Collusion or Unreasonable Rules: Evidence from Chinese IPO Underpricing

共谋或不合理规则：来自中国IPO抑价的证据

• 批准号: 2752320
• 金额: --
• 依托单位: London School of Economics and Political Science
• 依托单位国家: 英国
• 项目类别: Studentship
• 财政年份: 2022
• 资助国家: 英国
• 起止时间: 2022 至 无数据
• 项目状态: 未结题
• 来源: https://gtr.ukri.org/projects?ref=studentship-2752320
• 关键词: Collusion; Unreasonable; Rules; Evidence; Chinese

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.

我国IPO抑价率高的问题引起了学术界的广泛关注。在2020年8月24日至2021年11月20日期间，该市场的平均利率达到238%，远高于更成熟的市场。2020年底后，该比率继续上升。这种高IPO抑价率可能部分由赢家诅咒理论解释，也可能涉及投资者情绪和发行制度等因素，但IPO抑价率这种上升趋势的原因在很大程度上仍然未知。有媒体认为，抑价率不断上升与合谋有关。机构投资者可能合谋报出低价，从而避免被淘汰，获得更高的回报率，因此这些投资者报出的价格将继续下跌。然而，当有许多机构投资者时，不太可能发生串通。我结合历史股价走势和相关政策，在2020年8月中国证监会出台的制度中识别出高价剔除规则。网下投资者报价后，承销商被要求剔除至少10%的最高报价，这些投资者得不到股份。因此，与美国或荷兰拍卖不同，中国IPO定价体系中线下投资者的出价不会导致出价最高的人获得股票，因为过高或过低的出价都会被淘汰。因此，由于市场上的新股数量较少，而且中签股票总是会带来相对较高的回报，因此，在新制度下，网下投资者有动机通过报中间价来提高中签率。因此，我提出了一个解释，以解释中国市场如何以及为什么有这么高的抑价率。我认为IPO定价规则是有缺陷的，我认为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的必然结果，因为它影响了线下投资者的动机，他们因此报出中间价格，而不是确定公司的真正价值。当所有报价都相同时，达到均衡，由于离线投资者可以从较低的报价中获得较高的回报，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抑价率，并可以获得更多的融资作为IPO抑价的补偿。为了更好地了解中国的金融市场，我还对Dook Media进行了案例研究，以证明定价效率低下问题的严重性。笔者利用所得数据对这一问题进行了分析，实证结果与笔者的理论是一致的。