券商声誉会影响科创板IPO抑价吗?——基于折价与溢价效应的实证研究

Will the reputation of securities brokers affect the IPO underpricing of Sci-tech Innovation Board?——An empirical study based on discount or premium effect

从券商声誉视角探索科创板公司IPO抑价的成因。采用分析师预测法将IPO抑价率分解成一级市场IPO折价率和二级市场IPO反应率,剖析券商声誉对IPO抑价的内在影响机制。结果显示,券商声誉对一级市场IPO折价率作用效果不显著,对二级市场IPO反应率则存在显著正向作用。剔除市场波动影响、增添C-M声誉排名指标、分时段估计分析师预测结果后,结论依然稳健。这表明券商声誉并未有效发挥信息披露和认证中介功能,反而激发了市场投资者的有限理性行为。建议构建券商声誉正向排名和逆向声誉损失测度相结合的双向测评机制;同时从强化科创板公司信息披露质量、理性投资者培育等方面构建噪声过滤机制。

Sci-tech Innovation Board was officially opened for trading on July 22,2019,which became a symbol of a comprehensive deepening of reform in China’s capital market.It is worth noting that,with a more market-oriented pricing mechanism for new share issuance,the average excess return on the first day,the first week and the first month of the first year of the opening of Sci-tech Innovation Board reached 115.07%,102.97%and 108.10%respectively,with a high level of IPO discount rate.At the exploratory stage of the key system reform of Sci-tech Innovation Board,exploring the reasons for the IPO underpricing of Sci-tech Innovation Board is of great practical significance for further improving the market-oriented pricing mechanism and giving better play to the role of the“pilot field”of China’s capital market reform of Sci-tech Innovation Board.This paper explores the causes of the IPO underpricing of Sci-tech Innovation Board companies from the perspective of reputation of securities brokers.The IPO underpricing rate is composed of the IPO discount rate both in the primary market and the secondary market,and the internal influencing mechanism of securities firm reputation on discount rate and reaction rate are analyzed by applying information asymmetry theory and behavioral finance theory respectively.Theoretical analysis shows that the participation of securities firms in the primary market and the use of information disclosure and certification supervision can improve the IPO pricing efficiency,while the introduction of the registration system of Sci-tech Innovation Board further improves the external environment of the traditional reputation mechanism and the efficiency of the reputation mechanism on the IPO discount.At the same time,the investment tracking system of Sci-tech Innovation Board restricts the short-term opportunistic behaviors of securities companies by drafting incentive contracts for risk sharing.Therefore,on the whole,the reputation of securities companies has a significant negative effect on the IPO discount rate of the primary market.On the other hand,in the secondary market,the participation of reputable underwriters may lead to an increase of the heterogeneity of investors’beliefs,and encourage investor optimism and raise the issuance price of new shares after being listed.Therefore,the reputation of securities firms has a significant positive effect on the IPO response rate in the secondary market.Furthermore,the paper takes 70 companies listed on Sci-tech Innovation Board from July 22,2019 to December 31,2019 as samples and uses the analyst prediction method to measure the discount rate and reaction rate,thus building two kinds of multiple regression models which reflect the relationship between the reputation of securities firms and the overall IPO underpricing rate,as well as the relationship between the reputation of securities firms and the IPO discount rate of the primary market and the IPO reaction rate of the secondary market to conduct an empirical study on the relationship between the reputation of securities firms and the IPO underpricing of Sci-tech Innovation Board.The empirical results show that,the effect of securities firm reputation on IPO discount rate in the primary market is not significant,while its effect on IPO reaction rate in the secondary market is significantly positive.This means that the intermediary role of information disclosure and certification of securities firms’reputation has not been effectively played in Sci-tech Innovation Board market;at the same time,the participation of highly reputated securities stimulates investors’optimistic expectations for the future performance of the enterprise,which in return raises the closing price of the shares after being listed,and intensifies the IPO response rate.The research conclusion of this paper does not negate the innovation of Sci-tech Innovation Board at the institutional level,but proposes a possible direction for Sci-tech Innovation Board to improve the reputation mechanism of securities companies,filter market noise and cultivate rational investors at this stage,so as to reasonably guide the reputation of securities companies to give full play to the positive role of information producers and certification intermediaries.To this end,this paper puts forward the following two suggestions.Firstly,a two-way evaluation mechanism has to be built that combines the positive ranking and reverse reputation loss measurement of securities firms.The second is to build a noise filtering mechanism by strengthening the quality of information disclosure of Sci-tech Innovation Board companies and cultivating rational investors.