询价制调整与科创企业新股定价效率——基于询价机构网下报价视角的研究  

Adjustment of Inquiry System and Pricing Efficiency of New Shares in Sci-Tech Enterprises:A Study Based on Offline Quotation by Inquiry Agencies

作　　者：曹奥臣 宋顺林[2] CAO Aochen;SONG Shunlin(Central University of Finance and Economics,Beijing 100081,China)

机构地区：[1]中央财经大学经济学院 [2]中央财经大学会计学院

出　　处：《金融评论》2023年第4期70-92,125,共24页Chinese Review of Financial Studies

摘　　要：制度变革是解释新股超额收益成因的经典理论之一。9.18询价制调整将询价机构报价的“高剔”比例由“不低于10%”调整为“不超过3%”。本文基于这一独特制度背景,以科创板和注册制创业板市场中2019年7月至2022年8月上市730家IPO公司为样本,系统分析与检验了询价制调整与科创企业新股定价效率的关联。我们发现:(1)询价制调整显著加剧了询价机构的报价分歧;(2)询价机构报价分歧的增加推高了新股发行价,进而导致询价制调整后的IPO超额收益率与IPO抑价率显著降低;(3)进一步研究发现,询价制调整还助长了IPO“三高”问题中的IPO高超募率与IPO高市盈率,保荐机构子公司跟投制与询价制调整的联动能够缓解IPO高定价问题。本项研究对全面注册制下的询价制度优化存在启示。This paper examines the impact of the adjustment to the 9.18 inquiry system,specifically the modification of the"high tick"ratio from"not less than 10%"to"not more than 3%".With this unique institutional change as the backdrop,our research systematically investigates the relationship between the adjustment of the inquiry system and the pricing efficiency of new shares in scientific and technological innovation enterprises.Our study draws from a sample of 730 IPO companies listed on the Science and Technology Innovation Board and the registered CEM market between July 2019 and August 2022.The findings reveal the following key insights:Firstly,the adjustment of the inquiry system leads to a significant increase in price disparity among inquiry institutions.Secondly,the heightened divergence in pricing among inquiry institutions results in an upward push on the IPO price.This,in turn,brings about a notable reduction in the rates of IPO excess return and IPO underpricing after the adjustment of the inquiry system.These results validate the applicability of Miller's(1977)hypothesis within China's Science and Technology Innovation Board and registered GEM market.Furthermore,the study demonstrates that investor sentiment plays a significant role in amplifying the negative impact of the inquiry system adjustment on IPO excess returns.However,this sentiment does not considerably influence the relationship between the inquiry system adjustment and the IPO underpricing rate.Additionally,our investigation indicates that the adjustment of the inquiry system contributes to higher IPO fundraising rates and elevated IPO Price-to-Earnings(P/E)ratios,addressing the"three high"issue in IPO.Notably,the affiliation between the sponsor agency's subsidiary and the adjustment of the inquiry system can mitigate the challenge of high IPO pricing.These findings provide insights into the enhancement of the inquiry system within the framework of a comprehensive registration system.

关 键 词：注册制 询价机构 报价分歧 询价制调整 IPO定价 

分 类 号：F832.51[经济管理—金融学]