平衡的艺术:承销商高定价行为的理论解释和实证检验

Balanced Art:The Theoretical Explanation and Empirical Test of High Pricing Behavior of Underwriter

询价制市场化改革之后出现的"三高"问题引起了市场和学术界的广泛关注,这一问题也严重阻碍了定价市场化改革的推进。本文的理论分析表明,中国承销商定价的激励和约束不平衡是导致其偏爱高定价的根源。利用网下报价数据强制披露的契机,本文使用2010-2012年457家IPO公司的数据,实证检验了承销商在新股最终定价阶段的价格调整行为。结果显示:第一,承销商的价格调整幅度与机构投资者报价形成的超募资金比例显著负相关,与承销费-超募资金敏感度显著正相关。第二,承销商预估IPO抑价越低,越不可能调高发行价;承销商声誉越高,越不可能调高发行价;承销商历史IPO首日回报率越差,其当前承销项目机构投资者参与网下询价的数量越少、报价越低。第三,承销商的价格调整幅度与IPO首日回报率显著负相关。本文的发现有助于解释承销商偏爱高定价的根源,对新股定价市场化改革具有重要的政策启示。

Theoretical analysis of this paper suggest that the incentive and constraint mechanism of China’s underwriters is the root cause of its preference for high prices.Further,using the opportunity of mandatory disclosure of institutional investors bidding data,this paper empirically examines the adjustment behaviors of underwriters in the pricing of new shares.The results showed that:(1)the adjustments of issue price by underwriters is negatively correlated with the proportion of extra funds raised and positively correlated with the sensitivity of underwriting fees and raised funds.(2) the estimated IPO underpricing is positively correlated with the adjustments of issue prices and underwriter reputation is negatively correlated with the adjustments of issue prices.the history of initial return of underwriters has impact on the number of institutional investors’ participating and bidding prices of the current IPO project.(3) the rate of underwriters’ up adjustments and IPO first day return is significantly negative correlated.This paper has important policy implications for the IPO pricing reform in China.