注册制下询价机构“抱团报价”行为如何影响IPO定价效率

How Does Institutional Investors'“Group Bidding”Behavior Affect Pricing Efficiency in the Registration-based IPO System?

针对长期困扰A股市场的“新股定价”难题,本文基于注册制下询价机构行为博弈视角,将机构投资者询价行为拆解为“研究报价”与“策略报价”,从机构投资者“抱团报价”异象的成因及其对新股发行市场化定价的扭曲角度,挖掘网下询价机构不同报价策略选择的微观机制与定价影响,揭示询价机构“重策略轻研究”的内在根源。本文研究发现:(1)注册制改革试点阶段询价机构“研究报价”的激励相容机制缺位,“抱团报价”是机构投资者“策略报价”行为的偏差异象,机构为博取入围机会“抱团报价”;(2)机构投资者“抱团报价”行为导致询价对象间的博弈程度偏离市场化均衡,致使新股发行市场化定价的实现路径受阻,进而造成IPO抑价严重;(3)拥有高定价话语权的头部买方机构在IPO询价机制中尚未体现其专业研究定价能力,新股的内涵价值信息难以有效渗透至新股定价,进一步加剧了“抱团报价”行为引发的定价扭曲。

IPO pricing is an issue that has plagued the capital market for a long time.How to realize the marketization of IPOs and effectively solve the A-share“IPO pricing problem”is always an important topic for securities regulators.As a major breakthrough,the registration system adopts the market-oriented IPO bookbuilding mechanism.However,some institutional investors focus on strategy rather than research in the process of IPO book-building,causing new problems such as the“group bidding,”which greatly influences the equilibrium of pricing.So how to explain this phenomenon?Is IPO book-building reform of the registration system effective?This paper studies the micro mechanism and price impact of the institutional investors'“group bidding”strategy in the registration-based IPO book-building system.From the viewpoint of the IPO bidding game,this paper divides the bidding behaviors of investors into“bidding by strategy”and“bidding by research.”Using data from 426 listed companies on the STAR Market and ChiNext Market in China and 3,026,838 bidding records from institutional investors,this paper empirically analyzes the impact of“group bidding”on IPO pricing efficiency and its working mechanism.The main conclusions are as follows.Firstly,“group bidding”is a form of“bidding by strategy”due to the lack of an incentive compatibility mechanism.Investors prefer“group bidding”because it helps them make effective bids.Secondly,mechanism analysis shows that,“group bidding”leads the book-building game away from the market-oriented equilibrium,resulting in serious IPO underpricing.Thirdly,the lead institutions with high pricing power failed to show their professional research ability,and hindered the effective penetration of information into IPO pricing,thus exacerbating the distortion of pricing caused by“group bidding.”This research is of great significance to solve the“IPO pricing problem”and improve the registration-based IPO book-building system.Based on the research results,we put forward three policy proposals:(1)accelerate to establish a market-based IPO game mechanism,and guide investors to change their behavior patterns through institutional optimization;(2)strengthen supervision of investors'bidding behavior and build the classification evaluation system;(3)optimize the investors'structure,channel more long-term funds into the market and guide investors to make rational decisions and value investing.