续的理论研究奠定理论基础。接着基于基础回归模型，对注册制对定价效率的影响效果进行实证检验，实验结果显示，注册制的实施确实显著提升了新股发行的定价效率。并且对基础模型进行稳健性检验，更换定价效率的衡量指标后模型依然显著，且均通过了PSM检验、多重共线性检验、分样本回归和tobit回归。 现有文献仅限于讨论注册制对于定价效率得影响，其中的作用机制方面的研究文献暂缺，为了了解黑匣子中的影响途径，本文进一步探究注册制对于定价效率的作用机制。本文选取和发行有关的投资者理性、市场化询价制度和承销商跟投制度三个影响新股定价效率的方面入手。研究结果显示：（1）注册制的实施提高了投资者理性，进而提高新股定价效率。（2）注册制实施的市场化询价制度降低了询价机构的过度竞争，进而降低定价偏误，提高定价效率。（3）注册制实施的承销商跟投制度促进承销商与投资者的利益一致，提高新股定价效率。本文进一步进行异质性检验，从券商声誉、上市等待期和市场情绪三个角度研究在各个特征不同的情况下，注册制对定价效率的影响程度是否发生变化。研究表明在券商声誉更高，上市等待期更长和市场情绪高涨的时候，注册制对于定价效率提升的作用更明显。 文章深入研究注册制对于定价效率的内在作用机理，补充现有文献空缺，并提出针对性政策建议：（1）政府监管部门应优化券商跟投制度，坚定不移地推动全面注册制改革的落地，加强对注册制所涉及的信息披露、投资者保护等方面的监管力度；（2）发行公司应做好投资者关系管理加强信息披露。（3）券商应提高自身的业务水平和定价能力，充分履行资本市场“看门人”职责（4）投资者应加强金融常识教育，提高风险意识，进行理性投资，坚持长期投资理念。
英文摘要：	February 1, 2023, the full implementation of the stock issue registration system reform officially launched, marking the country's marketization reform another milestone. The reform of the registration system came into being under the background of the in-depth development of China's capital market, carrying the mission of sustainable economic development and optimal allocation of resources. Improving the pricing efficiency of the stock market is an important measure to promote the healthy, stable and rapid development of the stock market. It is of great significance to realize economic development, protect investors' rights and interests, enhance market competitiveness and promote the internationalization of the capital market. However, since the implementation of the registration system, the price/earnings ratio of new shares issued repeatedly hit a new high, and the breaking of new shares also presents a normal trend. The issue of whether the price of new shares issued under the registration system is inflated has again aroused the attention and worry of all parties in the market. This paper conducts an in-depth study on the impact of registration system on pricing efficiency and the mechanism of action. The research conclusions can evaluate the effectiveness and effect of reform measures, and better promote the implementation of comprehensive registration system reform, which has important reference value for the future development of the capital market. In this paper, data of all 1210 A-share listed companies in Shanghai and Shenzhen Stock exchanges from January 6, 2020 to March 3, 2023 are selected as research samples, among which 838 companies are registered and 373 companies are approved, and the impact of registration system reform on IPO pricing is experimentally tested. First of all, the theory of IPO underpricing mystery is sorted out and studied, and domestic and foreign literature on the issue system's effect on pricing efficiency is summarized and sorted out, to lay a theoretical foundation for the subsequent theoretical research. Then, based on the basic regression model, the empirical test is conducted on the effect of registration system on pricing efficiency. The experimental results show that the implementation of registration system has indeed significantly improved the pricing efficiency of new issues. Moreover, the robustness test of the basic model shows that the model is still significant after changing the measurement index of pricing efficiency, and all of them have passed the PSM test, multicollinearity test, subsample regression and tobit regression. The existing literature is limited to discussing the impact of registration system on pricing efficiency, and there is a lack of research literature on the mechanism of action. In order to understand the influence of black box, this paper further explores the mechanism of registration system on pricing efficiency. This paper starts with three aspects that affect the pricing efficiency of new shares: investors' rationality, market inquiry system and underwriter's follow-up system. The results show that: (1) the implementation of registration system improves investors' rationality, and thus improves the pricing efficiency of new shares. (2) The market-oriented inquiry system implemented by the registration system reduces the excessive competition of inquiry institutions, thus reducing pricing bias and improving pricing efficiency. (3) The underwriter and investment system implemented by the registration system promotes the alignment of interests between underwriters and investors and improves the pricing efficiency of new shares. In this paper, the heterogeneity test is further conducted to study whether the degree of impact of registration system on pricing efficiency changes under different characteristics from the perspectives of securities reputation, listing waiting period and market sentiment. The research shows that the registration system plays a more significant role in improving pricing efficiency when the reputation of securities firms is higher, the waiting period for listing is longer and the market sentiment is high. This paper delves into the internal mechanism of registration system on pricing efficiency, complicates existing literature gaps, and puts forward targeted policy suggestions: (1) The government regulatory authorities should optimize the securities investment system, unswervingly promote the implementation of comprehensive registration system reform, and strengthen the supervision of information disclosure, investor protection and other aspects involved in registration system; (2) The issuing company shall do a good job in investor relationship management and strengthen information disclosure. (3) Brokerages should improve their business level and pricing ability, and fully fulfill the role of "gatekeeper" of the capital market. (4) Investors should strengthen financial common sense education, improve risk awareness, rational investment, and adhere to long-term investment concept.
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