中国大型国有企业海外IPO定价问题研究

上海交通大学硕士学位论文中国大型国有企业海外IPO定价问题研究姓名：郭庆申请学位级别：硕士专业：金融学指导教师：杨朝军20070101IPO1IPOIPOIPOIPOIPOIPOAIPOIPOIPOIPOIPOIPOIPOIPOIPOIPO2AIPOIPOIPOIPO+HHHIPOIPOIPO3RESEARCHONTHEPRICINGOFCHINALARGESTATE-OWNEDENTERPRISES’IPOABROADABSTRACTInrecentyears,moreandmorelocalandhigh-qualitybusinessenterprisesrushedtoIPOabroad.Thistrendcausedmanylocalscholarsworried,andcausedmanyrelatedissues.Thecurrentfinancingabilityofourlocalstockmarketislimited,andthere’restillalotofbusinessenterpriseshavestrongdesiretoIPOabroad.Theissueofthestate-ownedpropertiesarecheaplysoldmakesthesebusinessenterprisesfeltmorepressure.Therefore,thestudyoftheoversealistedcompanies’IPOpricelevelexactlyisareasonabletopicandisverymeaningful.AimatthecurrentissueoftheoverseaIPOpriceproblem,accordingtothecurrentIPOpricingmethod,theauthorselectstheinitialP/Eratio,P/Bratioandunderpricingtobetheguidelines.Throughthestatisticsofseveralmainstockmarkets’IPOdata,theauthorfirstlyconsiderwhetherthedatafromdifferentmarketscanbecompared,thenmakethecomparisonwiththedataofthelocalAshare,toseewhethertheoverseaIPOpricinglevelistoolow.Chapter1ofthispaperisanintroduction,mainlyintroducingthebackground,relatedresearchoverview,thewayofthinkingandthestructureofthestudy.Chapter2isasummaryintroductionaboutcurrentbasictheoriesoftheIPOpricing,theIPOpricingmethods,theIPO4phenomenonandreasonofunderpricing,andthedifferencesofIPOsystemsbetweenChinaandforeigncountries.Inchapter3,theauthorfirstintroducetheIPOconditionsofseveralmainstockmarkets,thenmakethecomparisonwiththedataofthelocalAsharemarket.AccordingtothecurrentconditionoftheoverseaIPOs,theauthorpayattentiontoNYSEandHKSE,collectandanalyzetheinitialP/Eratio,P/Bratioandunderpricingratio.Theauthorwanttodemonstratewhetherthere’redifferencesbetweenthepricinglevelindifferentmarketsandwhetherthepricinglevelcanbecomparedthroughthecomparisonofthedata.Inchapter4,theauthordidtheempiricalanalysistohavefurtheranalysisthroughthreeaspects:thewholemarkets,IPOyears,andthebelongedindustries.Thelastchapteristhesummarizationofthewholepaper.TheempiricalanalysisshowsthattheoverseaIPOpricinglevelcan’tbecomparedwiththeemergingandreformingmarketsbutwiththedevelopedmarketssuchasNewYorkandHongKong,especiallythelistedcompaniesinHKSEexemptHsharesasthebenchmark.TheempiricalanalysisshowsthatthepricingofChinaStated-ownedenterpriseslistedabroadareinwholereasonable,andthereisn’tanysystematicundervaluation.KEYWORDSChineselargeStated-ownedenterprises,listedabroad,IPOpricing,initialP/Eratio,initialP/Bratio,underpricingIPO-1-1.11993HIPO200520052005IPOIPO-2-IPO2005IPOIPOIPO20052200520052005A4.22H1.61.604.225.8H2.352.6913.6515.6200420053512.320041020036.3158.50.8132.352.503.0862005200533530%IPO-3-37200555%3192139%20056746%193065%1508200591%;42233%199320051097451%20051010620062-46-126-93NASDAQ3-61IPOIPO1997-2004IPO925%3IPO1.2IPOIPOKadiyalaSubrahmanyam(2000)IPOIPOIPO-4-IPO1IPO2IPO3ADRIPOIPO384%0.4%KadiyalaSubrahmanyam(2000)IPOAHIPO2002IPOIPO1AHAH2,IPOIPO3IPOIPOAAHIPOIPO2-112IPO123IPO5IPOIPO-5-AHAHAHEPSHHHAAIPOIPOIPO20908%BHABH2001BABAHABABHABailey1994BAFernaldRogers1998ABBailey1994Ma1996BIPO-6-βFernaldRogers1998SuTong1999HHB1.3IPOIPOIPOIPOAIPOAIPOIPOIPOIPOIPOIPOIPOIPOAIPOIPOIPOIPOIPO-7-IPOIPO2.1IPOIPOIPO2.1.119341929DDMFCFFIPO-8-2.1.2IPOIPOIPO1986chen,RollRossCollins,MaydewWeiss1997195319931953199341IPOIPOIPOIPOi011iitPaBx...Bxε=++++tε=tIPOIPO-9-B=IPOa=IPOIPO2.2IPOIPOEVA2.2.1DCFDiscountofCashFlow102.2.2IPO-10-2.2.3(EVA)EVASternStewartEVAEVA(EVA)80AT&TEVA90EVAEVA2.22.1EVARZ=50%Rz=35%Rz=22%Rz=18%Rz=16%RZ=90%ThomasP.Jones,TheEconomicValueAddedApproachtoCorporateInestrnent,StemStewart&CompanyEVAEVA90IPO-11-2.2.4IPOP/EP/BP/EP/BP/EP/BP/CFInternetP/SP/EP/BProformanetincomeIPO-12-==+2.3IPOIPOIPO=100()PPP−10,PP2.238IPO%Lee,Taylor&Walter;Woo3811976-199512.1Aussenegg831984-20026.3Rogiers,Manigart&Ooghe;Manigart861984-199914.6Aggarwal,Leal&Hernandez621979-199078.5Jog&Riding;Jog&Srivastava;Kryzanowski&Rakita5001971-19996.3Aggarwal,Leal&Hernandez;Celis&Maturana551982-19978.8Datar&Mao;GuandQin(A)4321990-2000256.9Jakobsen&Sorensen1171984-19985.4Keloharju;Westerholm991984-199710.1Husson&Jacquillat;Leleux&Muzyka;Paliard&Belletante;Derrien&Womack;Chahine5711983-200011.6IPO-13-2.338IPOLjungqvist4071978-199927.7Kazantzis&Thomas;Nounis3381987-200249McGuinness;Zhao&Wu;LjungqvistandYu8571980-200117.3Krishnamurti&Kumar981992-199335.3Hanafi;Ljungqvist&Yu2371989-200119.7Kandel,Sarig&Wohl;Amihud-Hauser&Kirsh2851990-199412.1Arosio,Giudici&Paleari;Cassia,Paleari&Redondi1811985-200121.7Fukuda:Dawson&Hiraki:Hebner&Hiraki;16891970-200128.4Hamao,Packer&Ritter;Kaneko&PettwayDhatt,Kim&Lim;Ihm;Choi&Heo4771980-199674.3Isa;Isa&Yong4011980-1998104.1Aggarwal,Leal&Hernandez371987-199033Wessels;Eijgenhuijsen&Buijs;Ljungqvist,Jenkinson&Wilhelm1431982-199910.2Vos&Cheung;Camp&Munro2011979-199923lkoku631989-199319.1Emilsen,Pedersen&Saettern681984-199612.5Sullivan&Unite1041987-199722.7Jelic&Brixton1401991-199827.4Almeida&Duque211992-199810.6Lee,Taylor&Walter;Dawson4411973-200129.5Page&Reyneke1181980-199132.7Ansotegui&Fabregat;O