市场化改革下的IPO定价走向及效率研究——基于2009年新股发行体制改革的分析

Research on IPO Pricing Trend and Efficiency under the Market-oriented Reform— Analysis on the Reform of the IPO System in 2009

基于有效市场理论,从IPO价格的信息覆盖广度和信息价值挖掘深度两个方面定义了IPO新的定价效率,将A股实行询价制度以来的新股发行分为2005～2009年和2009～2014年两个样本,以检验2009年IPO发行体制改革后IPO的定价效率是否有提高。首先利用大样本OLS对两个样本进行回归发现：2009年以后有更多一级市场上的信息跟新股发行价格显著相关,定价效率的第一个维度得到了改善;但是回归分析表明对发行价格解释能力的增加主要来源于风险和市场氛围两类因素,而与股票基本面更加相关的价值指标对价格的解释能力却下降了,这从侧面证明了放开价格管制后新股定价存在泡沫。然后使用随机前沿模型对定价效率的第二个维度进行检验后发现：基于定价所使用的信息而得到的信息使用效率只有80%左右,这一信息使用效率检验出A股市场上的发行人和承销商还不具备充分挖掘信息从而实现精准定价的能力。

Starting from the effective market theory,this paper defines the new pricing efficiency of IPO from two aspects：the breadth of information coverage and the depth of information value mining,then IPO of A shares after the implementation of the inquiry system is divided into 2005-2009 and 2009-2014 in order to test whether the pricing efficiency of IPO has been improved after the reform of IPO distribution system in 2009.In this paper,we use the large sample OLS to rreturn to the two samples,finding that compared to 2009 years ago,there is more information on the primary market significantly related to with the issue price of new shares after 2009.This shows that deregulation does increase the information content of the issue price,so the first dimension of the pricing efficiency is improved.But the regression analysis shows that the increase of the explanatory power of the issue price mainly comes from two factors：risk and market climate,while the value index which is more related to the stock price has declined,which proves the existence of a bubble after the release of price control from the side of the price control.After testing the second dimensions of pricing efficiency by stochastic frontier model,it shows that use efficiency is only about 80% based on pricing information used to get the information.In view of the price maker having no motivation of under pricing,the efficiency of this information verifies that the A stock market issuers and underwriters do not have the potential to fully tap the information to achieve the ability to accurately price.