【作者】 高学哲；

【导师】 文启湘；

【作者基本信息】 西安交通大学 ， 产业经济学， 2006， 博士

【摘要】 上市公司是证券市场的基石,上市公司的稳健经营、持续发展直接推动证券市场的健康运行。证券市场作为资源配置的重要市场,直接影响资本的配置效率。一个社会经济的长期稳定发展需要资本品与劳动力的持续投入,公司作为资本品与劳动力投入经济社会的基本单位,其价值确定直接影响着投资者的投资意愿与公司的发展。公司价值定价的合理性通过影响投资者的投资意愿进而影响着一个社会的投资水平,而投资则直接影响着经济增长,同时合理的定价水平也会影响公司的筹资意愿,从而影响社会资本的形成,而证券市场的IPO定价,对公司、证券商和投资者均具有非常重要的意义。新中国股市从1990年正式运行至今只有短短十余年的历史,然而我国股市却经历了发行制度、定价方法、二级市场交易制度、信息披露方式等股市基本制度的一系列频繁而又重大的变革。其中股票首次发行(IPO)定价方式与方法的改进是我国股市制度中问题最多、变化最大、进步最快的制度变革之一。IPO发行从2005年4月由于股市持续下跌而被政府叫停,以期改善股市供求关系来阻止股市下跌。然而笔者认为中国股市在经济持续增长背景下长达4年多的下跌不是供求关系失衡造成,也不是普遍认为的国有股流通问题导致的必然结果;而是股票价格长期高于其内在价值的必然回归。这是本论文的结论之一。2001年股市下跌以来,三万亿市值的社会财富灰飞烟灭,流通股股东财富损失超过一万亿元。以国有股流通为导火索的股市大跌第一次使中国的股市参与者真正开始考虑股票(公司)的价值问题。几年来伴随着股市的下跌,虽然人们一直在思考股票价值问题,然而经过股市长期下跌直至1000点的时候,股市的主要力量却仍然对中国股市价值没有信心,陷入“价值迷茫”状态。笔者此时对股票(公司)价值及IPO定价相关问题进行理论上的探索和现实的思考,对中国证券市场的IPO定价提供了理论支持,具有一定的理论意义;在我国股市定价较为混乱、“价值迷茫”的今天,对发行公司、广大机构投资者与散户投资者、投资银行等在资本市场的融资活动具有实践方面借鉴作用,同时能强化包括二级市场在内的整个股票市场以价值定价的理念,因而具有重要的现实意义。笔者希望本论文为中国股票市场的健康发展尽绵薄之力。论文从公司价值的角度对IPO定价方法、定价方式(制度)、定价效果三个方面进行了研究。依据公司价值理论的发展逻辑,笔者首先从公司价值及定价的相关理论开始,讨论了定价的基础理论,并结合我国证券市场的实践,提出在一定条件下,适当提高公司资产负债率可以增加公司理论价值与市场价值的观点。公司价值理论与理念贯穿整个论文,是本论文的基石。定价方法(模型)有多种,较为成熟及常用的主要包括现金流贴现法、相对价格法以及期权定价法三种。我国上市公司IPO定价的方法并不缺乏,欠缺的是对定价模型适用条件的研究。本论文对定价模型及其参数涵义、模型适用性进行了应用性研究。通过对各种股价模型的特点与适用条件进行的详细分析与比较,得出股利现金流贴现模型是对我国上市公司定价的适用方法。公司价值相关理论揭示了影响公司价值的基本因素,这些因素对公司价值的作用最根本、最稳定,它们虽然不能确定公司价值的具体价格,但却决定着公司估价模型的选用与模型参数的取值。论文研究了这些影响公司价值的基本因素,提出并论证了垄断竞争的股权结构与公司价值显著正相关的新观点。研究公司价值理论与公司定价模型的目的是确定公司的理论价格,而适合证券市场的定价方式能够在公司内在价值的基础上反映市场供求关系,找出反映公司价值的市场价格。论文研究公司IPO定价的理论及模型应用后,对中国股票市场的定价方式(制度)进行了系统梳理,分析了我国证券市场发行制度的演进模式,及曾出现的各种定价方式对证券发行市场、投资者等的影响,进而指出它们的缺陷及改进方法,探明了以后我国IPO发行定价方式的改革方向:以市场定价为基础,证券发行参与人(发行公司、投资者、投资银行)为主导,政府尽快淡出。最后论文以实证分析的方式对公司IPO定价的效果进行了研究。除了从抑价角度对中国证券市场的IPO定价效果进行分析外,笔者还以公司价值为基础,从IPO偏离度视角对IPO定价进行了较为深入的研究,实现了研究方法的创新。研究结果表明:中国IPO定价抑价与溢价并存。通过进一步分析,笔者首次提出并论证了我国股票市场IPO定价及二级市场价格均显著高于理论价值的根本原因是政府对股票发行供给与IPO定价双重管制的新论点。更多还原

【Abstract】 The company value and the pricing relates the multitudinous members of different social classes’s economical benefit, develops the very important function to the entire social economy. The social economy long-term stable development needs the capital and the labor force continue to put. The company value directly affects investor’s wish. The company value pricing rationality through affecting the investor wish affect one society’s investment level, then affects the economical growth.The IPO pricing is the focal point which the multitudinous economic theory and the author pays attention to, and forms the company value and the pricing related theory. However these theories all are conduct the research from the different angle to the company value. The application stronger theory system until now do not have the formation. The company value until now puzzles the multitudinous investor, specially China’s investor.The stock market of new China operating formally since 1990 has been more than ten years. The stock market of our country has gone through the issuing system , a series of frequent and great changes in basic systems of stock market such as pricing method , second marketing system , information announcing way ,etc..IPO pricing and mechanism change most heavy among them.My research and realistic thinking to the stock value and pricing relevant problems at this moment, offer theory support to IPO of China’s securities market, have certain theory meanings; Today when " value is impuzzling ", the study of the thesis is important to issuing company , the masses of institutional investor and the individual investor , investment bank, strengthens the whole stock market including secondary market with the idea of value pricing at the same time, therefore has important realistic meanings. I hope to try my best for the sound development of the stock market of China in a thesis.The author first started from the company value and the pricing related theory, to discuss the pricing basic theory, proposed that suitably enhancing company debt rate may increase company value and market value. The company value theory and the idea passes through the entire paper, is this paper cornerstone. The pricing method has many kinds of apearane. Maturer and commonly used methods mainly include the DCF mathod, the relative valuation method and the option pricing method. Our country does not lack to the IPO pricing method, is short of suitable reseach to the pricing model. The paper has conducted application the research. Through suitable the multianalysis to each kind of pricing model characteristic which the condition carries on and compares, I concluded that the DCF a suitibal model for our market.The company value theories find company value fundamental factor having influence on company value, these factors are basic, stablest. They although could not determine the precise price, but actually decided model parameter, the model selection and the model parameter value. The paper analyzed these fundamental factors. The study of value theory and the pricing model to confirm the theory prices of the company. The pricing mechanism suitable for the security market can reflect the supply-demand relationship of the market on the basis of company’s inherent value, and can find out the market price which reflects company’s value. The paper has analyzed the gradual progress of issing system of our country, and various pricing way impacting on the issuing market. At last, the paper conclude: Based on market price, participating people (issue company, investor, investment bank) take as the leading factor in securities issue , the government fades out as soon as possible.The paper conducted the research by the real analysis way to the company IPO pricing effect finally. Besides carrying on the analysis from the underpricing angle to the Chinese securities market IPO pricing effect, the author also take the company value as the foundation, conducted more thorough research from the Chinese IPO premium angle to the IPO pricing. The research conclusion indicates: The Chinese IPO underpricing coexists with the premium.Through further studying, the paper conclude: The IPO price is much higher than the theory value. It’s basic reason lies in the stock issuing supplies and the IPO pricing controling of the government.更多还原