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抑价率居高不下，引起了学术界的广泛关注。 2020年8月24日至2021年11月20日期间，该市场的平均利用率达到238%，远高于更成熟的市场。 2020年底后持续走高，IPO抑价率居高不下，部分原因可能是赢家诅咒理论，也可能涉及投资者情绪、发行制度等因素，但IPO出现这种上升趋势的原因抑价率仍然很大程度上未知。有媒体认为，抑价率上升与串通有关。机构投资者可能会合谋报低价格，从而避免淘汰并获得更高的回报率，因此这些投资者的报价将继续下跌。然而，当机构投资者众多时，串通的情况就不太可能发生。我结合股价的历史走势和相关政策，在证监会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，承销商需要剔除至少10只股票。 % 的最高报价，并且这些投资者不会收到股票。因此，与美国或荷兰的拍卖不同，中国IPO定价体系中线下投资者的竞价不会导致最高出价者获得股票，因为出价过高或过低都会被淘汰。因此，由于市场上的新股数量较少，而且中标往往能带来较高的回报，因此，线下投资者有动力在新制度下通过报价中间价来提高中标率。因此我提出一个解释来解释中国市场如何以及为什么会出现如此高的抑价率。我认为IPO定价规则是有缺陷的，并且我认为旨在消除高价的报价规则鼓励了低价报价。市场报价的逐步下滑是新政策的必然结果，因为它影响了线下投资者的积极性，因此他们只能报价中间价格，而不是识别企业的真实价值。当所有报价都相同时就达到了均衡，而线下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估值来降低抑价率，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，以展示定价低效率问题的严重性。我用得到的数据分析了这个问题，实证结果与我的理论是一致的。