IPO限价发行与新股二级市场价格泡沫--论股票市场“弹簧效应”

Do IPO Pricing Caps Contain New Stock Price? Evidence from the Secondary Market

本文通过对比2009年7月1日至2014年6月30日IPO市场化定价发行阶段与2014年7月1日至2018年6月30日IPO限价发行阶段共1950个IPO样本,发现IPO限价发行对于新股在二级市场股价表现具有"弹簧效应":即抑制股票一级市场发行价格会造成新股在二级市场价格短期内超涨,限价发行新股的二级市场定价显著高于市场化定价发行新股的二级市场定价。限价发行引起的过高二级市场定价最终导致股票长期回报率低下。另外,创业板公司"弹簧效应"显著强于主板公司。这些实证结果都可以被本文提出的一级市场价格压抑造成二级市场非理性投资者上涨预期一致、盲目追涨的理论模型所解释。本文的研究指出抑制股票一级市场定价虽然形式上可以解决新股发行价过高问题,但是却造成二级市场更大的价格扭曲。这一发现为进一步完善我国IPO发行定价机制提供了依据。

Initial public offerings(IPOs) are an important part of the healthy development of a stock market. IPOs not only allow firms to access capital markets and raise capital at low cost, but also provide investors with new investment opportunities. IPO pricing inefficiency has long plagued China’s stock market. This study compares the IPO price efficiency of the market pricing mechanism with that of the window guidance(price cap). We find that IPO pricing mechanisms not only impact stocks’ primary market price, but also influence stocks’ secondary market price movement immediately after the stocks are issued. Only by examining stock prices in the primary and secondary markets together can we achieve a comprehensive understanding of the IPO mechanism.Our heterogeneous and irrational investor-based theoretical model demonstrates that although a price cap can lower the primary market IPO price, it also amplifies the secondary market trading price immediately after the new shares are issued. When investors are not fully rational and conduct momentum trading, the primary market price cap can align investors’ expectations in the direction of stock undervaluation. As irrational investors tend to buy shares of newly issued stocks more aggressively than their rational counterparts, they can drive the stock price to a level even higher than the price level under the IPO market pricing scenario. To empirically test this theory, we collect a sample of 1,950 IPOs in both the market pricing period(from January 2009 to June 2014) and the window guidance period(from July 2014 to June 2018). The persistent price increase after the listing of the firms indicates that the secondary market is still engaged in the pricing process, which is not accomplished in the primary market. Only when the stock price stops increasing and reaches a local maximum is the pricing process completed. To effectively characterize the secondary market pricing of IPO stocks, we introduce a new concept, the extreme price-earnings(EPE) ratio, which is defined as the first local maximal closing price-to-earnings(P/E) ratio after the stock is traded in the secondary market. Consistent with our theory, we find that an IPO price cap leads to an abnormal secondary market price increase after stock issuance. The average industry-adjusted EPE ratio of the IPO stocks reaches 30.4 in the window guidance period, which is significantly larger than the 10.0 average in the IPO market pricing period. This result is very robust even after controlling for firm accounting variables. It clearly demonstrates that instead of alleviating the IPO overpricing problem, the price cap policy exaggerates the overpricing issue. Although the price cap limits overpricing in the primary market, it only moves the problem to the secondary market at the cost of even higher secondary market overpricing.We find three additional pieces of evidence to support our claim. First, the financial performance of IPO firms(e.g., sales growth, ROE, leverage, etc.) is much better in the market pricing period than in the window guidance period, suggesting that the higher industry-adjusted EPE ratio in the window guidance stage is driven not by higher firm quality, but by larger mispricing. Second, IPO stocks in the window guidance period have much lower market-adjusted long-term returns than the IPO stocks in the market pricing period. According to our theory, the price cap drives the secondary market price to an excessively high level, which will lead to much lower returns in the long run. Third, we find that the mispricing effect in the secondary market is stronger for the Growth Enterprises Market(GEM) Board IPO stocks than for the Main Board IPO stocks. As GEM firms are subject to more growth uncertainty and information asymmetry, they are more likely to be chased by irrational investors, thus creating larger mispricing.