创业板IPO发行定价合理吗_

IPO710049IPO、IPO。IPO。IPO。IPOF270A1002－9753201109－0156－11ResearchonRationalityofIPOIssuePricesinChina’sGrowthEnterprisesGUOHai－xingWANDi－fangSchoolofManagementXi’anJiaotongUniversityXi’an710049ChinaAbstractThispaperchallengestheassumptionofIPOissuepricebelowtheintrinsicvalueinthemainstreamIPOun-derpricingtheory．WefirstlymakeanempiricaltestonIPOissuepricerationalityinChinagrowthenterprisemarketbasedonusingtheresidualincomevaluationmodelstochasticfrontiermodelandregressionmodel．ThetestresultsshowIPOissuepriceinChinagrowthenterprisemarketdeviatesfromintrinsicvaluehavingsignificantthelowerfrontierchar-acteristicsexistingpricebubble．FurthermorewemakeanempiricaltestonIPOunderpricingcauses．Wefinditisdif-ferentfromdeliberateIPOunderpricingintheforeigncountryspeculationbehaviorinsecondarymarketisthemaincauseofIPOunderpricing．KeywordsIPOissuepriceunderpricingintrinsicvalue2011－01－112011－09－121979－。、20096《》IPO———“”IPO———“IPO”。、“”、“”“”。IPO、、IPO、。200966420085165120119。“、、”“”。、。。200910、。、、、。。100。50。。2010526861720%。、。IPOIPO、IPOIPOIPO。IPO。、IPO“”。、。。。。、。。。Ohlson19951。OhlsonOhlson2－4Ohlson5。Lee19996。751IPO。。IPO。IPOIPO。Ibbotson1975120IPO11.4%IPO。IPO、、。Rock19867。Welch1989IPOIPOIPO8。Welch1992IPO“”9。Balvers1988IPO。IPO10。LoughranRitter2004IPO11。IPO。RitterWelch2002IPOIPO12。。IPO。IPO。199713、ChiPadgett200214。200115200416。200617、200618。200319200920IPO。IPO21。199922IPO。20062319972004IPOIPOIPO。IPO1IPOIPOIPO85120119IPO。2IPO。3、、。IPO。IPO。、IPOIPO。IPO。、20096200910“、、”、、、。。IPO。。。。。ChemmanurFulghieri199424IPOIPO。01。。。IPO。IPO。951IPO。。。2005IPO20096。“”。。。。、。25－27IPO28。2010331。IPOIPO。1H1IPO。。1。2H2IPO。、1。1.Lee19996Ohlson19951Vt=Bt+FROEt+1－re1+reBt+FROEt+2－re1+re2Bt+1+TV1FROEt+i=FEPSt+i/Bt+i－1TV=FROEt+3－re1+re2reBt+2T=3Bt+i=Bt+i－1+FEPSt+i－FDPSt+iFDPSt+i=FEPSt+i*kVttBttFDPSt+it+iFRO-Et+1FROEt+2t+1t+2。reTV。2.IPO06120119。Hunt199629Pi=fXiβ+ei2ei=vi+uivi～N0σvui=minui0ui～N槡2/槡πσuσu2σ2=σv2+σu2γ=σu/σPiXiβ200330、x1x2、x3、x4、5。1x1。。2x2。。3x3。REP。4x4。IPO。5x5。。。eivi0ui。γ0OLSγ0。Pi=fXiβ+ei3ei=vi+uivi～N0σvui=max0uiui～N槡2/槡πσuσu2σ2=σv2+σu2γ=σu/σuiγ0。3.Haessel197831Dufwenberg200532。Dufwen-berg200532IPO。OP=α0+α1V+ε4MP=β0+β1V+ε5OPMPV12。200623。4.IPO2ARiIRi=α0+α1TOi+α2ILLIQi+α3LSPi+α4/mathop/rmR/nolimitsEPi+α5YEARi+α6LWRi+εi6IRARIPO。TOScheinkmanXiong200333。。161IPOILLIQ。REP、LSP、YEARLWR。1IR。IR=P1－P0/P0P0P1。2AR。AR=P1－P0P0－M1－M0M0P0P1M0M1。3TO。TO=tradingsharetradablesharetrading-sharetradableshare。4ILLIQ。ILLIQ=rvolrvol。5REP。3REP。6LSP。LSP=lnLS*OPLSOP。7YEAR。YEAR。8LWR。/。20091030201141183csmarcsmar20072009。EXCEL2003CoelliFRONT4.1STATA10.0。、IPO1。1IPO222733.669131IPO“”0.58IPO0.4517。IPO2.79.921IPO1IPO18333.60428.99517.24111.38818368.98365.5119.55636126.67183131.36124.23144.49435.255285.9671830.5980.4750.444－0.0992.0971830.580.4770.4250.0012.0651832227.2321950999.223100062001832.7292.550.9681.276.551839.9138.664.6484.125.13183211517.45417326120119。IPOIPO。t2。2tIPO。IPOHunt1996IPO。IPO3。3γ0ei。γ0.721t4.14γ=01。IPO。OLS31%2IPOt18333.60428.99517.24118340.52831.48127.2173.2890.00152.9380.00333IPOMLEMLEOLSlnx10.231E+0213.08＊＊＊0.213E+029.13＊＊＊0.62614.06＊＊＊lnx20.545E+0221.61＊＊＊0.518E+026.28＊＊＊1.3147.13＊＊＊lnx3－0.128E+01－1.99*－0.158E+01－1.32－0.061－2.25＊＊lnx4－0.124E+01－0.529－0.155E+01－0.61－0.089－1.52lnx5－0.251E+01－1.0－0.249E+01－0.99－0.101－1.71*Constant－0.493E+03－163.26＊＊＊－0.468E+03－6.09＊＊＊－8.811－5.19＊＊＊σ20.792E+026.51＊＊＊0.14E+033.52＊＊＊γ0.1E－070.00010.6873.87＊＊＊F65.67R20.7722t*＊＊＊＊＊10%5%1%4IPOOPCoef.Std.Err.TP＞|t|95%ConfFR2V0.4550.0499.250.0000.357Constant15.152.46.320.00010.3760.51785.54361IPO5IPOMPCoef.Std.Err.tP＞|t|95%ConfFR2V0.6780.0729.460.0000.536Constant23.4323.4956.70.00016.47789.440.5285%。10%。。IPO、1IPO45。4IPO1%R20.517。5IPO1%R20.528。。45IPO。IPOIPOIPO6。6IPOARiIRi=α0+α1TOi+εiARiIRi=α0+α1TOi+α2ILLIQi+α3LSPi+α4/mathop/rmR/nolimitsEPi+α5YEARi+α6LWRi+εiIRARIRVIFARVIFTO2.51611.34＊＊＊2.33510.48＊＊＊1.6129.19＊＊＊3.511.4388.1＊＊＊3.51ILLIQ0.44610.7＊＊＊3.170.4510.66＊＊＊3.17REP－0.001－0.421.57－0.001－0.711.57LSP0.4717.48＊＊＊1.520.4767.47＊＊＊1.52YEAR－0.005－0.941.23－0.005－0.941.23LWR－0.2－2.34＊＊1.08－0.185－2.14＊＊1.08Constant－1.288－7.62＊＊＊－1.17－6.89＊＊＊－5.981－8.67＊＊＊－5.932－8.49＊＊＊Meanvif2.012.01F128.68109.8575.0265.89R20.6170.5790.8570.841Numberofobs183183183183t*＊＊＊＊＊10%5%1%461201196TOTOIRAR1%0.579。TOIRAR1%0.8412。TO1.438TO0.579IPO。ILLIQIRAR1%。。LSPIRAR1%。IPO25%、4∶1。YEAR。LWRIRAR5%。、IPO、、。IPO、。、IPOIPO。IPOIPO“”“”“”。1OhlsonJamesA.EarningsBookValuesandDividendsinSecurityValuationJ.ContemporaryAccountingResearch199511661－687．2BernardV.TheFeltham－OhlsonFrameworkImplicationsforEmpiricistsJ.ContemporaryAccountingResearch199511733－747．3PenmanStephenHTheodoreSougiannis.AComparisonofDividendCashFlowandEarningsApproachestoEquityValu-ationJ.ContemporaryAccountingResearch1998153343－383．4FrancisJPOlssonDOswald.ComparingtheAccuracyandExplainabilityofDividendFreeCashFlowandAbnormalEarningsEquityValuationModelsJ.JournalofAccountingResearch200038145－70．5FrankelRichardandCharlesMCLee.AccountingValua-tionMarketExpectationandCross－SectionalStockReturnsJ.JournalofAccountingandEconomics199825283－319．6CharlesMCLeeJamesMyersandBhaskaranSwami-nathan.Wha