【作者】 孙自愿；

【导师】 王化成；

【作者基本信息】 中国矿业大学 ， 管理科学与工程， 2009， 博士

【摘要】 资本市场IPO领域普遍存在两种“异象”——发行价格被明显低估带来的高初始收益率,以及随后的长期弱势表现,这些异象被理论和实务界称为“IPO之谜”。尽管很多国内外学者进行了大量相关研究,发现中国IPO初始收益率连续多年创世界之最,甚至时至今日,IPO长期表现的强弱势之争尚相持不下。本文研究的对象正是着眼于新股从发行到上市首日,再到上市后3年期间,其价格的变化过程。拟回答以下几个关键问题:纵观一级发行市场中IPO发行制度的数次变革,IPO发行是否存在“价格低估”,其是否是导致IPO高初始收益的主要因素?二级市场中诸如投资者情绪等因素如何导致首日股价高涨,进而造成IPO首日高溢价?中国A股市场IPO长期弱势是否存在,其是否是IPO高初始收益的反向运动,如何对其加以解释?首先,本文通过国内外研究综述,阐述了各国IPO实践历程和IPO首日和长期价格行为的研究成果,并确定了研究方向和内容:论文重心在于从一级市场抑价和二级市场溢价两个环节来分解中国的IPO首日高收益问题,系统阐述A股高初始收益率是一级市场抑价和二级市场溢价的混合体,并通过首日溢价之后随着价格的回落所引发的IPO长期显著弱势,验证溢价现象的存在。其次,基于制度变迁的视角论述了一级市场IPO抑价问题。首先从理论上归纳总结了发售机制、审批制度、定价制度的变迁,对IPO抑价的影响。接着以1996年至2006年间的A股1098家IPO公司为样本,通过子样本的划分和收益测度方法的选择,对一级市场抑价率进行实证检验。发现,如果发行中存在市盈率管制,致使发行价人为压制,将产生一级市场的高抑价率,但一级市场抑价随着新股发行制度的市场化进程而显著降低。随之加入具有“中国特色”的政府管制和股权分置因素对IPO一级市场抑价率进行单变量分析和多元回归,发现政府管制造成一级市场发行价格确定的低效性,“股权分置”扭曲了正常的市场利益机制,割裂了一、二级市场的套利行为,进而导致更高的一级市场IPO抑价率。再次,从行为金融学视角分析了二级市场IPO溢价问题。在考虑A股二级市场卖空限制因素的基础上,通过数理模型演绎了溢价现象的形成机理。实证部分通过因子分析等方法构造了包括市场情绪指标、封闭式基金折价率、市值账面比等在内的更为完备的投资者情绪指标体系,并创造性地以上市首日剩余换手率来衡量投资者之间的意见分歧程度(异质信念),构建了二级市场IPO溢价率模型。实证研究发现,投资者情绪和异质信念因素可以更好地诠释中国资本市场长期存在的首日高溢价现象,进而对整体IPO初始收益率和初始超额收益率存在显著影响,但异质信念因素对一级市场抑价率没有显著影响。换言之,数理推导和实证检验都论证了股票二级市场中存在的严格卖空限制和狂热的噪声交易者是造成二级市场高溢价的重要原因。最后,为了进一步完整地考察IPO首日高溢价的后市表现,第7章选用中国A股市场985支IPO股票数据作为样本,研究其上市后三年内的市场表现。利用累积异常收益率法(CAR)、购买并持有异常收益率法(BHAR)和CAPM模型衡量IPO股票的长期走势。三种方法一致表明,样本考察期间中国A股IPO的长期收益表现弱于市场指数的表现,存在长期显著弱势的特征,且呈现出对首日溢价的反转态势。通过进一步引入分解后的收益波动率作为衡量异质信念的指标,发现异质信念与长期弱势存在相关性。本文主要贡献在于结合A股市场“发行制度变迁”、“卖空限制”、“狂热投资者情绪”以及“异质信念”等因素,对A股IPO的一级市场抑价、二级市场溢价以及长期表现弱势进行系统研究,发现了造成中国新股高初始收益现象的根本原因在于二级市场中的“价格高估”,而不是一级市场的“价格低估”,这与成熟市场的IPO价值低估现象具有本质区别。更多还原

【Abstract】 Two types of“anomalies”are prevalently existed in IPO area, that is, high initial return caused by obvious underestimate of issue price and subsequent long-term underperformance. These "anomalies" are called by both theoretical circles and practical circles as“the puzzle of IPO”. Although lots of scholars in and out of our country have made many researches about them, they just have found Chinese initial return of IPO creating a world record for several years but the long-term performance is also a debate. The study object of this paper is the change process of IPO price from the offering to first-day and post-listing that covers a long period of time(three years), which aiming at answering following key questions:During numbers of transformation of issue system in primary market is IPO underpriced? And is it the main cause of IPO high initial return?How do factors such as investor sentiment lead to the high rise of first-day price in secondary market, which means IPO high initial return.Whether IPO long-term underperformance exists? Whether it is the opposite movement of high initial return, and how to explain it?Firstly, by literature reviews, this paper introduces the course of IPO practice in many countries as well as the study production of IPO first-day and long-term price. Research direction and content of text are also confirmed in this part. The core of the paper is analyzing Initial Return in China from two aspects: underpricing in the primary market and overpricing in the secondary market. On this basis, expounds systematically that IPO high initial return is a combination of underpricing and overpricing. Then, paper examines the existing of overpricing by IPO long-term underperformance caused by drop of initial return.Secondly, this paper discusses the problem of IPO underpricing in the primary market from the view of development of system. At the beginning, it summarizes the influence to underpricing of development of issue, examination and approval, as well as pricing systems. Then, it selects 1098 IPO samples from 1996 to 2006 listed in A-Share market and tests their underpricing rate by dividing samples into groups and selecting return measurement methods. We find, if limit of issue P/E Ratio existed in issue process, prices are often lowered, and high underprcing rate will arise. But the degree of underpricing decreases obviously with the improvement of primary market. After that, adding factors: issue regulations and equity separation, which are both unique characteristics of China in univariate analysis and multiple regression analysis, we find that government regulations and equity separation lead to mispricing of IPO in primary market.In the third part of this paper, we analyze the problem of IPO overpricing in secondary market from the view of Behavioral Finance. Considering the existing of strict short sales constraints in A-Share secondary market, the form mechanism of overpricing is deducted by mathematical models. In Empirical test, a complete indicator system including indicator such as investor sentiment, closed-end funds discount and market book ratio is constructed using factor analysis method. Creatively, an overpricing model is constructed by using first-day residual turnover to measure heterogeneous beliefs. The finding is, market sentiment and heterogeneous belief are the major factors of IPO overpricing in secondary market,and they also have great effect on the whole IPO initial return and IPO initial abnormal return. But heterogeneous belief has no effect on underpricing in primary market. In a word, both mathematical deduction and empirical test confirm strict short sales constraints as well as noise traders are the main factor of high overpricing in secondary market.Finally this paper investigates the long-term share price performance of 985 A-share IPOs in Chinese A-Share market. And significant long-term underperformance is found for CAR, BHAR, CAPM three methods. Introducing heterogeneous beliefs into long-term performance research, and interpreting early-market return volatility as a proxy for heterogeneous beliefs about a stock, we find that it is related to subsequent IPO long-term abnormal returns.The main contribution of this paper is to investigate the problems of IPO underpricing, overpricing and long-term underperformance systematically, with the consideration of development of issue system, short sales constraints, investor sentiment and heterogeneous belief, etc. We find, the main reason of high initial return in Chinese A-Share market is overpricing in secondary market, rather than underpricing in primary market, which is obviously different from mature capital market.更多还原