Collusion or Unreasonable Rules: Evidence from Chinese IPO Underpricing

中国的高抑价率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，这一市场的平均增长率为238%，远远高于更成熟的市场。2020年底后，这一比率继续上升。这种高的IPO抑价率可能部分可以用赢家诅咒理论来解释，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不清楚。一些媒体认为，抑价率的上升与串通有关。机构投资者可能会合谋报低价格，从而避免被淘汰，获得更高的回报率，因此这些投资者的报价将继续下降。然而，当有众多机构投资者时，串通不太可能发生。我将股价的历史变动与相关政策相结合，在中国证监会于2020年8月推出的制度中确定了高价剔除规则。网下投资者报价后，承销商被要求剔除至少10%的最高报价，这些投资者不会获得股票。因此，与美国或荷兰的拍卖不同，在中国的IPO定价系统中，网下投资者的竞标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将被淘汰。因此，网下投资者有动力在新制度下通过报价中间价来提高中签率，因为市场上的新股数量很少，而且赢得股票总是会产生相对较高的回报。因此，我提出了一种解释，以解释中国的市场如何以及为什么会有如此高的抑价率。我认为IPO定价规则是有缺陷的，我认为旨在消除高价格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，因为它影响了网下投资者的激励，这些投资者因此报出中间价，而不是识别一家公司的真实价值。当所有报价都相同时，就达到了均衡，由于线下投资者可以从较低的报价中获得更高的回报，结果往往是一个统一的报价，价格趋于零。因此，我预测发行公司可以在上市前提高估值以降低抑价率，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，以证明定价低效问题的严重性。笔者利用所获得的数据对这一问题进行了分析，实证结果与我的理论基本一致。

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.