Journal of Shanxi University of Finance and Economics 10.13781/j.cnki.1007-9556.2015.05.004 IPO 300071 ~ [] [ ] A Study of the Effect of the Underwriters Interest Maximizing Behavior on IPO Overpricing under Book-building System Abstract: Key Words: 1993 [6] Booth Chua 1996 [7] IPO IPO 2005 [8] IPO IPO IPO IPO Rock 1986 [1] Baron 1982 [2] Allen Faulhaber 1989 [3] Benveniste Spindt 1989 [4] Tinic 1988 [5] Ruud 39
IPO Baron 1982 [2] Rock 1986 [1] Allen Faulhaber 1989 [3] 2009 2010 2000 [9] IPO IPO 2010 IPO 347 26 7.49% 2011 IPO 281 77 IPO 27.4% 2012 IPO 155 41 26.5% IPO 20 90 IPO IPO IPO 2004 12 18 IPO 30 2009 50~60 100 2009 6 1. IPO 2010 10 IPO IPO 2. IPO 40
2. Akerlof 1970 [11] IPO IPO Booth Smith IPO 1986 [12] Lowry 2003 [10] IPO IPO Chemmanur IPO Fulghieri 1994 [13] IPO U=Max F 1. 3. IPO 8%~12% IPO 41
Baron 1982 [2] Ljungqvist Marston Wilhelm 2006 [17] - 2010 [18] IPO IPO IPO IPO IPO IPO IPO IPO 4. IPO 1. IPO Benveniste Spindt 1989 [4] Booth Smith 1986 [11] 1-4 H1 IPO H2 IPO IPO H3 IPO H4 IPO Sherman 2005 [14] Binay Gatchev Pirinsky 2007 [15] IPO Jenkinson Jones 2009 [16] 2. IPO IPO IPO IPO IPO 5 6 H5 IPO IPO 42
H6 IPO IPO IPO 3. IPO AR AR= ar AR= ar = P 1 -P 0 /P 0 - M 1 -M 0 /M 0 100% ar IPO ar 7 8 H7 H8 H1 3 5 7 Logistic ln [ P i ]=a i +b 1 FEE+b 2 UW+b 3 IPOSIZE+b 4 NR+ 1-P i b 5 CONTROL+ε i 1 IPO AR P 1 IPO M 0 P i i 1 0 a i b k=1,2, n k IPO IPOSIZE FEE UW IPOSIZE= / IPOSIZE NR 100% NR CONTROL ε i NR= Logistic / 100% IPO 1 IPO IPO P i H2 4 6 8 IPO AR=a i +b 1 FEE+b 2 UW+b 3 IPOSIZE+b 4 NR+b 5 CON- AR TROL+ε i 2 + + FEE AR - - 1 2 UW IPO IPO IPOSIZE + + NR + + 1 1. Logistic P 0 M 1 2. FEE FEE UW 2010 2011 2012 2010 2011 2012 EPS - - ROE % - - IPO Logistic DAR % + + i - - P i 1 0 MR - - 43
3. IPO IPO IPO 2 1 IPO IPO IPO EPS 2010 16 5 21 16 5 21 2011 32 30 62 32 30 62 EPS 2012 16 17 33 16 17 33 ROE 64 52 116 64 52 116 IPO ROE DAR IPO 3 DAR GROWTH 3 N IPO Pi 232 0 1 0.50 0.5011 GROWTH FEE 232 16.79 18.90 17.69 0.3969 UW 232 0 1 0.40 0.4902 2011 IPO IPO 232 0.30 50.25 7.54 15.6860 IPOSIZE 18 NR 232 0.69 90.91 11.74 12.9613 IPO 10 EPS 232 0.12 4.71 0.92 0.4809-0.44% 232 1.23 134.27 28.62 12.4195 ROE % -0.14% 232 8.96 84.75 46.36 15.3580 DAR % 232-41.33 235.41 29.03 26.9324 MR GROWTH % 232-11.83 10.52-1.64 4.4554 MR MR = / -1 100% 1 2010~2012 IPO 116 IPO 1 1 116 IPO 232 NR 3 FEE 17.69 UW 0.40 IPO I- POSIZE 7.54 11.74 2 EPS 0.92 ROE IPO 28.62% DAR 46.36% IPO GROWTH 29.03% 1 2 3 MR -1.64 4 2 2010~2012 IPO 99 IPO CSMAR Wind CCER 1 0 44
SPSS 17.0 t Mann-Whitney U 4 4 t Mann-Whitney U IPO 4 t Mann-Whitney U 1% IPO t Mann-Whitney U IPO 4 5 5 Peason 0.532 t 0.5 5 Spearman IPO -0.696 0.53 5 Peason Spearman FEE UW IPOSIZE NR EPS ROE DAR GROWTH MR FEE 1 0.125 0.252 ** 0.140 * 0.245 ** 0.197 ** 0.121 0.01-0.009 UW 0.109 1-0.696 ** 0.153 * 0.055-0.059-0.101-0.016 0.029 IPOSIZE 0.071-0.322 ** 1-0.02 0.167 * 0.250 ** 0.155 * 0.005-0.064 NR 0.183 ** 0.200 ** 0.026 1 0.121 0.038 0.156 * 0.024 0.062 EPS 0.286 ** 0.026 0.046 0.200 ** 1 0.530 ** 0.01 0.261 ** 0.039 ROE 0.236 ** -0.007 0.041 0.173 ** 0.532 ** 1-0.024 0.397 ** 0.004 DAR 0.136 * -0.098 0.038 0.161 * -0.044-0.016 1-0.116 0.004 GROWTH 0.02 0.01-0.038 0.032 0.457 ** 0.422 ** -0.105 1 0.013 MR -0.032 0.017 0 0.05 0.029-0.043-0.001 0.044 1 Wald 0.05 1. 0.10 SPSS 45
6 7 8 6 χ 2 df Sig. 32.089 1 0.000 1 32.089 1 0.000 32.089 1 0.000 32.469 1 0.000 2 64.558 2 0.000 64.558 2 0.000 5.113 1 0.024 3 69.672 3 0.000 69.672 3 0.000 2. 1 1 1 2010~2012 99 1:1 198 9 6 χ 2 % 0.035 69.672 ** 0.017 4.275 1 0.039 1.035 1% -14.160 *** 4.245 11.127 1 0.001 0.000 7 Hosmer-Lemeshow -40.203 *** 8.483 22.460 1 0.000 0.000 Hosmer-Lemeshow -2LL=227.452 χ 2 =47.034 0.000 Cox & Snell R 2 =0.211 Nagelkerke R 2 =0.282 Hosmer- Cox & Snell Nagelkerke Lemeshow 0.512-2LL R 2 R 2 χ2 df Sig. 1 289.531 0.129 0.172 5.895 8 0.659 9 χ 2 =47.034 2 257.062 0.243 0.324 7.682 8 0.465 1% Cox & Snell R 2 = 3 251.948 0.259 0.346 10.274 8 0.246 0.211 Nagelkerke R 2 =0.282 R 2 30 % 7-2LL -2LL -2LL=251.948-2LL Cox & Snell R 2 =0.259 Nagelkerke R 2 =0.346 R 2 35% Logistic 7 Hosmer-Lemeshow Hosmer- Lemeshow 0.246>5% IPO IPO 8 IPO Wald df Sig. Exp B FEE 2.264 *** 0.462 24.019 1 0.000 9.626 ROE % 0.034** 0.016 4.490 1 0.034 1.035 MR -0.212*** 0.042 26.084 1 0.000 0.809-41.328 *** 8.154 25.688 1 0.000 0.000 IPO 8 1% 5% 1% 46 9 Logistic Wald df Sig. EXP B 2.212 *** 0.481 21.106 1 0.000 9.132
IPO IPO IPO 10 10 AR 4.84 IPO FEE IPO IPO 17.828 6 Logistic UW 0.41 IPO IPO IPOSIZE 7.17 IPO NR 13.809 IPO EPS Logistic 1.023 ROE 31.681% DAR 45.254% IPO GROWTH 31.199% IPO MR -2.059 10 N 99 0.00 19.51 4.84 3.33 99 16.7868 18.8856 17.8286 0.4014 99 0 1 0.41 0.495 IPO 99 0.4544 45.3735 7.17 9.9061 99 0.9038 58.8235 13.809 13.2334 99 0.3386 2.6994 1.0233 0.4777 % 99 11.8715 134.2685 31.6806 15.3462 % 99 13.5648 77.0377 45.2541 14.9242 99 23.4063 % 99-9.97 8.78-2.0593 4.0327 2010~2012 99 11 AR FEE UW IPOSIZE NR EPS ROE DAR GROWTH FEE 0.288 ** 1 UW -0.062 0.009 1 IPOSIZE 0.299 ** 0.068-0.374 ** 1 NR 0.232 * 0.246 * 0.150 0.044 1 EPS 0.238 * 0.317 ** 0.004 0.025 0.227 * 1 ROE 0.271 ** 0.269 ** 0.076 0.024 0.329 ** 0.482 ** 1 DAR 0.052 0.183-0.180 0.063 0.217 * -0.035 0.026 1 GROWTH -0.053 0.068 0.146-0.026-0.012 0.331 ** 0.392 ** -0.038 1 MR 0.161 0.141 0.010 0.025-0.186-0.067-0.105 0.032-0.037 11 4 FEE NR IPO IPOSIZE UW 47
3 FEE 0.288 IPO IPOSIZE 0.299 NR 12 13 0.232 12 R R 2 2 R df F Sig. 97.193 1 97.193 1 0.299 0.089 0.080 3.194 989.526 97 10.201 9.528 0.003 1086.719 98 181.368 2 90.693 2 0.409 0.167 0.150 3.071 905.333 96 9.431 9.617 0.000 1086.719 98 225.212 3 75.071 3 0.455 0.207 0.182 3.012 861.507 95 9.068 8.278 0.000 1086.719 98 12 R 2 = IPO 0.182 IPO IPO 18.2% 0.056 F=8.278 P<1% IPO 0.056 13 B t Sig. -28.126 ** 13.899-2.024 0.046 1.735 ** 0.789 0.209 2.198 0.030 IPO 0.056 *** 0.018 0.290 3.168 0.002 0.048 ** 0.021 0.222 2.337 0.022 IPO IPO IPO 13 IPO 3 IPO IPO IPO IPO IPO 1.735 IPO 1.735 IPO IPO IPO IPO IPO IPO IPO IPO 48
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