中小板及创业板IPO高定价问题研究

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中小板及创业板IPO高定价问题研究

李乐¹(

),罗慧颖²,杨之曙¹

2. 安邦保险股份有限公司,北京 100022

High IPO price of stocks in small- and medium-sized board and second board market

Le LI¹(

),Huiying LUO²,Zhishu YANG¹

1. Department of Finance, School of Economics and Management, Tsinghua University, Beijing 100084, China
2. Anbang Insurance Company Limited, Beijing 100022, China

摘要:

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摘要2010年10月新股发行制度改革的基本目的之一是基于完全市场化的原则降低中小板及创业板新股发行(initial public offerings, IPO)市盈率,但其效果不明显。该文针对此问题进行研究,发现2010年10月改革实施后中小板及创业板IPO呈现出报价趋于理性但仍高市盈率定价现象,构造了参与新股配售收益分析模型和超额认购倍数与IPO市盈率间对应关系模拟分析模型。基于这2个模型分析指出了上述高定价问题的制度原因在于询价约束不足、定价约束缺失,并从增加询价机构高报价成本和增大主承销商高定价风险这两方面探讨了加强询价和定价约束的改革思路。

关键词 ：新股发行,高市盈率,询价,定价

Abstract：In China, one of the main purposes of the reform in October 2010 is to reduce the price earnings ratio of initial public offerings (IPO) in small- and medium-sized board and second board market according to totally market-oriented rules, however the effect is not obvious. Focusing on this problem, the authors found that the IPO price earnings ratio stays high while relative inquiries tend to be rationalized after the reform. Therefore, two models were developed i.e., the return analysis model of participation in IPO allocation and the simulation analysis model of relationship between the over-subscription rate and IPO price earnings ratio. Analyses show that the regulation reasons resulting in the high IPO price lie in the insufficiency of inquiry restrictions and the deficiency of pricing restrictions on the basis of the two models. Reform methods are elaborated to strengthen inquiry restrictions by increasing inquiry institutions' cost of quoting high price and pricing ones by increasing managing underwriters' risks resulting from the high IPO price earnings ratio.

Key words：initial public offerings high price earnings ratio inquiry pricing

收稿日期: 2012-10-16 出版日期: 2015-04-16

ZTFLH:

基金资助:国家自然科学基金资助项目(70871071)

引用本文:

李乐, 罗慧颖, 杨之曙. 中小板及创业板IPO高定价问题研究[J]. 清华大学学报（自然科学版）, 2014, 54(3): 394-401.
Le LI, Huiying LUO, Zhishu YANG. High IPO price of stocks in small- and medium-sized board and second board market. Journal of Tsinghua University(Science and Technology), 2014, 54(3): 394-401.

链接本文:

http://jst.tsinghuajournals.com/CN/或 http://jst.tsinghuajournals.com/CN/Y2014/V54/I3/394

图表:

研究时间段	研究样本	平均IPO 市盈率	市盈率差异显著性检验P值	询价对象平均超额认购倍数	超额认购倍数差异显著性检验P值
2009年6月—2010年8月	002275~002408	51.26	0.90	139.01	<0.01
2010年11月—2011年10月	002507~002604	51.22	0.90	20.51	<0.01

2010年10月改革实施前后中小板新股发行市盈率及询价对象申购情况分析

研究时间段	研究样本	平均IPO 市盈率	市盈率差异显著性检验P值	询价对象平均超额认购倍数		超额认购倍数差异显著性检验P值
2009年10月—2010年8月	300001~300079	67.35	0.10	76.62		<0.01
2010年11月—2011年10月	300143~300246	61.48	0.10	21.34		<0.01

2010年10月改革实施前后创业板新股发行市盈率及询价对象申购情况分析

中小板股票(002507~002604)IPO询价

创业板股票(300143~300246)IPO询价

参与配售收益率/%	比较基准	比较基准收益率/%	相对比较基准超额收益率/%	超额收益显著性检验P值
2.74	上证指数	-3.27	6.01	<0.01
	深成指数	-3.71	6.45	<0.01
	沪深300 指数	-3.76	6.50	<0.01
	中小板指数	-7.98	10.73	<0.01
	创业板指数	-10.82	13.56	<0.01

2010年10月改革实施后询价对象参与中小板新股(002507~002604)配售收益分析

参与配售收益率/%	比较基准	比较基准收益率/%	相对比较基准超额收益率/%	超额收益显著性检验P值
1.46	上证指数	-2.57	4.04	<0.01
	深成指数	-2.80	4.26	<0.01
	沪深300 指数	-2.98	4.45	<0.01
	中小板指数	-7.33	8.79	<0.01
	创业板指数	-11.25	12.72	<0.01

2010年10月改革实施后询价对象参与创业板新股(300143~300246)配售收益分析

统计项目	数值/%
最高收益率	151.16
最低收益率	-29.53
收益超过50%的概率	8.33
收益低于-50%的概率	0
收益超过30%的概率	17.71
收益低于-30%的概率	0
收益超过20%的概率	28.13
收益低于-20%的概率	7.29

2010年10月改革实施后参与中小板新股(002507~002604)配售收益特征统计

统计项目	数值/%
最高收益率	164.75
最低收益率	-33.85
收益超过50%的概率	11.54
收益低于-50%的概率	0
收益超过30%的概率	23.08
收益低于-30%的概率	1.92
收益超过20%的概率	27.88
收益低于-20%的概率	9.62

2010年10月改革实施后参与创业板新股(300143~300246)配售收益特征统计

基于询价数据模拟出的中小板平均超额倍数—IPO平均市盈率对应关系(样本: 002507~002604)

基于询价数据模拟出的创业板平均超额倍数—IPO平均市盈率对应关系(样本: 300143~300246)

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