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论文编号：	3939
作者编号：	1120070703
上传时间：	2011/12/8 10:26:56
中文题目：	询价制度安排、询价对象信息显示与IPO抑价
英文题目：	Book-building System Arrangement, Information Revealing of Inquired Objects and IPO Underpricing
指导老师：	刘志远
中文关键字：	询价制度，信息显示，IPO抑价，IPO“破发
英文关键字：	Book-building system, Information revealing, IPO underpricing, Break issue
中文摘要：	2005年1月1日起，我国首次公开发行股票（IPO）开始正式采用向机构投资者询价的方式确定发行价格。引入询价制度的目的是在发行价格形成之前收集机构投资者掌握的新股价值信息，并将这一信息反映在发行价格上，从而提高定价效率。新股定价效率能否提高的关键在于参与询价的机构投资者（询价对象）是否有动力显示信息以及会显示哪些信息。询价制度实施以来历经了两次阶段性改革，本文以制度变迁为研究视角考察询价制度安排的变化对询价对象显示公司市场价值信息动力的影响，进而解释每次改革前后IPO抑价率整体变动的原因。然后将新股市场价值信息划分为内在价值信息（包括公司增长潜力信息和风险信息）以及市场环境信息（包括IPO时市场气氛信息和新股市场供给信息），分析询价制度具体安排是否有效激励了询价对象显示新股内在价值信息而非市场环境信息，进而从制度安排层面解释IPO抑价率公司间差异的原因。最后，本文在上述研究的基础上，从询价制度安排的视角剖析了IPO抑价的特殊情况——“破发”的影响因素和后果。本文共分七章，各章的主要内容如下。第一章导论，在介绍本文研究背景的基础上提出研究问题、说明研究意义以及研究方法并指出文章创新之处。第二章文献综述，回顾了国外和国内相关研究的进展情况，并通过对相关文献的简要述评，进一步说明本文的研究问题。第三章制度背景分析，梳理了我国发行制度变迁历程，归纳了我国询价制度安排的主要内容以及阶段性改革对询价制度具体安排的调整情况，最后分析了我国询价制度安排的特点。第四章理论分析与研究假设，根据信息不对称、博弈论和市场微观结构等基础理论构建了本文的理论研究框架，然后在理论分析的基础上提出了相关研究假设。第五章实证检验与结果分析，对第四章提出的研究假设进行检验并通过对检验结果的分析得出相关研究结论。第六章IPO抑价的次类研究——IPO“破发”，根据第五章得到的研究结果从发行制度安排视角考察IPO“破发”的原因以及“破发”对中小投资者利益的影响。第七章总结文章的研究结论，提出政策建议并指出文章研究的局限性以及未来进一步研究的方向。通过本文的研究和分析，主要得出以下研究结论：（1）在询价制度第一阶段改革之后，IPO抑价程度明显降低，证监会取消发行市盈率窗口指导是IPO抑价率整体降低的前提，而制度改革对询价对象信息显示激励的增强是IPO抑价率整体降低的根本原因。同时发现在询价制度第一阶段改革后，询价对象仍然存在隐藏信息的情况。（2）询价制度第二阶段改革未能在第一阶段改革的基础上进一步激发询价对象信息显示动力。总体看来，现有询价制度安排未能有效激励询价对象在询价过程中显示信息。（3）在三个月锁定期规则限制下，询价对象通过询价获得的新股具有“存货”的性质，从而促使询价对象更加关注发行公司的增长潜力，而在锁定期以及新股申购和配售规则的限制下，询价对象受市场环境影响较小。这些制度安排对询价对象显示公司内在价值信息具有积极的影响。同时还发现，由于询价对象自身抗风险能力较强，显示的信息中包含较少的发行公司风险因素，这限制了发行价格体现公司内在价值的能力。（4）基于询价制度安排的视角，新股“破发”原因有四：第一，由于现有制度安排未能有效激励询价对象显示新股市场价值信息，导致经询价确定的发行价格不能对承销商设定的初步价格作出有效调整，个别承销商基于自身利益考虑在询价之前设定较高的初步价格，导致发行价格高于上市后新股市场价格；第二，在锁定期以及新股申购和配售规则的限制下，询价对象关注发行公司增长潜力而受IPO时市场环境影响较小，导致在极端情况下，对于高增长潜力的公司以及IPO时市场气氛低迷的公司，发行价格高于上市后市场价格；第三，由于锁定期以及新股申购和配售规则的限制，在市场气氛低落时大量批准IPO项目对询价对象影响较小，却易引发二级市场的“羊群效应”，在极端情况下造成新股“破发”；第四，由于询价对象自身抗风险能力较强，导致锁定期制度未能有效促使其关注发行公司风险，询价对象在极端情况下高估了高风险公司的市场价值，进而造成上市首日“破发”。（5）在新股频频“破发”的市场环境下，尽管询价制度安排限制了参与网上申购的机构投资者利用资金优势进行“择股”的能力，但这些机构投资者还是利用了信息优势在网上申购中进行“择股”，将申购 “破发”新股遭受投资损失的风险转嫁给了中小投资者，导致中小投资者面临着“赢者诅咒”。 文章的创新之处主要体现在三个方面：一是对我国特殊的询价制度安排进行了细致的分析，考察了这些制度安排对IPO定价效率的影响，拓展了信息收集理论；二是通过考察询价制度安排对询价对象信息显示动力和信息显示内容的影响，本文检验了我国询价制度实施以来的运行效果，并有针对性地为新股发行制度未来改革提供政策建议；三是从询价制度安排角度分析了新股“破发”的原因和对中小投资者利益的影响，对现有IPO抑价问题研究作出了有益的补充并发现我国IPO市场已存在“赢者诅咒”问题。
英文摘要：	The book-building system has been adopted to find the issue price of new shares in China, since January 1, 2005. The purpose of introduction of book-building system is to collect information about the value of new shares possessed by institutional investors before setting the issue price, and to make the issue price reflect the implications of information collected, thus to improve the IPO pricing efficiency. Whether the IPO pricing efficiency can be improved mainly depends on whether the institutional investors (inquired objects) have the impetus to reveal information and what information they will reveal. The book-building system has gone through two reforms up to now in China. Firstly, this dissertation explores the effect of the reforms of book-building system arrangements on impetus of the inquired objects to reveal the information about the market value of companies in light of institutional transformation, and then explains the reasons that the IPO underpricing degree variation before and after each book-building reform. Secondly, this dissertation divides the market value information of new issues into intrinsic value information (including information about growth potential and risk of companies) and market environment information (including IPO market sentiment information and IPO market supply information), and analyzes whether the specific arrangements of book-building system stimulate the inquired objects to reveal the information about the intrinsic value of new issues effectively rather than market environment information, and thus provides the explanation for the differences of IPO underpricing degree between companies in light of the institutional arrangements. Finally, based on the above study, the dissertation explores the influencing factors and consequences of a special case of IPO underpricing，namely the break issue, in light of book-building system arrangements. This dissertation consists of seven chapters, and the main content of each chapter are as follows. Chapter one gives an overall introduction. This part puts forward research questions based on the introduction of research background, the implications of this research and research methods，meanwhile indicates the innovations of the study. Chapter two is the review of the literature. This part provides a review of home and abroad related research, and further addresses research questions of this study through brief review on the relevant literature. Chapter three is the analysis of institutional background. This part presents the reform progress of issuing systems of China in history, sums up the main content of book-building system arrangements and the adjustments of book-building system arrangements due to interim reform, and then analyzes the characteristics of book-building system arrangements of China. Chapter four is theoretical analysis and research hypotheses. Basing on the theory of information asymmetry, game theory and market microstructure theory, this part formulates the theoretical research frame and develops the related research hypotheses. Chapter five is empirical test and results analysis. This part tests the research hypotheses through empirical analysis method and draws conclusions based on the analysis of the empirical results. Chapter six is the research on subclass of IPO underpricing, that is research on the break issue. Basing on the prior research conclusions from chapter five, this part explores the causes of the break issue and the effect of break issue on the benefits of retail investors in light of issuing system arrangements. Chapter seven concludes the dissertation, provides some policy proposals, and indicates the limitations and future research directions of the study. Based on the research and analysis, the major conclusions of this dissertation are as follows: (1) The degree of IPO underpricing had been reduced significantly after the first stage of book-building reform, and the abolition of SEC's window guidance of PE ratio sets preconditions of the overall decreasing degree of IPO underpricing, but the primary cause of the overall decreasing degree of IPO underpricing is the enhanced stimulation of revealing the information by inquired objects arising from the institutional reforms. Meanwhile, it is found that the behaviors of hiding the information by inquired objects still persist after the first stage of book-building reform. (2) The impetus of inquired objects to reveal information in the second stage of book-building reform has not been further enhanced on the basis of the first stage reform. Overall, the current book-building arrangements fail in stimulating the inquired objects to reveal the information effectively in the enquiry. (3) With the restriction of lock-up period of three month, the new issues obtained by inquired objects have the attributes of inventory, which urges the inquired objects to give more focus on the growth potential of issuing companies. Furthermore, with the restriction of lock-up period and rules of new share subscription and allocation, the influence of IPO market environment on inquired objects is smaller. These institutional arrangements have the positive effect on revealing the intrinsic value information of company by inquired objects. However, it is also found that the ability of issue price to reflect the intrinsic value of companies is limited because the risk-bearing capability of inquired objects is stronger and the information revealed contains less risk factors of issuing company. (4) The break issue may be due to the following four reasons in light of book-building system arrangements: Firstly, the current institutional arrangements couldn’t stimulate the inquired objects to reveal the information about the market value of new issues effectively, which causes the issue price determined after the inquiry not to adjust effectively for the preliminary price set by the underwriters and some underwriters may set a higher preliminary price before the inquiry in the interest of them, which may result in the higher issue price than aftermarket price of new issues; Secondly, with the restriction of lock-up period and rules of new share subscription and allocation, the inquired objects focus on the growth potential of issuing companies and are less influenced by market environment, which may result in higher issue price than aftermarket price for companies with high growth potential and poor market sentiment in extreme cases; Thirdly, with the restriction of lock-up period and rules of new share subscription and allocation, approving the large number of IPO programs in the poor market sentiment has a smaller influence on institutional investors but is more prone to trigger ‘Herd Behavior’ of aftermarket, which may result in break issue in extreme cases; Fourthly, the rule of lock-up period may not impel the inquired objects to focus on risk of issuing companies due to stronger risk-bearing capability of inquired objects, and this may cause the inquired objects to overestimate the market value of companies with high risk in extreme cases, which in turn may result in break issue. (5) Under the market circumstance where the phenomena of break issue arise frequently, although book-building system arrangements limit the ability of institutional investors involved in online subscription to utilize capital advantage to select stocks, the institutional investors make use of informational advantage to select stocks in the process of online subscription and the investment loss risk incurred in the subscription of break issues has been transferred to retail investors, which causes the retail investors to suffer ‘Winner's Curse’. The main innovations of this dissertation are as follows: Firstly, this study elaborately analyzes specific book-building system arrangements in China, explores the effect of these institutional arrangements on IPO pricing efficiency, and extends information collection theory; Secondly, through exploring the effect of book-building system arrangements on the impetus of the inquired objects to reveal the information and the content of information revealed, the dissertation examines the operation effect of book-building system of China, and provides some related policy proposals for subsequent reform of issuing system; Thirdly, based on the book-building system arrangements, this study analyzes the causes of break issue and the effect of that on the benefits of retail investors, which adds to the extant research on IPO underpricing. The study also finds that ‘Winner's Curse’ problem arises in IPO market of China.
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