对IPO抑价现象进行剖析 推动资本市场的稳定

IPO price determination, not only about the investor, the issuer and the underwriters vital interests, but also affect the capital market resource allocation function of the play. IPO underpricing phenomenon prevalent in national stock markets, but China's stock market IPO underpricing phenomenon is very obvious. Especially GEM IPO underpricing large amplitude and long-term high, given China's capital market and the sustained and healthy development of national economy adversely affected. IPO underpricing phenomenon, making it difficult for investors recognize the true value of the stock, which in turn affect investors make the right investment decisions. Therefore, it is necessary to analyze the phenomenon of IPO underpricing, IPO underpricing explore cause a major factor in promoting the stable and healthy development of capital markets.

新股发行价格的确定，不仅关乎投资者、发行人及承销商的切身利益，而且还会影响资本市场资源配置功能的发挥。IPO抑价现象在各国股市普遍存在，但中国股市的IPO抑价现象非常明显。特别是创业板的新股抑价幅度大且长期居高不下，给中国资本市场乃至国民经济的持续健康发展带来不利影响。IPO抑价现象，使得投资者难以识别股票的真实价值，继而影响投资者做出正确的投资决策。因此，有必要对IPO抑价现象进行剖析，探寻导致IPO抑价的主要因素，推动资本市场的稳定健康发展。

First, the literature review and assumptions made

文献回顾与假设提出 

1. Information asymmetry hypothesis 

1.信息不对称假说 

Baron pointed out that the issuing company and the underwriters in the issuance of new shares and pricing in an unequal position, the underwriters have more information regarding the capital market advantage. Distribution companies and underwriters in setting prices in the game produced underpricing. Allen and Faulhaber believes in the IPO process, the issuer in terms of pricing information has certain advantages, and external investors are at a disadvantage, you can not accurately determine the true value of the issuing company. In order to attract more investors, high-quality distribution companies through IPO underpricing to distinguish companies with poor quality. Welch and Allen and Faulhaber studies have similarities, agree that quality company will reduce the price for the stock in the future issuance process can be successful. Rock that insiders and non-insiders will participate in the purchase of new shares, which will produce adverse selection. When the issue price is less than its true value when compared with the insiders, the new non-insiders get less; And when the issue price is higher than the true value, because insiders purchase less, get more new non-insiders number. Beatty and Bitter found that the degree of IPO underpricing uncertain value of the company there is a positive relationship. Benweniste and Spindt study found that in the process of issuing new shares, the underwriters in order to obtain the true value of listed companies, to institutional investors inquiry, and to come this price as the basis for pricing the IPO. In order to obtain information about the true IPO demand and pricing information, underwriters had to take a lower price to offer new shares. Zhang Jiqiang reference signal transduction model Chinese stock market IPO underpricing level explained. Xuhao Ping pointed out that state-owned enterprises to use a higher IPO underpricing market investors took the initiative to send signals.

The stock price depends on market demand, but also depends on the intrinsic value of the company. Low price-earnings ratio of stocks issued to investors publicly demonstrated its lower value will reduce the enthusiasm of retail investors chase their underpricing will be lower. Stocks with high earnings release to market investors publicly demonstrated its high value, retail acceptance by the market and sought after, it will be higher underpricing. Thus, you can get Hypothesis 1: release earnings positively correlated with IPO underpricing.

Baron指出，发行公司与承销商在新股的发行和定价方面处于不平等的地位，承销商拥有更多的资本市场方面的信息优势。发行公司和承销商在制定价格的博弈中产生了抑价。Allen和Faulhaber认为，在新股发行过程中，发行方在定价方面具有一定的信息优势，而外部的投资人则处于劣势地位，不能准确地判断出发行公司的真实价值。为了吸引更多的投资者，优质的发行公司会通过IPO抑价来与劣质公司区分开来。

Zhou Yunlan study found that the total funds raised and negatively related to http://www.ukassignment.org/dxassignment IPO underpricing. Generally, the larger the company, the more dispersed shareholding, the higher the transparency of information being manipulated minority shareholders less likely. Instead, the issue of small-scale more speculative stocks, IPO underpricing will be. Thus, you can get Hypothesis 2: Company size negatively correlated with IPO underpricing.

2 investor sentiment hypothesis

Investor sentiment to a certain extent affect the stock price. Miner earlier study of investor sentiment impact on IPO underpricing, noting that optimistic investors actively buying behavior will lead to IPO underpricing. Liungqvist, Nanda and Singh found that the two markets are irrational individual investors, individual investors' sentiment led IPO underpricing is one important reason. Bo Jiang pointed out that the secondary market investor optimism and new speculation is causing a major factor in IPO underpricing. Bear and Tiger, Meng Weidong and Zhou Xiaohua has a similar view that the irrational behavior of small investors will lead the IPO underpricing situation. Jiang Qingxin study found, IPO underpricing by investor sentiment was significant.

Listed on the first day turnover is a measure of investor sentiment indicators, the index reflects first day of IPO speculation extent. The higher turnover on the first day, indicating that investors on the market "speculation" atmosphere more concentrated, leading to first-day closing price will be higher, making the IPO underpricing phenomenon highlighted. So get Hypothesis 3: Listed on the first day turnover positively correlated with IPO underpricing.

3 popular effect hypothesis

Pop effect hypothesis that investors tend to act by judging other investors to make their own choices. Issuance of stock in the heat easy to trade, then people are more willing to purchase shares; issue in the cold period, no one is willing to purchase new shares. Investors by judging other people are reluctant to purchase new shares may lead to failure of the IPO. In order to avoid failure during the issuance of new shares, IPO underpricing is necessary. Welch also pointed out that the behavior of investors to buy shares is a "dynamic" process. Behavior of investors subscribed by other investors to buy direct impact on behavior. Therefore, the issuer's IPO will pass the initial underpricing way to attract investors, and promote other investors to subscribe for shares. Wang Jinbin models were tested using the Rock, and the success rate and cost into subscription model, found it difficult to use IPO underpricing "winner curse" to explain. But Du Juntao thinks Rock model still applies China.

The success rate is used to measure a market investor sentiment. Low success rate that investors demand for the IPO enthusiasm, not to the purchase of new shares to investors optimistic about the value for the enterprise may turn to the secondary market buying stocks, causing the price listed on the first day of trading pushed higher underpricing phenomenon . So get Hypothesis 4: the success rate negatively correlated with IPO underpricing.

Second, the study design

1 sample selection and data sources

In this paper, GEM October 30, 2009 to December 31, 2011 between the issuing and listing of 307 listed companies as the initial samples, by eliminating outliers and missing values, and ultimately selected 199 sample data for the study. All data are derived from the CSMAR databases.

2 Model and variable definitions

According to the research results at home and abroad, combined with China's actual situation GEM build econometric model is as follows:

UNPRICE = α + β1FPERi, t + β2SIZEi, t + β3TORi, t + β4LWRi, t + β5ShaGovi, t + Indi, t + εi, t where the variables are defined as follows:

(1) IPO underpricing (UNPRICE). It generally consists of IPO underpricing to measure, is the first day of IPO first-day closing price minus the difference between the issue price divided by the issue price on the first day of business to determine.

(2) the intrinsic value of the company. Often, companies from the IPO price of the company's value can not exist. We select the actual total funds raised (SIZE) and listed on the first day of PE (FPER) these two variables to measure the intrinsic value of the company. Among them, the actual total amount of funds raised the issue price and issue number of the product, can measure the size of the company, in order to make the data more stable, the total funds raised this actually take the natural logarithm. Listed on the first day the stock price and the price-earnings ratio is the ratio of earnings per share, was used to assess whether a stock is a reasonable indicator.

(3) investor sentiment. Select this article first day of listing turnover (TOR) and success rate (LWR) to represent investor sentiment, the date of which turnover = Volume / Shares Outstanding × 100%, can be used to reflect the strength of liquidity of the stock. Success rate (LWR), refers to the number of shares shares issued number of shares representing the proportion of the effective purchase, the success rate reflects supply and demand of the IPO market, a market that can be used to measure investor sentiment.#p#分页标题#e#

(4) other variables. Corporate governance and GEM IPO underpricing certain relationship. This selection of equity balance (with the second to the tenth largest proportion of large shareholders and ShaGov) to represent the level of corporate governance. Meanwhile, the paper also selected industry dummy variables (Ind) as a research control variables.

Third, the empirical analysis

1 Descriptive Statistics

Seen from Table 1, underpricing minimum of -13.38% and a maximum of 198.88%, indicating that the GEM stocks underpricing differentiation is relatively large, the maximum value has exceeded 100%. The underpricing average 40.88%. Description Chinese GEM serious underpricing. Earnings in the first day of listing, the minimum value is 24.16, max 493.23, an average of 82.6205, can be seen on the first day earnings is higher. Total funds raised from the actual, the maximum value of 12.4502 million yuan, a minimum of 9.7468 yuan, an average of 11.0019 million yuan. The total funds raised on GEM is still relatively small, company size is also smaller. From the online issue of the success rate, the GEM listed companies in the minimum value of 0.2905, the highest value of 18.6914, 1.2029 average. Visible, companies listed on GEM success rate is low. From the first day of listing turnover of view, the minimum value of companies listed on GEM of 0.18 and a maximum of 0.96 with an average of 0.7389. Visible, companies listed on GEM high turnover. From the second to the tenth largest shareholders and proportion can be seen, the GEM listed companies, a minimum of 0.0258 and a maximum of 0.5978 with an average of 0.363. Thus, the Chinese GEM IPO underpricing serious.

(2) Regression analysis

Regression results can be seen from Table 2, the intrinsic value of the company, the first day of listing PER t = 4.878, significant at the 1% level through the inspection shows that earnings for the first day of listing IPO underpricing has significant positive influence. Higher earnings release shows GEM listed companies over the next few years of performance, demonstrated its high-growth, high price-earnings ratio of the stock issued to the market investors publicly demonstrated its high value to investors revealed a Information: high quality corporate governance and in high growth phase. Therefore, the stock would be recognized and sought after retail market, which will be higher underpricing. Meanwhile, high-quality listed companies with high underpricing to show their company for some special purpose, the issue will reduce stock prices, higher earnings, which have more issue premium amount, IPO underpricing than high. Actual total proceeds and IPO underpricing was a significant negative correlation. Thus, the actual total amount of funds raised is, the larger the company the greater the uncertainty and asymmetric information, the stronger, IPO underpricing lower level.

In investor sentiment, the first day of listing on IPO underpricing turnover there was a significant positive effect. Listed on the first day turnover which t is larger for 7.297, significant at the 1% level by examining and regression coefficient of 0.992. It can be seen on the first day turnover was affected [PO underpricing important factor. When the first day of listing turnover growth by one percentage point, the rate of growth of underpricing 0.992 percentage points greater impact. Success rate and underpricing between significant negative correlation. Where t = -2.646, also 1% significance level adopted under test. As can be seen in the success rate is lower, the more high investor sentiment, IPO underpricing is lower.

Corporate governance, the second largest to the tenth largest shareholding ratio of (metric Blockholders) as control variables, the t value -1.980 at the 5% significance level adopted under test. Visible, ownership concentration and IPO underpricing there was a significant negative correlation. In addition, also found that the industry dummy variables t = 0.407, but did not pass the test significance level, we can see an industry IPO underpricing does not have a significant impact.

Fourth, the study concluded

This article based on asymmetric information theory, popular effect hypothesis and investor sentiment hypothesis and other theories, combined with China's actual situation of the GEM market, the establishment of multiple regression model GEM IPO underpricing on the factors affecting the empirical research, get the following conclusions:

1 China's GEM exist serious underpricing. Through the 199 sample companies share issue underpricing statistical description, discovery of the GEM average underpricing rate of 40.88%, the maximum value of more than 100% up to 198.88%. It can be seen Chinese GEM IPO market there is a more serious underpricing.

(2) the intrinsic value of the company is the impact of GEM IPO underpricing of the main factors. First day of listing and IPO underpricing earnings positively correlated. Higher earnings to market investors publicly demonstrated its high value, that is to send a message to investors: corporate governance, high quality and in high growth phase. Therefore, the stock would be recognized and sought after retail market, which will be higher underpricing. Meanwhile, high-quality listed companies with high underpricing to show their superiority. Actual total proceeds and IPO underpricing was a significant negative correlation. The larger the company, uncertainty and asymmetric information, the stronger, IPO underpricing lower level.

3 is affected investor sentiment GEM IPO underpricing is another major factor. By the correlation and regression analysis can be clearly seen, the higher the turnover on the first day, the success rate is lower, the demand for new more vigorous, more rising investor optimism, IPO underpricing is higher. We also found that as corporate governance and control variables GEM IPO underpricing negatively correlated. Second to tenth largest shareholding ratio of greater equity more dispersed, better corporate governance, IPO underpricing is lower. Company-owned industry GEM IPO underpricing did not have a significant effect.

To suppress GEM IPO underpricing phenomenon, we should establish a more reasonable market inquiry system. Consider the actual situation of listed companies, allowing familiar with the business and pricing mechanism participate in the inquiry process, in order to promote a more rational pricing mechanism. But also to strengthen information disclosure. Companies listed on GEM are mainly small and medium enterprises with growth potential, with the motherboard companies, mostly in its formative years, small-scale, high risk. Government can learn from the experience of Hong Kong GEM, strengthen information disclosure. Also, try to quantify the relevant information to enhance comparability, ease investor due to asymmetric information brought on by new overly optimistic response. Of course, to improve the quality of listed companies and their investors to strengthen the concept of education can not be ignored.