Collusion or Unreasonable Rules: Evidence from Chinese IPO Underpricing

中国IPO的高抑价率引起了学术界的广泛关注。该市场在2020年8月24日至2021年11月20日期间的平均渗透率达到238%，远高于其他成熟市场。2020年底之后，这一比率继续上升。如此高的IPO抑价率可能部分由赢家诅咒理论解释，投资者情绪和发行制度等因素也可能参与其中，但IPO抑价率上升的原因在很大程度上仍是未知的。一些媒体认为，不断上升的低定价率与串通有关。机构投资者可能合谋报低价格，从而避免被淘汰，获得更高的回报率，因此这些投资者所报的价格将继续下跌。然而，当机构投资者众多时，不太可能发生合谋。我将股票价格的历史走势与相关政策结合起来，识别出中国证监会于2020年8月推出的高价淘汰规则。线下投资者报价后，要求承销商剔除至少10%的最高报价，这些投资者不收股。因此，与美国或荷兰的拍卖不同，在中国IPO定价体系中，线下投资者的出价并不会导致出价最高的人获得股票，因为出价过高或过低的人将被淘汰。因此，在新制度下，由于市场上的新股数量较少，并且赢得股票总是会产生相对较高的回报，线下投资者有动机通过引用中间价格来提高他们的中胜率。因此，我提出了一个解释，来解释中国市场如何以及为什么会有如此高的低定价率。我认为IPO定价规则存在缺陷，旨在消除高价的报价规则鼓励了低报价。市场报价的逐渐下降是新政策不可避免的结果，因为它影响了线下投资者的积极性，他们因此报价中间价格，而不是确定公司的真实价值。当所有报价都相同时，达到均衡，由于线下投资者可以从较低的报价中获得较高的回报，因此结果往往是价格趋于零的统一报价。因此，我预测发行公司可以在上市前提高其估值以降低低定价率，并且可以获得更多的融资作为IPO低定价的补偿。为了更好地了解中国金融市场，我还对德克传媒进行了案例研究，以证明定价效率低下问题的严重性。我利用得到的数据对这个问题进行了分析，实证结果与我的理论一致。

The high rate of IPO underpricing in China has attracted extensive academic attention. An average rate of 238% was reached in this market between August 24, 2020 and November 20, 2021, which is much higher than that of more mature markets. The rate continued to rise after the end of 2020. This high IPO underpricing rate may be partly explained by the winner's curse theory, and factors such as investor sentiment and the issuance system may be involved, but the reasons for this rising trend of the IPO underpricing rate remain largely unknown. Some media have argued that the increasing underpricing rate is related to collusion. Institutional investors may conspire to report a low price and thus to avoid elimination and obtain a higher rate of return, and so the prices quoted by these investors will continue to fall. However, collusion is unlikely to occur when there are numerous institutional investors. I combined the historic movements of stock prices with the relevant policies and identified high-price elimination rules in the system introduced by the China Securities Regulatory Commission (CSRC) in August 2020. After offline investors quote, the underwriter is required to eliminate at least 10% of the highest quotations, and these investors do not receive shares. Thus, unlike in American or Dutch auctions, the bidding of offline investors in China's IPO pricing system does not result in the highest bidders obtaining stocks, as bids that are too high or too low will be eliminated. Thus, offline investors have an incentive to increase their winning rate by quoting intermediate prices under the new system because of the small number of new shares in the market and because winning the shares always yields a relatively high return. I therefore proposed an interpretation to explain how and why China's market had such a high underpricing rate. I believe that the IPO pricing rules are flawed, and I establish that the quotation rules aimed at eliminating high prices encourage under- quotation. The gradual decline in market quotations is an inevitable result of the new policy, as it affected the incentives of offline investors, who consequently quote intermediate prices rather than identifying the true value of a firm. Equilibrium is reached when all quotations are the same, and as offline investors can obtain higher returns from lower quotations, the result tends to be a uniform quotation at a price that tends toward zero. Thus, I predict that the issuing company can increase its valuation before going public to reduce the underpricing rate and can obtain more financing as compensation for IPO underpricing. To better understand China's financial market, I also conducted a case study of Dook Media to demonstrate the severity of the pricing inefficiency problem. I analyzed this problem using the data obtained, and the empirical results are consistent with my theory.