中国科创板IPO定价效率及影响因素研究  

Research on the IPO Pricing Efficiency and the Influential Factors of the STAR Market

作　　者：董秀良[1] 刘佳宁 徐世莹 DONG Xiu-liang;LIU Jia-ning;XU Shi-ying(School of Management,Jilin University,Changchun 130022,China)

机构地区：[1]吉林大学管理学院,吉林长春130022

出　　处：《数理统计与管理》2021年第3期526-543,共18页Journal of Applied Statistics and Management

基　　金：教育部人文社科规划基金项目(20YJA790008);吉林省科技厅科技引导计划软科学项目(20200101034FG).

摘　　要：推进以注册制为核心的股票发行定价制度市场化改革是提升我国股市IPO定价效率的重要举措,试点注册制的科创板IPO定价效率备受关注.本文以IPO定价是否能有效地反映公司内在价值为着眼点,采用随机前沿模型实证检验了科创板IPO定价效率,并在此基础上利用均值回归和分位数模型分别从均值和条件分布角度检验了各项因素对定价效率的影响.研究发现:样本公司定价效率均值仅为66.68%,新股定价存在明显的高估现象,高估程度达到了33.32%.公司规模越小高估程度越大,而且券商的声誉机制没有发挥出应有的作用;此外,均值和分位数模型的估计结果显示,主承销商"只荐不保"以及道德风险问题仍然突出,保荐跟投制度对头部券商的约束作用不明显.但科创属性对高定价效率区间公司的提升作用非常显著.因此,监管部门对于IPO公司的科创属性成色、主承销商的道德风险等应该重点关注,同时,构建起权责利对称以及有效的市场主体激励约束机制仍是完善制度建设的核心内容.It is an important measure to promote the market-oriented reform of the IPO pricing system with the registration system as the core to improve the IPO pricing efficiency of China’s stock market.Therefore,the IPO pricing efficiency of the STAR Market under the pilot registration-based system is particularly attractive.Based on whether IPO pricing can effectively reflect the company’s intrinsic value,this paper uses a Stochastic Frontier Model to test the IPO pricing efficiency on the STAR Market,and on this basis,uses Mean Regression Model and Quantile Regression Model to test the impact of various influential factors on the pricing efficiency from the perspective of mean and conditional distribution.The study found that the average pricing efficiency of the sample companies was only 66.68%,and the IPO pricing was obviously overvalued,reaching 33.32%.The smaller the size of the company,the greater the degree of overestimation,and the reputation mechanism of underwriters doesn't play its due role;in addition,the estimation results of the Mean model and Quantile model show that the lead underwriters who have“only recommend but not guarantee”and moral hazard issues are still prominent,the sponsorship follow-up system does not have obvious restraint on leading underwriters.However,the role of STAR Market is very significant for companies in the range of high pricing efficiency.Therefore,the regulatory authorities should focus on the scientific and technological properties of IPO companies and the moral hazard on the lead underwriters.At the same time,the establishment of a balance of power,responsibility and interest and an effective incentive and restraint mechanism for market entities are still the core content of improving the system.

关 键 词：科创板 IPO定价效率 随机前沿模型 分位数回归模型 

分 类 号：F830.91[经济管理—金融学] O212[理学—概率论与数理统计]