作　者：胡志强 程丽媛 胡渊
关键词：询价制改革； IPO价格； 询价机构报价
摘　要：

根据询价制改革路径，建立动态博弈模型研究新股定价过程中询价机构的报价行为，通过分析博弈模型可能趋向的演化稳定状态，得出询价机构的报价稳定策略。在博弈模型结果基础上，引入询价制改革影响，实证研究四次改革的具体措施对机构报价稳定策略及新股抑价率的影响。结果表明，询价制改革起到了提高报价机构竞争程度的作用，因此能够使询价更充分，并降低新股抑价率。在询价制历次改革进程中，新股定价市场化程度与定价效率得到了提高。该研究结果为新股发行制度的向注册制改革提供了理论参考。

An Empirical Research on Inquiry Institutions’ Bidding Behavior under Book-building System Reform by Dynamic Game Model
 

Hu Zhiqiang, Cheng Liyuan & Hu Yuan （Wuhan University）

Abstract:Based on the factual experience and reform path of IPO and its pricing in China’s stock market, we build a dynamic game model to study the individual quotation behavior of inquiry institutions and their overall quotation strategy in the process of China’s IPO pricing. The issue of new shares is a multi-participant dynamic game process involving the issuers of the new stock, the issuing underwriters, the new stock inquiry institutions and the market investors, each of whom will make decisions out of the interest of their own and influence the final issue price as well. Considering the influence on IPO price and pricing efficiency in the process of reforming and implementing China’s IPO inquiry system, it is of great significance to explore the reform of the IPO inquiry system and its impact on China’s IPO price and pricing efficiency. Since the quotation of inquiry agencies involves multiple participants that will interact with each other, we establish a dynamic game model among inquiry institutions, using the evolutionary stable strategy and the replicated dynamic equation to study the quotation behavior of the inquiry agencies in the process of the IPO quotation. One of the characteristics of our model is that participants’ complete rationality is not required; instead, we emphasize their mutual learning and adaptation, which better reflects the actual properties of the inquiry institutions’ quotation behavior in China’s stock market. Meanwhile, based on the analytical result of our dynamic game model, we sort out the course of the reformation of the inquiry system for issuing new shares in China’s stock market systematically, and study studying the influence the variousreform, during which differentiated measures are taken, shed on the quotation of inquiry institutions and the efficiency of IPO pricing separately. The theoretical analysis indicates that the first reform of China’s IPO inquiry system, which abolished the restriction on the price-to-earnings ratio of new shares, increased the competition intensity among inquiry agencies and reduce the IPO price suppression rate. The second IPO inquiry system reform in China expanded the number of institutions that participate in the inquiry of the new issue, and therefore further strengthened the level of competition among the inquiry agencies and at the same time reduce the IPO price suppression rate. During the third reform, administrative guidance was added to price new shares by regulators, which reduced the competition efficiency of the inquiry among agencies and thereby raise the rate of IPO suppression. In the fourth one, due to the introduction of an independent placing mechanism of the underwriters, the degree of competition among the inquiry agencies will be strengthened.This will reduce the rate of IPO suppression.
We use the data of small and medium-sized IPO enterprises in China’s stock market from 2000 to 2015 as our samples for our empirical tests. The market adjusted rate of return (MAR) is selected as the explanatory variable, while the sequence of the reform of China’s IPO inquiry system (REF) is introduced as a virtual variable. Besides, the oversubscribed multiple (OSR) is a variable that represents the competition degree of the inquiry institution. In addition, we introduce an interaction term of these two variables to explore the impact the reform of inquiry system casts on the competition degree of inquiry institutions. Several controlled variables are also included in our model, such as the length of the companies’ listing, the profitability of the enterprises, firms’ capital structure, the issuance scale of enterprise shares, the Market sentiment, the cost of the IPO issue, etc. In this multivariable regression model, we study the impact of the reform on thecompetition level of the inquiry institutions as well as the final pricing efficiency of the new shares. The empirical results show that China’s IPO inquiry system reform do make contribution to improve the competition of institutions and thus has decreased the rate of IPO underpricing. In general, a series of previous reformation of China’s IPO inquiry system conducted by our government has improved the degree of marketization of IPO pricing and the pricing efficiency has also been significantly modified. To be more precise, in virtue of the higher expected price of new shares in the secondary market, the dynamic game between those inquiry agencies results in an increase of the offer of new shares. In order to test and verify the robustness of our empirical results, we introduce several control variables (which have been mentioned above), as well as making correction of heteroscedastic data by repeating the manipulation of using a generalized least squares regression, which is proved to make no difference with our empirical result.
In summary, this paper reviews all the previous IPO inquiry system reforms as well as their impact on inquiry agencies and China’s IPO pricing efficiency under the IPO registration system. We find that the IPO inquiry system reform is effective to increase the level of competition among institutions and has a significant influence on the IPO underpricing rate of the stock market in China. Our research makes contribution to the study of the quotation behavior of inquiry agencies and therefore helps the market to play a better role in the process of resource allocating. It is also beneficial to promote the reform of the new issue system in China, as well as providing advantageous theoretical reference for attempts to optimize the IPO system.
 

Key words:book-building system reform; IPO price; bidding behaviors

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