0 9 9 ( 8 ) Chna Industral Economcs Sep., 0 No.9,, (, 36005) [ ],,,,, (IPO), 009 9 00 0 4 IPO, IPO, ;, 5% 0%, IPO, [ ] ; ; ; [ ]F83.5 [ ]A [ ]006-480X(0)09-040- 009 0 3,, (,009;,00), 00, 4 33.56, 95 ; 66.68, 33.80 ;.0, 6.09,,, (,00),,,,, (,,00;,,00);,,, 40 [ ] 0-08-0 [ ] ( 70970) [ ] (976 ),,, ; (956 ),,,, ; (986 ),,,
(,00);,, (,,00);,,,, (,00) (,, 00;,00),, (00) IPO, IPO,,,, ( ),,,, (Loughran,Rtter,00;Rtter,003), IPO,IPO, (Rtter,003;Jenknson et al.,006),, IPO,, 5%(4 0%), IPO, IPO IPO,, IPO - - () (), 009 3,, ( ) 009 0 00 (00 4 ), / 4
,,,,,IPO,, (), (,,00;,009;,00;,0), (00),,, ;,, ; IPO, IPO IPO, 7 IPO 3 4 S0 000 000.0-0 300 +.0 3% 900 S 000 / 000 /.0-0. 300 +. 3% 960 S 000 8 / 000 8 /.0 - -0. 300 +.8 3% 840 S.5 500 500.0-0.5 300 +3.0 3% 00 S3.5 500 5 / 500 5 /.0-0.875 300 +3.75 3% 45 S3.5 500 5 / 500 5 /.0-0.875 300 +.0 3% +.75 6% 950 S4 max 0 0.5,500 500 500.0 -.5 300 +.0 3%+3.0 6% 700 4, IPO,.5 IPO, 500 ; / 8 / IPO, 5 / IPO ;3 () ;4 300 3% 6%
S0 IPO ; ; ( ) IPO,IPO, IPO 0,IPO,, (Bradley,Jordan,00;Loughran,Rtter,00),, IPO,IPO ( S ), ( S ), IPO S0,,IPO,,,, ( S ),,,, IPO, IPO ( S),, IPO S0 S S, IPO, ( 900 960, 00 ),, IPO ( S3 S3 S ) S3 S3, S3, (950-00 45-00 ), S3, (,009;,00;,00;,0), ( ),, IPO,IPO, IPO? (005 ), 5% ; 4, 0%,,IPO, IPO, IPO ( S4 S ), S4 IPO 4,4 ( 80.%), IPO, IPO 43
(%), 5 0 4 IPO 5, 4 0 5 (5% 0%) IPO, 0 ( ) 0 0000 0000 30000 40000 50000 ( 4 IPO ),IPO IPO 00%,IPO. (00 ), 00,, 009 9 00 0 4 IPO IPO ( ), Wnd ;, Wnd ;3IPO, Wnd ; 4IPO, CSMAR ;5IPO, IPO., 4 ovrrase α+β udwfee +β ovrssue + Σγ j CV j +ε () j ()ovrrase -, IPO, () ()udwfee,,, 4 IPO,, 95.6 +0.095 +0.0437 (.63) (.6) (5.79) 4 IPO 5%( 0%), 0.8%, 67 0, 0.97%( ); ( ) 44
N4, R 0.68, t ;, res udwfee 0.0437+res / res 0 0max(0.0437+res /,( -95.6)/,0) res < 0 udwfee, IPO udwfee IPO ovrrase (3)ovrssue ( ovrssue ), ( S) IPO,, vcoef, nsur nsur 3, -.645 vcoef IPO ovrssue, IPO,IPO ovrssue IPO ovrrase (4)CV j IPO ovrrase, CV ovrsubs, IPO IPO ( ), IPO, ovrsubs IPO ovrrase CV mret3m, IPO 3, 00 6, ( 3990), mret3m IPO ovrrase CV 3 nsur, ( 5%),IPO, nsur IPO a fcpr a + a a, A fcpr Σfcpr a A a Σ(fcpr a -fcpr ) (A -) a A vcoef fcpr A, nsur 3 (res >0), udwfee ; (res <0),, udwfee, ( ),, IPO, (vcoef ),/(-.645 vcoef ) 95% 45
IPO nsur, nsur -.645 vcoef IPO ovrrase CV 4 ( ) bg3 4 IPO 0 9, IPO bg3., 4 IPO ovrrase,.0 (.94 ),4 339.5, 054., 74.6, 6.09, 3.355 3.8, 0.4448! udwfee, udwfee, 0 IPO ( ), 4.8.99, 800 900,, 0;, 4.4, 4399., 0.04% ovrssue,, 4 IPO.4, ( ) 0, 4.30 ovrsubs IPO,, 65.36 ( e 4.8 ); mret3m 9.34%, 009 6 00 0 ; nsur, IPO ; bg3 0.8, 8% IPO ovrrase,.0.07.3 0.50.94 6.09 udwfee, (%) 4.39.8 0.05 0.00 4.49 0.04 ovrssue,.4 0.79. -0.09.09 4.30 ovrsubs, (ln) 4. 0.34-0.90.9 4.8 4.66 mret3m, (%) 9.34.38 0.6-7. 7.49 3.9 nsur,.53 0.34.47.4.47 3.53 bg3, 0.8 0.45 0.97 0.00 0.00.00 46
. 3 4 IPO 4 (Intragroup Correlaton), 3 ovrrase, 3 udwfee, (%) + 0.006(0.75) -0.006(-0.47) ovrssue, +.083***(8.974) ovrsubs, (ln) + 0.5(0.459) 0.33(0.484) 0.403***(3.98) mret3m, (%) + 0.04*(.08) 0.04*(.087) 0.07***(6.60) nsur, + 0.335(0.86) 0.333(0.846) bg3,? 0.476**(3.06) 0.465**(3.479) 0.39(.59) _cons, 0.806(0.83) 0.75(0.763) -.06*(-.309) 4 4 4 R 0.069 0.06 0.699 VIF.09.5. VIF.5.0. t ;* ** *** 5% % 0.% 4, IPO 0.476, % ; mret3m 5%,mret3m (.38%), 0.6 ; (ovrsubs nsur), 5% udwfee, 5%,, udwfee, 3 ovrssue ovrssue nsur, nsur 3, R 0.06 0.699, ovrssue 0.%,,ovrssue 4, IPO IPO.0 0.4,.06, 0, IPO, 3,ovrsubs, mret3m 0.%, IPO ;bg3 3 VIF..,, 3. 3, 47
IPO IPO ( ) IPO, udwfee,,,, ( ) ( )?,, (0) 4 IPO, IPO, IPO,?, IPO 0%, 0.88% 3.40%, IPO 0%, ( ),? 4 IPO,, 00 0 3 IPO, -0.% 49.8%( 4.%, 7 IPO ) IPO, IPO 3, IPO, ovrssue,, 5%,,, 3 4 ( 0%), 39 IPO,.03, 3.46, IPO, 3 (), IPO, (Counterfactual), IPO 0?, 64%( 66%, 86%, 33%), 3 popr0.459+0.983 meanpr( IPO,meanpr,N4,R 0.99), H 0 meanpr (p 0.37), 30043-30074 T.9%, 3.5% 48
, IPO, IPO 4 IPO, IPO 5%(4 0%) IPO,,, ( ), IPO,, (), IPO, ( 50% ) IPO,,,, (, ),, (),,, IPO,,,,,, (Shelf Regstraton) ;,, (3),, IPO, IPO IPO, IPO,, IPO ; IPO ( 50%), IPO, 49
;, 6, ;,,, Bradley, D. J., and B. D. Jordan. Partal Adjustment to Publc Informaton and IPO Underprcng [J]. Journal of Fnancal and Quanttatve Analyss,00,37(4). Jenknson T., A. D. Morrson, and W. J. Wlhelm. Why Are European IPOs so Rarely Prced outsde the Indcatve Prce Range[J]. Journal of Fnancal Economcs,006,80(). 3 Loughran T., and J. R. Rtter. Why Don t Issuers Get Upset about Leavng Money on the Table n IPOs[J]. The Revew of Fnancal Studes,00,5(). 4 Rtter J. R. Dfferences between European and Amercan IPO Markets [J]. European Fnancal Management, 003,9(4). 5,. [J].,00,(). 6,. [J].,00,(). 7. [N].,00--5. 8,. [N].,00-09-06. 9. [N].,009--6. 0,,. [N].,009-0-4.. [J].,00,(7).,. 489 [N].,00-08-6. 3. 35 607 46 30 [N].,00-0-7. 4. [N].,0-0-6. 5,,. IPO [R].,0. The Puzzle of Over-rasng Captal n ChNext Interests-drven or Insttutons-made ZENG Yong-y, WU Sh-nong, WU Ran-je (School of Management, Xamen Unversty, Xamen 36005, Chna) Abstract Tr-hghs phenomena (.e., hgh ssue prces, hgh P/E and hgh over-rasng captal) have receved extensve attenton and suspcons from the very begnnng of ChNext s establshment. As a unque phenomenon n Chnese developng and transtonal captal market, researches on the hgh over-rasng phenomenon are of great theoretcal and polcy mportance. Based on a mechancal model of hgh over -rasng, the paper proposes two hypotheses and then uses the data of 4 ChNext s ntal publc offerngs (IPOs) between September 009 and October 00 to test them emprcally. Whle we fnd lttle support to the nterests-drven hypothess,.e., underwrters ncentve to boost ther underwrtng fees causes the hgh over-rasng phenomenon through prcng IPOs hgh delberately, we show that Securtes Law s Provsons of Lstng requrements are nsttutonal roots of hgh over-rasng. Key Words ChNext; over-rasng captal; underwrtng fees; nsttutonal constrants 50