投资银行—机构投资者关系、“捧场”与IPO中的利益问题  

The Relationship between Investment Banks and Institutional Investors, Boosts, and Benefit Transfer in IPOs

作　　者：邵新建[1] 王兴春 贾中正[2] 廖静池[3] SHAO Xinjian;WANG Xingchun;JIA Zhongzheng;LIAO Jingchi(School of International Trade and Economics,University of International Business and Economics;Institute of World Economics and Politics,Chinese Academy of Social Sciences;Research Institution,Shenzhen Stock Exchange)

机构地区：[1]对外经济贸易大学国际经济贸易学院,北京100029 [2]中国社科院世界经济与政治研究所,北京100732 [3]深圳证券交易所综合研究所,广东深圳518038

出　　处：《金融研究》2019年第11期170-188,共19页Journal of Financial Research

基　　金：国家自然科学基金(项目批准号:71472039、71872044、11701084、71403174);北京市社科基金(16YJC060);对外经济贸易大学创新团队项目(CXTD9-01)的资助

摘　　要：投资银行是直接融资过程中最重要的中介机构,作为融资产品的"卖方"代表,其核心竞争力源于它所构建的投资者关系网络,但现有文献对于投行-投资者关系在证券发行中的作用还缺乏系统的实证研究。本文利用机构投资者在中国IPO新股发行中的完整询价记录,基于报价参与和报价水平两个维度提出了一种新的动态关系强度测算方法,并由此细致刻画了投行-机构关系对股票发行、定价的作用机制。结果发现:(1)投行可以驱动关系机构主动认购其承销的IPO新股,并引导关系机构给出与投行估值水平保持一致的高位报价,进而有效缓解了IPO拍卖制下的"投资者参与不确定性问题"。(2)关系机构的捧场报价显著提高了股票发行价格、增加了投行的承销收入;但是当新股交易价格在长期内逐渐向其内在价值水平收敛时,受到关系机构捧场支持越多的IPO新股,其长期回报率相对越低。(3)投行与机构的关系在本质上是互惠的,一旦投行被赋予新股分配权力,它明显倾向于将新股抑价发行带来的巨大利益分配给在前期捧场的关系机构,二者的关系越强,机构报价被认定为"有效报价"的概率越高,而一旦被认定为有效报价,关系机构的新股需求更是将被优先满足。Investment bank is one kind of the most important intermediaries in direct financing. As the representative of security issuer, an investment bank’s competitiveness partly originates from its networks of relationship investors, which have been rarely discussed in the literature. Based on the complete records of institutional investors’ participation in Chinese IPOs’ book-building process, we have designed a new dynamic measure of the relationship between an investment bank and institutional investors. Furthermore, we have analyzed in detail how this relationship affects IPO pricing. The main results are as follows.(1) An investment bank can drive related investors to take part in the IPO process and submit high bids that are consistent with the underwriter analyst’s valuation. This implies that the investment bank can alleviate the uncertainty of investor participation in IPO auctions by its networking ability.(2) The boost from related investors can significantly increase IPOs’ offering price and the under-writing fee paid to the investment bank. However, when the trading price converges to its intrinsic value gradually in the long run, the appearance of more related investors in the IPO process will predict lower long-term return to investors.(3) The relationship between the investment bank and institutional investors is reciprocal in essence. Once the investment bank is granted allocation discretion, it will be inclined to allocate money left on the table to its related investors. The stronger the relationship, the larger probability that bids will be considered affective. Given that their bids are judged affective, related investors’ demand for new issues will be satisfied preferentially.This paper makes three contributions to the literature. First, we present a new mechanism for interest distribution in the IPO process. The traditional literature usually assumes that the principal-agent problem exists between the IPO issuer and the investment bank(IB) responsible for the underwriting. The IB is i

关 键 词：投资银行-机构投资者关系 新股分配权力 利益转移 首次公开发行上市 

分 类 号：F83[经济管理—金融学]