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.

中国的高价开发率率很高引起了广泛的学术关注。在2020年8月24日至2021年11月20日之间，该市场平均达到238％，这远高于更成熟的市场。率在2020年底之后持续上升。胜利者的诅咒理论可能会部分解释这种高级IPO上价率，而投资者情绪和发行系统等因素可能涉及，但是这种IPO趋势上升趋势的原因定价不足的速度在很大程度上未知。一些媒体认为，上价不断提高与勾结有关。机构投资者可能会共同报告低价，因此避免取消并获得更高的回报率，因此这些投资者报价的价格将继续下跌。但是，当机构投资者众多时，不太可能发生勾结。我将股票价格的历史运动与相关政策结合在一起，并在2020年8月在中国证券监管委员会（CSRC）引入的系统中确定了高价淘汰规则。离线投资者报价后，承销商必须至少消除10个最高报价的百分比，这些投资者没有收到股票。因此，与美国或荷兰拍卖会不同，中国IPO定价系统中离线投资者的竞标不会导致竞标者获得股票的最高竞标，因为竞标过高或太低的投标将被消除。因此，离线投资者有动力通过引用新系统下的中级价格来提高其获胜率，因为市场上的新股票数量少，并且赢得股份总是会产生相对较高的回报。因此，我提出了一种解释，以解释中国市场的价格低估率这么高。我认为IPO定价规则存在缺陷，我确定旨在消除高价的报价规则鼓励了不足的报价。市场报价的逐渐下降是新政策的不可避免的结果，因为它影响了离线投资者的激励措施，后者引用了中间价格而不是确定公司的真实价值。当所有报价相同时，就达到平衡，并且由于离线投资者可以从较低的报价中获得更高的回报，因此结果往往是统一的报价，价格往往为零。因此，我预测，发行公司可以在公开上市之前提高其估值，以降低定价率，并可以获得更多的融资作为IPO奈斯定价的补偿。为了更好地了解中国的金融市场，我还对Dook媒体进行了案例研究，以证明定价效率低下问题的严重性。我使用获得的数据分析了这个问题，经验结果与我的理论一致。