询价制度改革与中国股市IPO“三高”问题——基于网下机构投资者报价视角的研究

IPO Book-building Reform and the Problem of IPO "Three Highs" in China Stock Market:A Perspective of offline Institutional Investors' Quotes

2009年询价制度改革后,中国股票市场IPO过程中"三高"问题突出、财富分配不公现象严重。对此,本文基于网下机构报价信息披露,从机构投资者报价行为视角进行研究。研究发现,询价制度改革后,由于制度安排不合理,使得参与询价的机构投资者之间过度竞争,导致IPO定价过高,并产生了IPO"三高"问题,使得财富分配过于向发行人倾斜而不利于投资者。长期来看,随着询价申购阶段机构竞争程度加剧,IPO股票价格跌破发行价的可能性越高、长期超额投资回报越低,从而进一步论证了上述理论。本文的研究一定程度上打开了中国特色询价机制运行中的IPO定价黑箱、揭示了IPO"三高"问题背后的制度根源。

After the reform of IPO book - building mechanism in 2009, the problem of IPO ＂three highs＂ in China stock market is very serious. This paper studies these problems from the perspective of institutional investors＇ quotes during IPO book - building. We find that after the reform, unreasonable arrangement of IPO book - building mechanism results in the over - competition among institutional investors, which further results in IPO over- pricing, and leads to the problem of ＂three highs＂. Besides, we find that with the increasing of institutional investors＇ competition, the probability of the stock price below the issuing price increases in the fu- ture, and the abnormal return decreases more. This research opens the ＂black box＂ of IPO book - building process with Chinese characteristics and discloses institutional reason of unfairness during wealth allocation.