IPO定价管制与新股质量:基于实物期权的理论模型与实证研究  

IPO price-cap and quality of new share:A theoretical and empirical perspective from real options

作　　者：祝文达 李洁 胡志强[3] ZHU Wenda;LI Jie;HU Zhiqiang(Research Center of Hubei Financial Development and Financial Security,Finance School,Hubei University of Economics,Wuhan 430205,China;Business School,Hong Kong University of Science and Technology,Hong Kong 999077,China;Economics and Management School,Wuhan University,Wuhan 430072,China)

机构地区：[1]湖北经济学院金融学院,湖北金融发展与金融安全研究中心,武汉430205 [2]香港科技大学商学院,中国香港999077 [3]武汉大学经济与管理学院,武汉430072

出　　处：《系统工程理论与实践》2021年第6期1353-1367,共15页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71471142)。

摘　　要：文章在已有研究基础上,加入我国特有的发行价格管制因素,构建实物期权模型,得到管制时期企业上市的利润临界值,剖析了定价管制与企业上市决策之间的机理,探究IPO管制对新股质量的影响.采用因子分析法和Logistic回归方法,对模型结论进行实证检验.研究结果表明:定价管制提高了强盈利能力企业等待上市的期权价值和上市临界值,使其更愿意在非管制时期上市,导致定价管制期间"好"的IPO企业数量减少,体现为发行价格管制下上市企业的盈利能力高于非管制时段情形,以及发行价格管制下首批上市企业的整体盈利能力与末批相仿,在市场信息嘈杂时可能转变为"柠檬市场".这说明,短期内管制政策虽有助于化解过往"三高"现象造成的潜在股市风险,然从长期来看,价格管制政策增加了"好"企业的上市成本,削弱了其上市动机.文章结论为深化资本市场改革,提高上市企业质量提供了重要的理论参考.In this paper we explore China’s IPO price-cap policy by developing a real option model in which the critical profit value of listed companies amid the regulation period is derived,it further helps analyzing the mechanism between the price-cap policy and these companies’ decision on going public,and also identifying the influences of the price-cap policy on the stock market.Factor analysis and logistic regression as the empirical methodologies are adopted for testing our theoretical claims,related results show that the price-cap improves the option value as well as the critical value of high profit enterprises,which becomes the main reason for these companies prefer going public amid non-regulation period rather than regulation period,it may result in(1) the plunge of the number of "good" enterprises under the price-cap policy,and(2) inevitably forcing the IPO timing of "good" enterprises to be synchronized with that of the unregulated "bad" enterprises.Although regulations resolved the potential risk that imbued in China’s stock market,the cost of "good" enterprises going public as the side effect also undermined the quality of new shares.

关 键 词：IPO 上市时机选择 发行价格管制 上市企业质量 

分 类 号：F832[经济管理—金融学]