科创板注册制如何提升IPO定价效率?-来自双重差分模型的因果识别证据

How Does the Registration-based System in China-STAR Market Improve IPO Pricing Efficiency?Causal Evidence from Difference-in-Differences Model

设立科创板是中国资本市场的重大制度创新,其是否以及如何提升IPO定价效率,是政策效果评估的关键问题。在回顾中国新股发行制度沿革、分析注册制上市规则的基础上,本文提出,科创板注册制可通过市场化定价与缓解信息不对称两大机制改善IPO定价效率。基于2019—2022年A股市场760个IPO事件,本文使用连续型队列双重差分模型提供了因果识别证据:潜在估值越高、信息不对称越严重的企业,其在科创板上市相对于核准制上市的抑价程度显著更低。拓展检验揭示,潜在估值越高的企业,在科创板上市的融资规模相对于核准制上市显著更大,上市后的研发投资显著更多;行业信息不对称越严重的企业,在科创板上市时招股说明书的信息披露数量显著更多、质量也显著更高;科创板新股的后市表现也显著更优。本文可为多层次资本市场新股发行规则的动态优化、持续增强金融服务实体经济的功能提供经验证据。

The establishment of STAR(the Science and Technology Innovation Board)market is a major institutional innovation in China's capital market,which is not only an important measure to enhance the function of financial services for the real economy,but also a testing ground for promoting market-oriented reforms such as IPO registration system and lowering the entry threshold of direct financing system.As of June 2023,STAR market has 528 listed companies,realizing a cumulative IPO financing amount of RMB847.677 billion,accounting for more than 40%of the total financing of domestic A-share market during the same period,with a total market capitalization of RMB6.72 trillion in aggregate,which has injected a strong kinetic energy into the high-quality development of China's economy.whether and how the STAR market registration system improves the IPO pricing efficiency are key questions that needs to be answered.This paper proposes that the STAR market registration system may improve IPO pricing efficiency through two mechanisms:(1)Market-oriented pricing:Because the approval system has the pricing control of the"23 times PE ratio"ceiling,the IPO pricing of those high-value and high-growth enterprises will be much lower than their true value,which will create a serious underpricing problem.The STAR market registration system breaks through the invisible pricing control,and adopts the market-oriented inquiry pricing method,so that when the enterprises with higher potential valuation level are listed on the STAR market,the"regulatory price underpricing"will be eliminated.(2)Alleviating information asymmetry:Under the approval system,there is a serious information asymmetry between IPO enterprises and investors,IPO information is basically limited to the issuer,the sponsor and the CSRC(China Securities Regulatory Commission),investors are difficult to form a full understanding of the true value of the enterprise before listing.To make a sufficient risk compensation for investors,the IPO must be underpriced,which reduce the IPO pricing efficiency.While the registration system greatly optimizes the information communication channels between the issuing enterprises and potential investors,and helps investors to judge the real situation of the issuing enterprises through the public disclosure of the audit inquiry letters and inquiry reply letters during the listing process,which alleviates the information asymmetry problem of IPOs and improves the pricing efficiency.we construct a cohort DID model with continuous treatment intensity variables to provide causal evidence,in which the first dimension of difference is whether a firm is listed on STAR market,and the second dimension of difference is the valuation and degree of information asymmetry on the"industry-time"level,which depicts the degree of potential influence by the STAR market registration system.firstly,we selected the average price-earnings ratio weighted by the total market capitalization of the industry to which the IPO enterprise belongs two years before its listing and the price-earnings ratio of the paired company to measure the potential valuation of the IPO enterprise.Secondly,considering that R&D and innovation activities are naturally characterized by high risk,uncertain payback cycle and huge information gap between internal and external information of the enterprise in technological details,we selected the weighted average R&D investment intensity of the industry to which the IPO firm belonged in the two years prior to its IPO to measure information asymmetry.The core of the DID model is the interaction term formed by these two variables and the dummy variable that distinguishes whether a firm is listed on STAR market.The main findings of this paper are as follows:firms with higher potential valuation and more serious information asymmetry on the industry level have significantly lower underpricing when listing on STAR market compared with those listed on other markets,revealing that the STAR market registration system improves IPO pricing efficiency precisely through the two mechanisms of market-oriented pricing and alleviating information asymmetry.Additional tests revealed that(1)companies with higher valuations on the industry level,have larger financing scales and R&D investment after listing on the STAR market compared with other markets;(2)The more serious the information asymmetry on the industry level,the more information disclosed in the prospectus and the higher its quality when listed on the STAR market;(3)The post-listing performance of STAR shares are significantly better.The core contribution of this paper is the pioneering use of a cohort DID model which includes continuous treatment intensity variables to provide causal evidence for whether and how the registration reform improves the efficiency of IPO pricing.The paper shed light on the fact that adopting a market-oriented pricing mechanism is the most direct way to reduce IPO underpricing.Additionally,broadening the information communication channels and improving the quality of information disclosure between issuing firms and potential investors are also feasible ways to reduce IPO underpricing.