“中国式”新股发行制度改革下的投资主体行为研究

From June 2009, the China Securities Regulatory Commission has unveiled four times the reform plans for the initial public offering system with the specific purpose of resolving two persistent anomalies in A-share market: the issues of three-high and new stock sensationalization respectively in primary market and secondary markets. In ill consort with the original intention of the reform, these issues have not been settled throughout, even growing in intensity after the fourth stage of the reform. It is generally believed that the unmatched relationship between behaviour of investment entities and institutional framework in A-share market is the leading cause of the aforementioned issues. Due to the lack of accounts’ database, most of the research in Mainland China belongs to the analyses of high ratio of under-pricing. A comprehensive account of the investment behaviour before and after new stocks being listed in the primary and secondary markets is still in its infancy. Taking two issues of three-high and new stock sensationalization as the point of departure, the authors focus on the investors in the secondary market and leading underwriters and inquiry consulting institutions in the primary market, to consider further the price formation of new stocks drawing on the behavioural finance and market microstructure approaches to investment behaviour before and after new stocks being listed. The current project, on the one hand, theoretically reveals the formation mechanisms of issues such as three-high and new stock sensationalization in A-share market, perfects the relevant theories of new stocks underpricing and investors’ sentiment. On the other hand, it practically provides relative regulatory authorities with proper policy recommendations and improvement program for further reform.

自2009年6月以来，中国证监会先后启动四次新股发行体制改革，意图解决困扰A股市场已久的两大“异象”：一级市场“三高”问题和二级市场“炒新”问题。然而，与改革初衷相悖，上述问题始终没有得到彻底解决，甚至在第四轮改革后愈演愈烈。业内人士普遍认为：A股市场投资主体行为与制度框架的不匹配，是导致上述问题无法解决的最重要根源。由于缺乏账户级数据，国内学术界偏重于对首日高抑价率的影响因素进行分析，针对新股上市前后一、二级市场投资主体的研究较为缺乏。本课题以“三高”和“炒新”为切入点，以二级市场投资者、一级市场的询价机构和主承销商作为研究对象，基于行为金融和市场微观结构的角度分析新股上市前后投资主体的行为，并进一步剖析新股价格的形成过程。本课题研究将在理论上揭示A股市场“三高”和“炒新”的生成机理，完善新股“高抑价之迷”和投资者情绪相关理论，并在实践中为监管层进一步的改革提供合适的政策建议和改革方案。

基于深交所EIPO平台的询价、配售数据和中心数据库中投资者二级市场的账户级交易数据，本项目深入研究了新股上市之初二级市场投资者的交易行为、新股一级市场询价过程中的投资主体行为和主承销商估值质量等问题，厘清了中国式IPO背景下两大“异象” （炒新、三高）的生成机理，即：核准制度下新股总体上供求失衡二级市场“炒新”严重，抑价率高高抑价诱导询价对象在一级市场高报价高报价促使一级市场成为“卖方市场”主承销商高估值形成“三高”问题。具体来看，本项目的主要结论包括：（1）新股上市首日存在“羊群效应”和“磁吸效应”，频繁炒新者是上述效应产生的主要原因；（2）一级市场的询价机构整体理性、局部非理性，他们与主承销商之间存在勾连，部分机构与主承销商有利益输送关系，机构分析师与主承销商分析师之间有相互“吹捧”关系；（3）主承销商投资价值分析报告存在“水分”，有吹捧拟上市新股的嫌疑，“主承销商声誉假说”在A股市场并不成立。本项目的研究不仅系统化地阐述了新股两大“异象”的生成机理，丰富了国内学术界IPO定价相关方面的研究，同时还为监管层进一步改革新股发行制度提供了可靠的理论和实证依据。