进入管制下的中国股票定价--基于证券市场的实证研究

China’s Stock Pricing under Entry Regulation:Empirical Research Based on Securities Market

政府管制普遍存在于世界各国经济之中,只是在管制的程度、内容及形式上不尽相同。管制的成因、方式及后果在理论和实证上得到了较充分的阐释和检验,但是,管制形成的经济准租对具体微观个体定价的影响,仍未受到足够的关注。本文研究我国证券市场的发行准入管制对上市公司股票定价的影响,并对其进行实证检验。研究发现,进入管制显著提升了上市公司股票定价。进一步,利用新三板与A股主板进入管制的制度差异和2011—2016年的样本数据,经验估算了管制对定价的具体影响,结果表明,进入管制使得上市公司股票定价上升的中位数为34.4亿元(平均数为66亿元),占市值的比例平均达到61%。另外,进入管制对公司定价的影响存在异质性,对国有上市公司的影响更强,对盈利能力较强公司的影响偏低。相关研究结果对于理解我国上市公司的定价机制、股票价格的信号作用、证券市场对宏观资源配置效率的影响,都具有比较重要的启示。

Government regulation is prevalent in economies around the world, but the extent, content and form of regulation varies. The causes, modalities and consequences of regulation have been more fully appreciated, explained and tested both theoretically and empirically, but the impact of economic quasi-rents formed by regulation on the pricing of specific micro-individuals has still not received sufficient attention. The paper examines the impact of issue access controls on the pricing of listed companies in China’s securities market and tests it empirically. The study finds that entry controls significantly enhance the pricing of listed companies. Further, using the institutional differences in entry controls between the NSE and the Main Board and sample data from 2011-2016, the specific impact of controls on pricing is empirically estimated, and the results show that entry controls lead to a median increase in pricing of listed companies of RMB 3.44 billion(mean of RMB 6.6 billion), accounting for an average of 61% of market capitalisation. In addition, there is heterogeneity in the impact of entry controls on firm pricing,with a stronger impact on state-owned listed firms and a lower impact on more profitable firms.The relevant findings have relatively important implications for understanding the pricing mechanism of listed companies in China, the signalling role of stock prices, and the impact of securities markets on macro resource allocation efficiency.