中国IPO发行制度演变对新股定价效率的影响——基于定价管制视角

The Effect of the Evolution of China's IPO Issuance System on the Pricing Efficiency of New Stocks:A Pricing Control Perspective

中国资本市场长期存在IPO抑价现象,与此同时,新股发行定价制度也经历了一个从严格的发行市盈率管制向市场化定价的过渡阶段。通过划分发行制度改革的七个阶段,对中国1992年1月～2017年12月新股发行抑价情况及其影响因素进行了实证考察,以探讨发行制度演变对新股定价效率的影响。结果表明,随着中国发行制度改革的不断完善,IPO抑价程度逐步下降,定价效率逐步提升;发行市盈率衍生变量与IPO发行抑价率呈负相关关系,定价管制的存在是中国股票发行定价过程中产生较高IPO发行抑价率的重要原因;IPO发行抑价率与新股发行价格、募集资本、首日换手率、超额认购率、发行周期、ROE存在显著的相关关系。

Initial public offering(IPO) underpricing has existed in China’s capital markets for a long time,and the new stock pricing system has also undergone a transitional period from strict price-to-earnings(P/E) ratio regulation to market-oriented pricing.This study divides the reform of the issuance system into seven stages and examines the underpricing of new stock issuance in China between January 1992 and December 2017,as well as the influencing factors,to explore the effect of the evolution of the issuance system on the pricing efficiency of new stocks.Results show that as China’s issuance system continues to be reformed and improved,IPO underpricing has gradually declined,whereas pricing efficiency has increased.The derivative variable of P/E ratio at issuance is negatively correlated with the rate of IPO underpricing,and the reason for the high rate of IPO underpricing in the stock issuance process in China is the existence of pricing control.The rate of IPO issuance underpricing also has a significant correlation with the new stock price,raised capital,first-day turnover rate,oversubscription rate,issuance cycle,and the return on equity.