中国股票发行定价研究

【作者】 卢铁男；

【导师】 潘英丽；

【作者基本信息】 华东师范大学 ， 世界经济， 2002， 博士

【摘要】 1990年以来，在中国经济高速增长和改革逐步深化的时代背景下，我国的股票市场在深度和广度上都有了质的飞跃，其在国民经济中的地位亦不断提升。然而我们必须清醒地看到，年幼的中国股市仍沉疴在身，“推倒重来”与“不能责备婴儿”等论调的激辩，让市场参与各方都开始正视现存的问题。 发行市场在股票市场中处于基础地位，发行价格的形成过程不仅反映了整个市场的成熟度，也是整个股票市场健康运行和效率提高的基础。我国股票发行市场虽然发展速度很快，但显形和隐性的行政控制及发行定价机制与定价方法的诸多缺陷，使其长期处于低效状态。一方面是严重的发行抑价与一二级市场间的无风险收益的存在，另一方面，在新股发行定价过程中，发行人、投资者和承销商之间关系被严重扭曲。发行上市变成了发行企业的“寻租”过程，过度“包装”甚至造假现象普遍存在。不仅新股发行价格无法反映企业的真实价值，也使发行市场难以起到优化资源配置的作用，导致资金配置效率低下。 新股发行定价因兼具理论性和操作性而成为金融领域公认的难题。在理论方面，存在各种相关理论和模型，在实践中各国的市场环境又千差万别。因此，系统研究我国的新股发行定价问题，对深入挖掘我国发行市场的内在规律和制度特征，对改革新股发行定价方式、提高股票发行市场效率和完善发行市场功能，以及对提高投资银行核心业务能力、最大化上市企业利益和指导投资决策等方面都具有重要现实意义。 本文的研究分为以下六个部分： 第一章主要说明论文选题的背景及意义、论文涉及到的文献、论文的研究范围、方法、结构安排及论文的难点和创新。 第二章主要对股票定价理论及其发展进行综述。笔者根据理论假设前提的不同对股票定价理论进行了分类，讨论了有效市场假说(EMH)的含义、理论基础和缺陷，并以此为基础分析了不同市场环境下各种理论的适用性。 第三章主要是对比研究。通过对IPO定价的一般理论与方法的论述，及对西方主要证券市场的发行定价方式的详细分析，对照我国IPO的实践，深入阐明了我国发行市场与成熟股票市场间的差异，以及造成中外发行市场差异的深层制度原因。 第四章的主要内容是研究和检验西方IPO抑价理论对我国新股抑价现象的解释能力。本章首先对国外有关IPO抑价的主要理论进行了总结和分类，然后统计并描述了我国新股发行市场的发行抑价水平利特点。在此基础上，结合我国发行市场的实际情况，对西方IPO抑价理论在我国的适用性进行全面的实证检验，并结合对理论的假设前提的分析，对实证结果进行分忻与说明。 第五章的主要内容是分析我国股票流通市场的特征，剖析我国发行市场的特殊制度安排，探讨造成我国新股高抑价的因素。首先分忻我国股票二级市场的特点和实际运行效率，并运用传统财务理论和行为金融理论，建立我国股票二级市场价格的多囚素横截面模型，并进行实i上硷验和分祈。在此基础上，结合对我国发行市场的特殊性分折，提出了解释我国 IP0抑价的三个假设，并进行了实证检验。 第人章在前儿章研究的基础上，给山了我国折股发厅的元阶模型，广对如何提高我国发行市场效率提山了尺体政策建议。本章首亢对证券市场理论的核心问题即证券市场效率进行了分折，并提山了分类方法。然后建上了以提高市场运行效率为口休的我国新股发厅 盯定价的模型，并对模则的适用范围、缺陷、预测能力进行了检验与分祈。最后，从三个方面对如何提高我国发行市场效率提出了具体政策建议。 本文主要有以下创新之处； l。在对新股发行定价的研究上，从不同股祭定价的理论的适用性、IPO市场Bfi内在的规律、IPO市场制度文排和发汀定价机制以及市场参与者效山、策略、行为特点等儿 0万面，兼顾理论和实践，进行了系统的分忻。 2、bff究了我国IPO市场发行定价实践的特殊性，并对中外IPO实践进行了对比bK究。论文指山，我国发行定价的特殊性主要源丁：发汀市场的特殊巾场环境和制度约束：股票市场的目标定广；以及发订定价过程中的监管者、发厅人、承销商和投资者间的四方博奸及各自的特殊效川函数。 3、通过对人辇西方 IPO仰价bjr究成果的什忻与综台，提山将的万 IPO抑价理论按分 台折用度不同归结为信息不对称理论、信号显示理论、后续增资与动态博齐理沦和其它理论四人子类。 l、通过对各理论之假设前提的规范与实证分忻，指出除规模效应和市场分剖假说外，西方主要IPO抑价理论无法解秆我国IPO抑价现象。与其它同类研究相比，本文在对＊O抑价理论的检验，在选取的样本数量和拾际的时间跨度上都技为全面。 5、从我国二级市场运行缺乏效率的现实出发，应闪基丁财务理论和非EMH的行为金融理论，全面分折了影响我国二级市场股祟价洛的口素，并建立了实证阐4进行检验， I且更多还原

【Abstract】 Since 1990,China’ s stock market has achieved qua I itative advance both in depth and width in the context of rapid economy growth and far-reaching reform. As a result,it i s p I ay i ng a more and more important role i n the nat i ona I economy. Nonetheless,we should be clear-headed to recognize that the young Chinese stock market is sti 11 suffering severe "i 11 ness" . The heated debate between Detrude-and-Start-from-Scratch -again and Do-Not-BIame-A-Baby has urged market participants to envisage the reality.Primary market is the base of the total stock marker,and the formation of IPO price not only reflects market maturity,but also constitutes the base for healthy function of the stock market and efficient resources a I location. Though China’ s primary market has grown rapidly,explicit and implicit administrative control and defects in pricing mechanism and methods have led to the long-run inefficiency of primary market:on the one hand,high IPO under-pr icing coexists with the risk-free return between primary and secondary markets;on the other hand,the relationships among issuers,investors,regulators and underwriters are greatly distorted. In fact,IPO has become a process of rent seeking,and over makeup and frauds have become a normal phenomenon. Therefore,IPO price can’ t reflect the real value of the issuer,and the primary market can’ t efficiently allocate funds.Due to its comb i nat i on of theory and practice,IPO pricing has been widely regarded as a d i f f i cu 11 prob I em i n the f i e I d of f i nance. There are many pr i c i ng models and at the same time market environments in different countries are highly differentiated. So,a systematic study on China’ s IPO pricing is of great significance for the reform of IPO,the improvement of primary market efficiency,the perfection of primary market function,the enhancement of investment banks’ competence in their core business,maximization of issuers’ revenues and the guidance of investment decisions.The dissertation consists of six chapters:Chapter I mainly covers the dissertation’ s background,significance and references,as well as the research scope,methodology,structure,some key points and innovations.Chapter II summarizes the IPO pricing theory and its evolution. The author classified different theories in terms of the difference in premises. In this chapter,the author also discussed the meaning,theoretical base and defects of (EMH) Efficient Market Hypothesis,as well as its application in different market situations.Chapter III is a comparative study. Through the address of general theory and methods of IPO pr i c i ng,the analysis IPO pricing methods in western markets,and a contrast with China’ s practices,the author i I lustrated the difference between Chinese and western markets,and the institutional factors that led to the difference.Chapter IV studies western IPO under-pr icing theories and tests their value in explaining China’ s IPO under-pricing. In this chapter,the author sumnarized and classified foreign theories about IPO under-pricing,and then studied the characteristics of IPO under-pricing in China. In addition,the author tested various theories’ application in the Chinese context,and made an analysis of outcomes of positive research.Chapter V analyzed the characteristics of secondary market,the institutional arrangements,and factors that led to the severe under-pr icing in China’ s IPOs. The author first discussed the characteristics and functioning efficiency of secondary market,then used traditional financial theories and behavior theory to bui Id a multi-factor cross section model of secondary market price,and conducted a positive study on the model. Final ly,taking consideration of the special characteristics of China’ s primary market,the author put forward three hypothesis about IPO under-pricing and made related positive test.Chapter VI gives a model for IPO pricing in China,and makes some pol icy suggestions to improve the efficiency of primary market. The author firstly analyzed the efficiency of更多还原