政府监管、询价机制与IPO高抑价研究

There are many problems in the publishing of new shares under the existing security regulation system of our country. Because of the externality and market failure of the financial market, the government regulation for this market is indispensable. But how do the government regulation and the market cooperate with each other? This may be the biggest issue faced by our IPO. This project studies the high IPO underpricing phenomenon from the following aspects: the risk of government regulation, the risk of speculation and the risk of investment. For the government regulation, our study casts the institution rents away, which has appeared in existing studies, and puts further analysis on the institutional efficiency of the government regulation, then we innovatively put forward the "Certification Function" of the government regulation, and study its implementation. For the speculation risk, different from the existing researches, our study holds the idea that we should take the "High Premium" into consideration when dealing with "High underpricing". Meanwhile, we will study whether the rules as unlocked period, "the highest bidder wins" will improve the efficiency of IPO pricing under the Book-building System. At last, this project studies the excess raising caused by High IPO Underpricing, and the capital in idle problems caused by the institutional deficiency that the market value have impact on the raised money. The IPO underpricing not only involves with the linkage effect of primary and secondary market, but also relates to multiple links of the IPO chains, and our project deals with this issue to find out the key point of high IPO underpricing. So this project makes several important theoretical and substantive contributions both for the academia and the regulators.

摘要：在我国现有证券监管体制下，新股发行问题重重。由于金融市场存在外部性和市场失灵，因此政府监管不可或缺。但政府监管和市场化运作如何合理运用，是我国IPO目前面临的最大难题。课题针对IPO高抑价问题，从政府管制风险、投机风险、投资风险三方面予以研究。对于政府监管，课题深入分析政府监管的制度效率，并创新性提出除政府管制风险之外，同样具备"认证功能"并研究其执行情况。对于投机风险，不同于已有研究,本课题认为"高抑价"问题要从"高溢价"破解。同时，课题将研究询价制下解锁期、"价高者得"等交易规则是否可以提高IPO的定价效率。最后，课题研究IPO高抑价所致的高超募，研究在市场价值不能与募集资金分立的制度缺陷下所形成的资金闲置。由于IPO抑价涉及一、二级市场的联动效应，涉及IPO产业链条上的多个环节，课题寻找导致IPO高抑价的关键点并予以突破，对我国理论界和监管层具有理论及现实意义。

对IPO抑价而言，中国是世界45个国家和地区中最高的国家（Loughran，Ritter和Rydqvist，2010），那么如何有效降低高抑价率是困扰监管层和证券市场发展的难题。现有的理论研究多是基于西方成熟市场的IPO抑价理论，对于我国IPO高抑价问题的解释力有限。因此，非常有必要从我国证券市场监管的特殊性出发，结合我国证券市场的制度安排和特点对IPO高抑价现象深入研究，研究政府监管和市场化手段如何综合运用才能适用于中国国情，才能有效抑制IPO高抑价。IPO抑价涉及一、二级市场（即发行和交易市场）的联动效应，一方面是发行价格问题，另一方面是上市交易问题。在发行制度设计上，涉及到多方的利益博弈和利益冲突，这些问题的背后涉及到IPO产业链条上的各个环节。在市场化推进的道路上，IPO的询价、承销、募资、圈钱、业绩变脸这些积重多年的问题逐一面临破解。课题从政府监管、询价制度、信息披露、市场中介机构、资金超募、机构投资策略等几方面予以研究。对于政府监管，课题深入研究政府所制定的不同询价发行制度、信息披露规则对IPO抑价的影响，研究市场中介如投资银行、分析师对相关监管制度变化的反馈，研究投资者情绪对IPO抑价的形成、研究政府监管下的机构投资者交易策略。课题寻找导致IPO高抑价的关键点，研究近十年来我国所奉行的不同询价制对IPO抑价率的影响，研究如何设定市盈率管制和促进询价对象竞争等制度组合拳才能有助于降低IPO抑价；探寻在一个信息披露环境较差的市场中风险信息坦诚披露能否有效降低IPO抑价，从信息效率完善方面提供研究证据；并针对证券市场中的其他利益相关方投资银行、分析师、机构投资者在降低IPO抑价中所能发挥的作用进行研究。课题研究成果为我国新股发行的制度完善提供政策建议和理论支撑。