跟投制度与IPO定价--来自科创板的经验证据

Co-investment System and IPO Pricing:Based on the Empirical Evidence of STAR Board

IPO定价问题长期困扰我国资本市场。在注册制落地之际,上海证券交易所在科创板引入跟投制度试图解决这一问题。本文利用科创板IPO公司的数据检验跟投制度对IPO定价的影响效果及其作用边界。研究发现,承销商跟投比例越高,IPO发行价越低,表明跟投制度可以抑制承销商抬高发行价的机会主义行为。上述抑制作用在治理水平较高的发行公司中相对较弱。进一步研究表明,当公司股价增长潜力较大时,跟投制度对发行价的抑制作用在一定程度上被弱化。此外,跟投制度能抑制超募资金规模,但为.了补偿跟投带来的风险,发行公司倾向于提高上市公司的承销费率。最后,跟投制度有助于提升IPO后的市场绩效。本文的研究结论为促进中国资本市场注册制的发展与完善提供了理论依据。

The issue of IPO pricing has plagued China’s securities market for about three decades.For the sake of protecting investors, the securities regulatory authorities have exercised administrative control over the IPO price for a long time, but this has led to pricing inefficiency and distortion of firm value.From 2000 to 2002 and from 2009 to 2012,China Securities Regulatory Commission(CSRC) pushed forward the market-oriented reform twice.However, after the relaxation of pricing control, the phenomenon of "three-highs" appeared, with the wealth distribution skewed to the issuer and the loss of investors.In June 2019,the Shanghai Stock Exchange launched the STAR Board and piloted the registration system, which means that the "hand of the market" will gradually dominate the review and issuance of new shares in China’s IPO market.The STAR Board piloted the underwriter co-investment system in the IPO market for the first time, which requires the underwriters to subscribe in proportion for the public offering shares of the company to be listed at the offering price and lock them in for 24 months after the listing.The co-investment ratio is determined by the size of the offering.The purpose of introducing this system in China is to restrict underwriters’ behavior through capital and strengthen their awareness of performing their duties and responsibilities, so as to protect investors’ interests.Whether the co-investment system can effectively curb underwriters’ opportunistic behavior in China’s IPO market deserves our attention and exploration.Under the traditional IPO system, the underwriter is a sponsor, and its income only comes from underwriting.However, under the co-investment system, the underwriter also acts as an investor.If the underwriters raise the IPO price, their investment costs will rise, thus reducing their returns and even leading to losses from co-investing.Thus, theoretically, underwriters must carefully consider the consequences in order to ensure the expected returns on the co-investment.The co-investment system binds the interests of the underwriters with information advantages and the investors with information disadvantages, forming the benefit synergistic effect, realizing the risk sharing effect, which conforms to the principle of incentive compatibility, helps reduce the impact of information asymmetry in the IPO market, so as to protect the interests of investors.Taking 205 companies listed on the STAR Board as research object, this study undertakes systematic analysis on the relationship between co-investment system and IPO pricing.The findings show that the co-investment system has a negative effect on the IPO price, and that the effect is weaker in companies with higher governance level.Further research shows that when the valuation of an industry grows fast, the main effect will be weakened.In addition, the co-investment system can help curb over-fundraising.However, the higher the co-investing ratio is, the more likely the underwriter is to increase the underwriting fee to compensate for the risk of co-investing.Finally, the co-investment system is helpful for the improvement of firms’ market performance after IPO.The main contributions of this study are as follows: First, it expands the literature on constraint of underwriters’ behavior.While most of the existing literature focuses on the influence of reputation mechanism, this paper explores the possible effect of the co-investment system.Since the reputation mechanism is formed under the market mechanism and the co-investment system is designed by the government, this paper studies the regulation of underwriters’ behavior from the perspective of the government mechanism relatively early.Second, it expands the literature on the effect of government regulation on IPO pricing in China.While existing literature focuses on the impact of regulation on IPO pricing, this paper studies the influence of co-investment system on underwriters’ pricing decisions, expanding the research scope of related regulatory means over IPO pricing.Thirdly, it expands the related research on underwriters’ investment in sponsored companies.The existing literature mainly focuses on the direct investment, while the co-investment appears relatively late with few relevant researches.This paper examines the influence of the co-investment model on underwriters’ behavior to make additional contribution in this aspect.