The consequences of shifting the IPO offer pricing power from securities regulators to market participants in weak institutional environments: Evidence from China ^(2){ }^{2} 将首次公开募股(IPO)定价权从证券监管机构转移到市场参与者在弱制度环境中的后果:来自中国的证据 ^(2){ }^{2}
Jun Chen ^(a){ }^{\mathrm{a}}, Bin Ke^(b)\mathrm{Ke}^{\mathrm{b}}, Donghui Wu^(c,**)\mathrm{Wu}^{\mathrm{c}, *}, Zhifeng Yang ^(d){ }^{\mathrm{d}} 陈俊 ^(a){ }^{\mathrm{a}} , 宾 Ke^(b)\mathrm{Ke}^{\mathrm{b}} , 东辉 Wu^(c,**)\mathrm{Wu}^{\mathrm{c}, *} , 杨志峰 ^(d){ }^{\mathrm{d}}^(a){ }^{a} Department of Finance and Accounting, School of Management, Zhejiang University, Hangzhou, China 浙江大学管理学院财务与会计系,中国杭州^("b "){ }^{\text {b }} Department of Accounting, NUS Business School, National University of Singapore, Mochtar Riady Building, BIZ 1, #07-53, 15 Kent Ridge Drive, 119245, Singapore 新加坡国立大学商学院会计系,莫克塔尔·里亚迪大楼,BIZ 1,#07-53,肯特岭道 15 号,邮政编码 119245,新加坡^("c "){ }^{\text {c }} School of Accountancy, The Chinese University of Hong Kong, Sha Tin, Hong Kong, China 香港中文大学会计学院,沙田,香港,中国^("d "){ }^{\text {d }} Department of Accountancy, City University of Hong Kong, 83 Tat Chee Avenue, Kowloon Tong, Kowloon, Hong Kong, China 香港城市大学会计系,九龙塘达知道 83 号,九龙,香港,中国
A R T I C L E I N F O 文章信息
Article history: 文章历史:
Received 30 June 2016 收到日期:2016 年 6 月 30 日
Received in revised form 1 October 2016 修订版收到于 2016 年 10 月 1 日
Accepted 8 October 2016 接受日期:2016 年 10 月 8 日
Available online 11 October 2016 可在线获取 2016 年 10 月 11 日
We examine the consequences of shifting the IPO offer pricing power from securities regulators to market participants in a representative weak investor protection country, China. We show IPO offer prices relative to reported earnings are less depressed when determined by market participants than by securities regulators. IPO firms are also less likely to select a low quality auditor or inflate the pre-IPO earnings when IPO offer prices are determined by market participants. However, we find no evidence that IPO offerings are more likely to be overpriced when offer prices are determined by market participants. Furthermore, IPO firms’ financial reporting choices made at the time of the IPO have a long lasting impact on the firms’ subsequent financial reporting quality. Overall, our results contribute to the ongoing debate on the appropriate roles of securities regulators versus market forces in protecting public investors in markets with weak institutional environments. 我们研究了在一个代表性弱投资者保护国家——中国,将首次公开募股(IPO)定价权从证券监管机构转移到市场参与者的后果。我们发现,当 IPO 定价由市场参与者决定时,IPO 发行价格相对于报告的收益不那么低迷,而不是由证券监管机构决定。IPO 公司在 IPO 发行价格由市场参与者决定时,也不太可能选择低质量审计师或夸大 IPO 前的收益。然而,我们没有发现证据表明,当发行价格由市场参与者决定时,IPO 发行更可能被高估。此外,IPO 公司在 IPO 时做出的财务报告选择对公司后续的财务报告质量有长期影响。总体而言,我们的结果为关于在弱制度环境下保护公众投资者的证券监管机构与市场力量的适当角色的持续辩论做出了贡献。
There is a large and growing finance literature on initial public offerings (IPOs) around the world (e.g., Chaney and Lewis, 1998; Chan et al., 2004; Banerjee et al., 2011; Clarke et al., 2016; Nielsson and Wojcik, 2016). Most studies in this literature examine various issues resulting from the strategic interaction between corporate insiders (sellers) and outside investors (buyers). While the conduct of IPOs (including eligibility, timing, offer size, and pricing) is subject to various degrees of government regulation in almost all countries, there is little empirical research on the costs and benefits of such government regulation. This is surprising given the controversies surrounding the government’s intervention in the IPO process. The objective of this study is 全球范围内关于首次公开募股(IPO)的金融文献庞大且不断增长(例如,Chaney 和 Lewis,1998;Chan 等,2004;Banerjee 等,2011;Clarke 等,2016;Nielsson 和 Wojcik,2016)。该文献中的大多数研究考察了公司内部人士(卖方)与外部投资者(买方)之间战略互动所产生的各种问题。尽管几乎所有国家的 IPO 行为(包括资格、时机、发行规模和定价)都受到不同程度的政府监管,但关于这种政府监管的成本和收益的实证研究却很少。考虑到围绕政府干预 IPO 过程的争议,这一点令人惊讶。本研究的目标是
to contribute to this important debate by examining the impact of different IPO offer pricing regimes on the behavior of IPO firm insiders. 通过研究不同 IPO 发行定价制度对 IPO 公司内部人士行为的影响,为这一重要辩论做出贡献。
Broadly speaking, IPO offer pricing regimes around the world can fall within the following two extremes. At one extreme, referred to as the market-based approach, underwriters and investors, especially institutional investors, play the lead role in determining IPO offer prices and the securities regulator’s primary responsibility is to establish the necessary supporting institutions such as the rule of law that facilitate the market’s pricing of IPO shares. At the other extreme, referred to as the governmentbased approach, a country’s securities regulator directly sets IPO offer prices based on IPO firms’ financial performance indicators. 广义而言,全球的首次公开募股(IPO)定价机制可以分为以下两个极端。在一个极端,称为市场导向的方法,承销商和投资者,特别是机构投资者,在确定 IPO 发行价格方面发挥主导作用,而证券监管机构的主要责任是建立必要的支持机构,例如促进市场对 IPO 股票定价的法治。在另一个极端,称为政府导向的方法,一个国家的证券监管机构根据 IPO 公司的财务绩效指标直接设定 IPO 发行价格。
While it has been widely adopted in the U.S. and many other developed countries, the market-based approach is controversial and often resisted by regulators in many less developed financial markets. ^(1){ }^{1} One frequently cited justification for rejecting the mar-ket-based approach is that many important market supporting institutions such as reputable and independent underwriters and institutional investors either do not exist or are very weak in weak investor protection countries and therefore there is a high perceived risk that IPO offerings could be over priced under a market-based approach (Meng et al., 2004; CSRC 2009; Sheokand, 2012). Furthermore, even if a market-based approach is preferred, the transition from a government-based approach to a mar-ket-based approach may not be a sure success due to the resistance of vested interests and potential unintended negative consequences resulting from the transition. On the other hand, government regulators may not necessarily be as motivated and informed about general market and specific firm conditions as private investors (Jackson and Roe, 2009). Hence, a priori it is not obvious which approach is more effective in protecting the interests of IPO investors in countries with less developed financial markets. 尽管在美国和许多其他发达国家得到了广泛采用,但基于市场的方法在许多欠发达金融市场中是有争议的,往往受到监管机构的抵制。一个常被引用的拒绝基于市场的方法的理由是,在投资者保护较弱的国家,许多重要的市场支持机构,如声誉良好的独立承销商和机构投资者,要么不存在,要么非常薄弱,因此人们普遍认为在基于市场的方法下,首次公开募股的定价可能会过高(Meng et al., 2004; CSRC 2009; Sheokand, 2012)。此外,即使基于市场的方法更受欢迎,从政府主导的方法转向基于市场的方法也不一定会成功,因为既得利益的抵制和转型可能带来的潜在负面后果。另一方面,政府监管机构可能并不一定像私人投资者那样对一般市场和特定公司状况有足够的动机和了解(Jackson and Roe, 2009)。 因此,事先并不明显哪种方法在保护金融市场不发达国家 IPO 投资者的利益方面更有效。
In this study we examine the consequences of a shift in the IPO offer pricing regime from a government-based approach to a market-based approach in China, the largest emerging market economy with weak investor protection (Allen et al., 2005). There has been an ongoing debate since the start of China’s modern stock market in the 1990s on whether China should follow a market-based approach or government-based approach to regulating IPO offer prices (Luo, 2013; Deng, 2015). 在本研究中,我们考察了中国这一最大的新兴市场经济体在首次公开募股(IPO)定价制度从政府主导转向市场主导的转变所带来的后果,尤其是在投资者保护较弱的背景下(Allen et al., 2005)。自 1990 年代中国现代股市启动以来,关于中国应采取市场主导还是政府主导的方式来监管 IPO 定价的争论一直持续(Luo, 2013; Deng, 2015)。
We examine four specific research questions. First, we examine how IPO offer prices change when the IPO offer pricing approach shifts from a government-based approach to a market-based approach. Consistent with the hypothesis that the Chinese securities regulators suffer from severe agency problems that lead to a strong aversion to the risk of IPO offer overpricing, we find that the IPO offer prices relative to reported earnings are more significantly depressed under the government-based approach than under the market-based approach. 我们研究了四个具体的研究问题。首先,我们考察当 IPO 定价方法从政府主导转变为市场主导时,IPO 发行价格如何变化。与中国证券监管机构面临严重代理问题、导致对 IPO 发行价格过高风险强烈厌恶的假设一致,我们发现,在政府主导的方法下,IPO 发行价格相对于报告的收益被显著压低,低于市场主导的方法。
Second, we examine how a shift from the government-based approach to the market-based approach affects IPO firms’ financial reporting quality at the time of the IPO. We use two complementary approaches to assess financial reporting quality at the time of the IPO: (a) IPO firms’ likelihood of hiring a low quality auditor at the time of the IPO; and (b) the magnitude of upward earnings management in the pre-IPO period. We find that when the IPO offer pricing approach changes from the governmentbased approach to the market-based approach, IPO firms are less likely to hire low quality auditors and conduct upward earnings management in the years immediately prior to the IPO. 其次,我们考察从政府主导的方法转向市场主导的方法如何影响 IPO 公司在 IPO 时的财务报告质量。我们使用两种互补的方法来评估 IPO 时的财务报告质量:(a)IPO 公司在 IPO 时聘用低质量审计师的可能性;(b)IPO 前期的盈余管理幅度。我们发现,当 IPO 定价方法从政府主导转变为市场主导时,IPO 公司在 IPO 前的几年内聘用低质量审计师和进行盈余管理的可能性较低。
Our third question examines whether IPO offer prices are more likely to be overstated under the market-based approach than under the government-based approach. As noted above, one frequently cited argument against the market-based approach in less developed financial markets is that the market-based approach makes it easier for IPO firms’ insiders to sell over-priced shares to less informed and less sophisticated public investors. Since the stock prices of overvalued shares eventually have to reverse with the arrival of new information such as earnings announcements, the above argument implies a greater long-term stock price reversal relative to the IPO offer price for the IPOs under the market-based approach than under the government-based approach. We find no evidence that the long-term abnormal stock price performance relative to the offer price reverses to a greater extent for the IPOs under the market-based approach than the IPOs under the government-based approach. 我们的第三个问题考察了在市场导向方法下,IPO 发行价格是否更可能被高估,而不是在政府导向方法下。如上所述,针对市场导向方法在欠发达金融市场中的一个常被引用的论点是,市场导向方法使得 IPO 公司的内部人士更容易将高价股票出售给信息较少和不够成熟的公众投资者。由于被高估股票的股价最终必须随着新信息(如盈利公告)的到来而反转,上述论点暗示,在市场导向方法下,IPO 的长期股价相对于发行价格的反转程度大于在政府导向方法下的 IPO。我们没有发现证据表明,在市场导向方法下,IPO 的长期异常股价表现相对于发行价格的反转程度大于在政府导向方法下的 IPO。
Our final question examines IPO firms’ financial reporting quality over the long run, defined as three-five years after the IPO. Consistent with Stein (1989) and Shivakumar (2000), we conjecture that once a firm’s insiders adopt a low (high) quality financial reporting strategy at the IPO time, the insiders will find it in their best interest to continue to do so in subsequent financial reporting periods because of the stock market’s rational expectation. Consistent with this conjecture, we find IPO firms’ auditor choices made at the time of the IPO are sticky. We find no evidence that IPO firms that hire a low (high) quality auditor at the time of the IPO are more likely than a control sample of non-IPO firms to switch to a high (low) quality auditor three years after the IPO. Furthermore, we find that earnings quality continues to be higher in the three-five year period after the IPO, for the firms that went public under the market-based approach than for the firms that went public under the govern-ment-based approach. 我们的最后一个问题考察了 IPO 公司在长期内的财务报告质量,定义为 IPO 后三到五年。与 Stein(1989)和 Shivakumar(2000)的观点一致,我们推测,一旦公司的内部人士在 IPO 时采用低(高)质量的财务报告策略,内部人士会发现继续在后续财务报告期间这样做符合他们的最佳利益,因为股市的理性预期。与这一推测一致,我们发现 IPO 公司在 IPO 时的审计师选择是粘性的。我们没有发现证据表明,在 IPO 时聘请低(高)质量审计师的 IPO 公司在 IPO 三年后更可能转向高(低)质量审计师,相较于非 IPO 公司的对照样本。此外,我们发现,在 IPO 后的三到五年期间,采用市场导向方法上市的公司,其盈利质量持续高于采用政府导向方法上市的公司。
Any observed changes in corporate behavior resulting from a shift in IPO offer pricing from the government-based approach to the market-based approach could be due to confounding events (e.g., a general improvement in China’s investor protection environment). We perform a variety of robustness checks to rule out such alternative explanations. More importantly, an important strength of our study’s research design is that China’s IPO offer pricing regimes changed from a government-based approach to a market-based approach and then reversed back to a government-based approach during our sample period. The flip-flop creates a unique opportunity for us to more clearly identify the causal impact of the two contrasting IPO offer price regulatory approaches on our dependent variables of interest. 任何观察到的企业行为变化,可能是由于政府主导的首次公开募股(IPO)定价方式转变为市场主导的定价方式所引起的,这可能受到混杂事件的影响(例如,中国投资者保护环境的普遍改善)。我们进行了多种稳健性检验,以排除这种替代解释。更重要的是,我们研究设计的一个重要优势在于,在我们的样本期间,中国的 IPO 定价制度经历了从政府主导到市场主导再回到政府主导的变化。这种反复变化为我们提供了一个独特的机会,更清晰地识别这两种对比鲜明的 IPO 定价监管方式对我们关注的因变量的因果影响。
Overall, we can draw the following conclusions from our empirical analyses. First, our results suggest that even in a less developed financial market like China with the dominance of less sophisticated retail investors, public investors can still price protect by avoiding IPO offer overpricing under the market-based approach, consistent with Ekkayokkaya and Pengniti (2012). Second, our results suggest that due to the CSRC’s own agency problems, the government-based IPO offer pricing approach provides IPO firm insiders with a stronger incentive to manage earnings not only at the IPO time but also in the years subsequent to the IPO. Given that financial reporting quality is important to the efficient functioning of financial markets and the fact that earnings management is costly, our results suggest that the government-based IPO offer pricing approach causes greater damages than the market-based approach to the long term health of China’s financial markets. For these reasons, we conclude that the marketbased approach is more effective than the government-based approach in protecting the interests of public investors in China. 总体而言,我们可以从我们的实证分析中得出以下结论。首先,我们的结果表明,即使在像中国这样发展较少的金融市场中,零售投资者占主导地位,公众投资者仍然可以通过避免在市场导向的方法下的首次公开募股(IPO)定价过高来进行价格保护,这与 Ekkayokkaya 和 Pengniti(2012)的研究一致。其次,我们的结果表明,由于中国证监会自身的代理问题,政府导向的 IPO 定价方法使得 IPO 公司内部人士在 IPO 时以及 IPO 后的几年中更有动力进行盈余管理。考虑到财务报告质量对金融市场的有效运作至关重要,以及盈余管理的成本,我们的结果表明,政府导向的 IPO 定价方法对中国金融市场的长期健康造成的损害大于市场导向的方法。因此,我们得出结论,市场导向的方法在保护中国公众投资者的利益方面比政府导向的方法更有效。
Our study is directly related to the IPO literature (see Ritter 2003 and 2011 for reviews of the general IPO literature and Yong, 2007 for a review of the literature on Asian IPOs). Most studies in this literature focus on IPO underpricing and the long term performance of IPOs, but very few studies examine the IPO offer pricing per se. More importantly, while there are significant variations across both countries and time in IPO regulations, there has been little research that compares the costs and benefits of different IPO regulatory regimes. Notable exceptions include Ekkayokkaya and Pengniti (2012) that examine impact of governance reform on IPO underpricing and Cattaneo et al. (2015) that examine how regulatory changes affect IPO firm survival. Our study’s contribution is to use the flip-flop of the two IPO offer pricing regimes to demonstrate the consequences of shifting from a gov-ernment-based to a market-based IPO offer pricing approach in a country with a less developed financial market, China. Our results are important for many emerging market economies because many policy makers and the general public have yet to learn to trust markets (The Economist, 2015). 我们的研究与首次公开募股(IPO)文献直接相关(参见 Ritter 2003 年和 2011 年的一般 IPO 文献综述,以及 Yong 2007 年对亚洲 IPO 文献的综述)。该文献中的大多数研究集中在 IPO 定价不足和 IPO 的长期表现上,但很少有研究专门考察 IPO 的发行定价。更重要的是,尽管在不同国家和时间的 IPO 监管方面存在显著差异,但对不同 IPO 监管制度的成本和收益进行比较的研究却很少。值得注意的例外包括 Ekkayokkaya 和 Pengniti(2012 年)研究治理改革对 IPO 定价不足的影响,以及 Cattaneo 等(2015 年)研究监管变化如何影响 IPO 公司的生存。我们研究的贡献在于利用两种 IPO 发行定价制度的反转,展示在金融市场不发达的国家(中国)从政府主导的 IPO 发行定价方法转向市场主导的 IPO 发行定价方法的后果。我们的结果对许多新兴市场经济体具有重要意义,因为许多政策制定者和公众尚未学会信任市场(《经济学人》,2015 年)。
Our study is also related to the broad earnings management literature in emerging markets. While prior studies have provided evidence of aggressive earnings management by emerging market firms (e.g., Aharony et al., 2000; Chen and Yuan, 2004; Haw et al., 2005), less research is done to identify effective mechanisms to curtail such aggressive earnings management. The evidence from DeFond et al. (2000) shows that many proposed solutions by government regulators are often counterproductive. We contribute to this literature by demonstrating that a market-based approach is more effective than a government-based approach in reducing aggressive earnings management in a weak institutional environment like China. 我们的研究也与新兴市场中广泛的盈余管理文献相关。虽然之前的研究提供了新兴市场公司进行激进盈余管理的证据(例如,Aharony 等,2000;Chen 和 Yuan,2004;Haw 等,2005),但关于识别有效机制以遏制这种激进盈余管理的研究较少。DeFond 等(2000)的证据表明,政府监管机构提出的许多解决方案往往适得其反。我们通过证明在像中国这样制度环境薄弱的情况下,市场导向的方法比政府导向的方法更有效地减少激进盈余管理,为这一文献做出了贡献。
The rest of the paper is organized as follows. Section 2 describes the sample and data sources. Section 3 explains the institutional details of the three IPO regimes and analyzes the CSRC’s incentives. Section 4 discusses the hypothesis development, research design, and regression results on the differences in IPO firms’ auditor choice and pre-IPO earnings management across the three IPO regimes. Section 5 examines IPO firms’ long term abnormal stock price performance relative to the IPO offer price across the three regimes. Section 6 analyzes the IPO firms’ financial reporting quality three-five years after the IPO. Section 7 concludes. 本文的其余部分组织如下。第二节描述样本和数据来源。第三节解释三种 IPO 制度的制度细节,并分析证监会的激励。第四节讨论假设发展、研究设计以及关于三种 IPO 制度下 IPO 公司审计师选择和 IPO 前盈余管理差异的回归结果。第五节考察 IPO 公司相对于 IPO 发行价的长期异常股价表现。第六节分析 IPO 公司在 IPO 后三到五年的财务报告质量。第七节总结。
2. The sample 样本
Many aspects of China’s IPOs, including eligibility, timing, offer size, and pricing, are heavily regulated. However, as part of China’s economic reforms, China’s IPO regulatory environment has experienced several interesting changes over time. In this paper we examine three IPO regulatory regimes over the period January 1, 1997-December 31, 2004. Regime 1 covers January 1, 1997-February 11, 1999; Regime 2 covers February 12, 1999-November 6, 2001; and Regime 3 covers November 7, 2001-December 31, 2004. During the three regimes the way IPO offer prices were determined changed significantly while the other key features of IPO regulation (e.g., eligibility, timing, offer size) were kept relatively stable and still heavily regulated. 中国首次公开募股(IPO)的许多方面,包括资格、时机、发行规模和定价,受到严格监管。然而,作为中国经济改革的一部分,中国的 IPO 监管环境随着时间的推移经历了几次有趣的变化。本文考察了 1997 年 1 月 1 日至 2004 年 12 月 31 日期间的三个 IPO 监管制度。制度 1 涵盖 1997 年 1 月 1 日至 1999 年 2 月 11 日;制度 2 涵盖 1999 年 2 月 12 日至 2001 年 11 月 6 日;制度 3 涵盖 2001 年 11 月 7 日至 2004 年 12 月 31 日。在这三个制度期间,IPO 发行价格的确定方式发生了显著变化,而 IPO 监管的其他关键特征(例如,资格、时机、发行规模)则保持相对稳定,仍然受到严格监管。
Regime 1 started earlier than January 1, 1997, but our sample period for Regime 1 starts on January 1, 1997 because our subsequent empirical analyses require a matched control sample of seasoned firms (defined as firms that have been publicly listed for at least two complete fiscal years) for the IPO firms. Because mainland China’s modern stock markets started only in December 1990, the number of seasoned companies available for matching purposes would be too small if our sample includes the IPOs from the years prior to 1997. While the CSRC’s approach to regulating IPO offer prices continues to alternate between the govern-ment-based approach and market-based approach subsequent to the end of Regime 3 on December 31, 2004, we decided to exclude the post-2004 IPOs from our sample for the following reasons. regime 1 的开始时间早于 1997 年 1 月 1 日,但我们对 regime 1 的样本期从 1997 年 1 月 1 日开始,因为我们后续的实证分析需要一个与 IPO 公司匹配的成熟公司对照样本(定义为至少公开上市两完整财年的公司)。由于中国大陆的现代股票市场仅在 1990 年 12 月开始,如果我们的样本包括 1997 年之前的 IPO,能够用于匹配的成熟公司数量将会太少。尽管中国证监会在 2004 年 12 月 31 日结束 regime 3 后,继续在政府主导和市场主导的方式之间交替监管 IPO 发行价格,但我们决定将 2004 年后 IPO 排除在我们的样本之外,原因如下。
First, the Chinese IPO market experienced two prolonged IPO suspensions (i.e., mid 2005-mid 2006 and October 2008-May 2009) and more importantly the distinction between the government-based approach and market-based approach in the post2004 years is not as clear cut as in Regimes 1-3. For example, during the period from the mid 2006 to September 2008, IPO offer prices were determined by the market but the CSRC capped the PE multiple used in the offering price determination at 30, significantly higher than the cap of 20 during Regime 3. After using a market-based IPO offer pricing approach during the period from June 2009 to April 2012, the CSRC required the PE multiple used in IPO offer pricing to be no more than 25% higher than the average PE multiple for the industry peers after April 2012. Because the PE multiple caps mandated by the CSRC in the above two periods were much higher than before, it is difficult to say whether they should belong to the market-based approach or the government-based approach. 首先,中国的 IPO 市场经历了两次较长时间的 IPO 暂停(即 2005 年中-2006 年中和 2008 年 10 月-2009 年 5 月),更重要的是,2004 年后的政府主导模式与市场主导模式之间的区别并不像第 1-3 阶段那样明显。例如,在 2006 年中到 2008 年 9 月期间,IPO 发行价格由市场决定,但中国证监会对发行价格确定中使用的市盈率倍数设定了 30 的上限,显著高于第 3 阶段的 20 的上限。在 2009 年 6 月至 2012 年 4 月期间采用市场主导的 IPO 发行定价方法后,中国证监会要求 2012 年 4 月后 IPO 发行定价中使用的市盈率倍数不得超过行业同行平均市盈率倍数的 25%。由于中国证监会在上述两个时期规定的市盈率倍数上限远高于之前,因此很难判断它们应归属于市场主导模式还是政府主导模式。
Second, mainland China’s stock market experienced a significant regime shift in 2005 referred to as the split-share structure reform. Prior to this reform, mainland listed Chinese firms had two classes of common shares referred to as tradable shares and non-tradable shares, respectively. The common shares held by the original shareholders were not tradable on the stock exchanges after the IPO while the new common shares issued to public investors (referred to as A shares) were freely tradable on the domestic stock exchanges. The split-share structure reform made both classes of common shares publicly tradable. Chen 其次,中国大陆的股市在 2005 年经历了一次重大的制度变革,称为股权分置改革。在此改革之前,大陆上市的中国公司有两类普通股,分别称为可交易股和不可交易股。原股东持有的普通股在首次公开募股(IPO)后无法在证券交易所交易,而新发行给公众投资者的普通股(称为 A 股)则可以在国内证券交易所自由交易。股权分置改革使两类普通股均可公开交易。
Table 1 表 1
Sample selection procedures. 样本选择程序。
Year 年
1997
1998
1999
2000
2001
2002
2003
2004
Total 总计
Initial sample 初始样本
188
102
91
135
64
70
66
98
Minus: 负:
quad\quad Firms with B shares outstanding quad\quad 发行 B 股的公司
et al. (2012a) and Liao et al. (2014) find that the split-share structure reform helps better align the incentives between controlling shareholders and minority shareholders. et al. (2012a) 和 Liao et al. (2014) 发现,股权分置改革有助于更好地协调控股股东与小股东之间的激励。
Because of the significant regime change associated with the split-share structure reform and the reduced distinction between the government-based approach and market-based approach in the post-2004 period, it could be more difficult to design a clean experiment to detect the predicted effects resulting from IPO offer pricing regime changes post 2004. However, we believe that the fundamental institutional forces considered in this study are equally relevant today as evidenced by the CSRC’s intervention in the IPO offer pricing in 2014 (Hu, 2014) and the Chinese Government’s massive intervention in the stock market in response to the stock market rout in the summer of 2015 (Wei, 2015). 由于与股权分置改革相关的重大体制变化,以及 2004 年后政府主导与市场主导方法之间的区别减少,设计一个干净的实验以检测 2004 年后首次公开募股(IPO)定价制度变化所带来的预期效果可能会更加困难。然而,我们相信,本研究中考虑的基本制度力量在今天同样具有相关性,正如 2014 年中国证监会对 IPO 定价的干预(胡,2014)以及中国政府在 2015 年夏季股市暴跌后对股市的大规模干预(魏,2015)所证明的。
Our sample includes all IPOs on the two mainland stock exchanges during the period from January 1, 1997 to December 31, 2004. Table 1 shows the distribution of our sample IPOs by calendar year. We obtained the list of IPOs from the CSMAR database. There are a total of 814 IPOs listed on the mainland stock exchanges in the form of A shares during our sample period. Twenty four of the 814 IPOs issued either B shares (which are listed on mainland exchanges but could be owned only by foreigners prior to February 19, 2001) or H shares (which are listed in Hong Kong) prior to the public listing of the A shares on the mainland stock exchanges. Because these 24 IPOs are not genuine IPOs, they are excluded from our final sample. We also exclude five IPO firms in the financial industry which is heavily regulated. Finally, we exclude one IPO firm that was listed on the mainland through backdoor listing. ^(2){ }^{2} The final sample contains 784 IPOs. 我们的样本包括 1997 年 1 月 1 日至 2004 年 12 月 31 日期间在两个大陆证券交易所上市的所有首次公开募股(IPO)。表 1 显示了我们样本 IPO 按日历年的分布。我们从 CSMAR 数据库获得了 IPO 的列表。在我们的样本期间,大陆证券交易所共计有 814 个以 A 股形式上市的 IPO。在 814 个 IPO 中,有 24 个在 A 股公开上市之前发行了 B 股(在大陆交易所上市,但在 2001 年 2 月 19 日之前只能由外国人持有)或 H 股(在香港上市)。由于这 24 个 IPO 不是真正的 IPO,因此它们被排除在我们的最终样本之外。我们还排除了五家受到严格监管的金融行业的 IPO 公司。最后,我们排除了一家通过借壳上市在大陆上市的 IPO 公司。最终样本包含 784 个 IPO。
We obtain most of the required data from the CSMAR database. For the data that are either missing or unavailable in CSMAR (e.g., audit firms’ names, the headquarters of the audit firms and their audit clients), we hand collected them from the firms’ IPO prospectuses and annual reports. 我们从 CSMAR 数据库获取大部分所需数据。对于在 CSMAR 中缺失或不可用的数据(例如,审计公司的名称、审计公司的总部及其审计客户),我们从公司的 IPO 招股说明书和年度报告中手动收集。
3. IPO offer pricing under the government-based approach versus market-based approach 3. 政府主导方法与市场主导方法下的 IPO 定价
3.1. Institutional background 3.1. 机构背景
We first discuss how IPO offer prices are determined under the government-based approach versus the market-based approach during our sample period. During Regime 1 IPO offer prices were largely determined by the CSRC. Specifically, IPO offer prices were determined as the product of an EPS and a relatively fixed PE multiple over the range of 12-15.^(3)12-15 .^{3} Although the PE multiple was relatively fixed throughout this sub-period, the definition of EPS used in the offer price formula varied over time. Over the period January 1, 1997-March 17, 1998, the EPS was the average EPS over the three years prior to the IPO year. On March 17, 1998 the CSRC issued a new regulation CSRC (1998) that required the definition of EPS to be the forecasted EPS in the IPO year. 我们首先讨论在我们的样本期间,政府主导的方法与市场主导的方法如何确定首次公开募股(IPO)发行价格。在第一阶段,IPO 发行价格主要由中国证券监督管理委员会(CSRC)决定。具体而言,IPO 发行价格是每股收益(EPS)与相对固定的市盈率(PE)倍数的乘积,范围在 12-15.^(3)12-15 .^{3} 之内。尽管在这一子期间市盈率倍数相对固定,但用于发行价格公式的每股收益定义随着时间而变化。在 1997 年 1 月 1 日至 1998 年 3 月 17 日期间,每股收益是 IPO 年份前三年的平均每股收益。1998 年 3 月 17 日,CSRC 发布了新的规定(CSRC 1998),要求每股收益的定义为 IPO 年份的预测每股收益。
Regime 2 started on February 12, 1999 because in December 1998 China passed the nation’s first comprehensive Securities Law that signaled a significant shift of the IPO offer price determination process from a government-based approach to a mar-ket-based approach. The new Securities Law stipulates that an IPO’s offer price be negotiated between the issuer and the underwriter and then authorized by the CSRC (Article 28 of the 1999 Securities Law). Based on the spirit of the Securities Law, on February 12, 1999, the CSRC issued a new regulation (CSRC, 1999), which requires the IPO offer price to be determined based on the IPO firm’s growth potential and industry and market valuation rather than a regulator-prescribed formula with a fixed PE multiple. The new regulation requires that an IPO company submit a report that should include a detailed analysis of the prospect of the industry it is affiliated with, its current status and growth potential, and stock valuation in the secondary and primary markets, and the offer price determined based on the above analysis. ^(4){ }^{4} We confirmed with an anonymous source from the CSRC that the CSRC didn’t intervene in the IPO offer price determination during Regime 2. regime 2 于 1999 年 2 月 12 日开始,因为在 1998 年 12 月,中国通过了国家首部综合证券法,标志着首次公开募股(IPO)发行价格确定过程从政府主导转向市场主导。新的证券法规定,IPO 的发行价格由发行人和承销商协商确定,并由中国证券监督管理委员会(CSRC)授权(1999 年证券法第 28 条)。根据证券法的精神,1999 年 2 月 12 日,CSRC 发布了一项新规(CSRC,1999),要求 IPO 发行价格应基于 IPO 公司的成长潜力以及行业和市场估值来确定,而不是由监管机构规定的固定市盈率公式。新规要求 IPO 公司提交一份报告,报告应包括其所属行业的前景、当前状况和成长潜力的详细分析,以及在二级市场和一级市场的股票估值,并根据上述分析确定发行价格。 我们从中国证监会的一位匿名消息源确认,在第二阶段期间,中国证监会没有干预首次公开募股的发行价格确定。
Regime 3 represents a reversal from the market-based approach to the government-based approach. The starting date of Regime 3 is not very clear because the CSRC never issued any explicit regulation stipulating the starting date of Regime 3 . One regime 3 代表了从市场导向转向政府导向的逆转。 regime 3 的起始日期并不明确,因为中国证监会从未发布任何明确规定 regime 3 起始日期的法规。
Table 2 表 2
The PE multiples used in IPO offer prices. IPO 发行价格中使用的市盈率倍数。
Panel A. The mean (median) [standard deviation] 面板 A。均值(中位数)[标准差]
Regimes 政权
The PE multiples of IPO firms IPO 公司的市盈率倍数
The PE multiples of IPO firms as a fraction of the median PE multiple of non-IPO firms in the same industry IPO 公司的市盈率倍数与同一行业非 IPO 公司的中位数市盈率倍数的比率
Panel A. The mean (median) [standard deviation]
Regimes The PE multiples of IPO firms The PE multiples of IPO firms as a fraction of the median PE multiple of non-IPO firms in the same industry
1 "14.791
(14.600)
[1.313]" "0.358
(0.355)
[0.066]"
2 "28.926
(28.050)
[11.127]" "0.531
(0.506)"
3 "18.293
(19.735)
[2.595]" "0.423
(0.403)
[0.107]"
The two-tailed p-value from a two-sample t-test (Wilcoxon rank sum test)
Regime 1 vs. Regime 2: " < 0.0001
( < 0.0001)" " < 0.0001
( < 0.0001)"
Regime 3 vs. Regime 2: " < 0.0001
( < 0.0001)" " < 0.0001
( < 0.0001)"| Panel A. The mean (median) [standard deviation] | | |
| :---: | :---: | :---: |
| Regimes | The PE multiples of IPO firms | The PE multiples of IPO firms as a fraction of the median PE multiple of non-IPO firms in the same industry |
| 1 | $\begin{aligned} & 14.791 \\ & (14.600) \\ & {[1.313]} \end{aligned}$ | $\begin{aligned} & 0.358 \\ & (0.355) \\ & {[0.066]} \end{aligned}$ |
| 2 | $\begin{aligned} & 28.926 \\ & (28.050) \\ & {[11.127]} \end{aligned}$ | 0.531 <br> (0.506) |
| 3 | $\begin{aligned} & 18.293 \\ & (19.735) \\ & {[2.595]} \end{aligned}$ | $\begin{aligned} & 0.423 \\ & (0.403) \\ & {[0.107]} \end{aligned}$ |
| The two-tailed $p$-value from a two-sample t-test (Wilcoxon rank sum test) | | |
| Regime 1 vs. Regime 2: | $\begin{aligned} & <0.0001 \\ & (<0.0001) \end{aligned}$ | $\begin{aligned} & <0.0001 \\ & (<0.0001) \end{aligned}$ |
| Regime 3 vs. Regime 2: | $\begin{aligned} & <0.0001 \\ & (<0.0001) \end{aligned}$ | $\begin{aligned} & <0.0001 \\ & (<0.0001) \end{aligned}$ |
Panel B. The Pearson correlation coefficient between an IPO firm’s PE multiple and the median PE multiple of non-IPO firms in the same industry 面板 B。IPO 公司的市盈率倍数与同一行业非 IPO 公司的中位市盈率倍数之间的皮尔逊相关系数
The two-tailed pp-value from a test of difference in the correlation coefficients ^(a){ }^{\mathrm{a}} 双尾 pp -值来自相关系数 ^(a){ }^{\mathrm{a}} 的差异检验
0.296
Regime 1 vs. Regime 2: 制度 1 与制度 2:
( < 0.001)(<0.001)
Regime 3 vs. Regime 2: 政权 3 与政权 2:
< 0.0001<0.0001
Regimes "Correlation coefficient
(two-tailed p-value)"
1 -0.155
2 (0.009)
3 0.540
( < 0.001)
The two-tailed p-value from a test of difference in the correlation coefficients ^(a) 0.296
Regime 1 vs. Regime 2: ( < 0.001)
Regime 3 vs. Regime 2: < 0.0001| Regimes | Correlation coefficient <br> (two-tailed $p$-value) |
| :--- | :--- |
| 1 | -0.155 |
| 2 | $(0.009)$ |
| 3 | 0.540 |
| | $(<0.001)$ |
| The two-tailed $p$-value from a test of difference in the correlation coefficients ${ }^{\mathrm{a}}$ | 0.296 |
| Regime 1 vs. Regime 2: | $(<0.001)$ |
| Regime 3 vs. Regime 2: | $<0.0001$ |
The median PE multiple of non-IPO firms in the same two-digit industry code is computed at the beginning of the issuance month of the corresponding IPO firm. When computing the median PE multiple, we exclude non-IPO firms with negative earnings or PE multiples larger than 300 . All the continuous variables are winsorized at the 1 st and 99th percentiles. 在对应 IPO 公司的发行月份开始时,计算同一两位数行业代码下非 IPO 公司的中位数市盈率倍数。在计算中位数市盈率倍数时,我们排除了盈利为负或市盈率倍数大于 300 的非 IPO 公司。所有连续变量在第 1 和第 99 百分位数处进行了温莎化处理。 ^(a){ }^{a} The difference in the correlation coefficients between two independent samples can be tested using the following ZZ-statistic: Z=(z_(1)-z_(2))//sigma(z_(1)-z_(2)).z_(1)Z=\left(z_{1}-z_{2}\right) / \sigma\left(z_{1}-z_{2}\right) . z_{1} and z_(2)z_{2} are the Fisher’s zz transformation of the sample correlations r_(1)r_{1} and r_(2)r_{2}, respectively and sigma(z_(1)-z_(2))\sigma\left(z_{1}-z_{2}\right) is the standard deviation of ( z_(1)-z_(2)z_{1}-z_{2} ) and is equal to sqrt(1//(N_(1)-3)+1//(N_(2)-3))\sqrt{1 /\left(N_{1}-3\right)+1 /\left(N_{2}-3\right)}, where N_(1)N_{1} and N_(2)N_{2} are the sample sizes of the two samples, respectively. ^(a){ }^{a} 两个独立样本之间相关系数的差异可以使用以下 ZZ -统计量进行检验: Z=(z_(1)-z_(2))//sigma(z_(1)-z_(2)).z_(1)Z=\left(z_{1}-z_{2}\right) / \sigma\left(z_{1}-z_{2}\right) . z_{1} 和 z_(2)z_{2} 是样本相关性 r_(1)r_{1} 和 r_(2)r_{2} 的费舍尔 zz 变换, sigma(z_(1)-z_(2))\sigma\left(z_{1}-z_{2}\right) 是 ( z_(1)-z_(2)z_{1}-z_{2} ) 的标准差,等于 sqrt(1//(N_(1)-3)+1//(N_(2)-3))\sqrt{1 /\left(N_{1}-3\right)+1 /\left(N_{2}-3\right)} ,其中 N_(1)N_{1} 和 N_(2)N_{2} 分别是两个样本的样本大小。
obvious reason for not issuing a formal regulation is that such a regulation would be in direct conflict with the 1999 Securities Law, which grants IPO companies the right to set IPO offer prices based on their own, industry, and market conditions. We select November 7, 2001 as the starting date of Regime 3 because the CSRC suspended all IPO activities over the period from August 7, 2001 to November 6, 2001 in response to the bearish stock market condition. More importantly, consistent with the governmentbased approach, starting from November 7, 2001, IPO offer prices were determined based on the EPS in the year prior to the IPO year using a PE multiple capped at 20 (a very low threshold as seen in Table 2 reported later) and fluctuated in a narrow band. ^(5){ }^{5} 不发布正式规定的明显原因是,这样的规定将与 1999 年证券法直接冲突,该法赋予首次公开募股(IPO)公司根据自身、行业和市场条件设定 IPO 发行价格的权利。我们选择 2001 年 11 月 7 日作为第三阶段的起始日期,因为中国证监会在 2001 年 8 月 7 日至 2001 年 11 月 6 日期间暂停了所有 IPO 活动,以应对熊市的市场状况。更重要的是,符合政府主导的做法,从 2001 年 11 月 7 日起,IPO 发行价格是根据 IPO 年之前一年的每股收益(EPS)确定的,使用的市盈率倍数上限为 20(如后面表 2 所示,这是一个非常低的门槛),并在一个狭窄的区间内波动。
3.2. Why does the CSRC prefer the government-based IPO offer pricing approach? 3.2. 为什么中国证监会更倾向于政府主导的 IPO 定价方法?
For readers unfamiliar with the history of China’s economic development over the past three decades, it may come as a surprise that China’s IPO regulatory regime changes so frequently. We believe that such flip-flops are usually due to ideological differences among China’s different political factions and the self-interest of government agencies (Li, 2013). More specifically, the CSRC’s adoption of the government-based approach in Regimes 1 and 3 can be explained by the CSRC’s lack of experience in regulating financial markets and asymmetric loss function (Peltzman, 1976). Specifically, China’s modern stock markets started only in early 1990s, after more than four decades of socialist planning economy. Hence, almost no government officials had adequate experience in regulating financial markets. More importantly, the CSRC is averse to the risk of IPO share overpricing because China’s institutional investor clientele is underdeveloped and a significant portion of IPO subscribers are small retail investors. Hence, there is a perceived risk that significant losses from overpriced IPOs could lead to retail investors’ loud complaints and even protests, which could cost government officials’ jobs and promotion prospect. On the other hand, retail investors would be less likely to complain about underpriced IPOs. Therefore, the CSRC has a natural incentive to depress IPO offer prices. 对于不熟悉中国过去三十年经济发展历史的读者来说,中国的 IPO 监管制度变化如此频繁可能会令人感到惊讶。我们认为,这种反复无常通常是由于中国不同政治派别之间的意识形态差异以及政府机构的自身利益所致(李,2013)。更具体地说,证监会在第一和第三阶段采用政府主导的方法可以解释为证监会在监管金融市场方面缺乏经验以及不对称损失函数的影响(佩尔茨曼,1976)。具体而言,中国的现代股票市场仅在 1990 年代初期开始,经过四十多年的社会主义计划经济。因此,几乎没有政府官员在监管金融市场方面有足够的经验。更重要的是,证监会对 IPO 股票定价过高的风险持谨慎态度,因为中国的机构投资者客户群尚不成熟,且相当一部分 IPO 认购者是小型散户投资者。 因此,人们认为,来自高价首次公开募股(IPO)的重大损失可能导致散户投资者的强烈投诉甚至抗议,这可能会影响政府官员的职位和晋升前景。另一方面,散户投资者对低价 IPO 的投诉可能较少。因此,中国证监会自然有动力压低 IPO 发行价格。
Fig. 1. PE multiples used in IPO offer prices. This figure plots the price-to-reported earnings (PE) multiples used in the IPO offer prices during the sample period. The PE multiples are directly obtained from IPO firms’ prospectuses. 图 1. IPO 发行价格中使用的市盈率倍数。该图绘制了样本期间 IPO 发行价格中使用的市盈率(PE)倍数。市盈率倍数直接来自 IPO 公司的招股说明书。
Therefore, we expect the CSRC to have a strong incentive to depress the PE multiples used in the IPO offerings under the govern-ment-based approach. 因此,我们预计中国证监会将有强烈的动机来压低政府主导方式下首次公开募股所使用的市盈率倍数。
This prediction is born out in our data. As shown in Fig. 1 and Panel A of Table 2, both the mean and median of the IPO firms’ PE multiples used in the offer price formulas are significantly lower in Regimes 1 and 3 than in Regime 2 . The variance of the IPO firms’ PE multiples is also significantly lower in Regimes 1 and 3 than in Regime 2 (two-tailed pp-values < 0.0001<0.0001 ). In addition, IPO firms’ PE multiples derived from the IPO offer prices deviate significantly more from the PE multiples of non-IPO firms in the same two-digit industry code during Regimes 1 and 3 than during Regime 2. As shown in Panel A of Table 2, the median IPO firm’s PE multiple as a fraction of the median PE multiple of all non-IPO firms in the same industry is 0.355 in Regime 1, 0.506 in Regime 2, and 0.403 in Regime 3. While the median ratios are all below one, the median ratio is significantly higher in Regime 2 than in Regimes 1 and 3. Furthermore, as shown in Panel B of Table 2, the Pearson correlation between an IPO firm’s PE multiple and the median PE multiple of non-IPO firms in the same industry is significantly more positive during Regime 2 than during Regimes 1 and 3. Overall, the evidence in Table 2 and Fig. 1 strongly suggests that the CSRC severely depressed IPO offer prices during Regimes 1 and 3 . 这一预测在我们的数据中得到了验证。如图 1 和表 2 的 A 面所示,首次公开募股(IPO)公司的市盈率倍数在定价公式中,第一和第三阶段的均值和中位数显著低于第二阶段。IPO 公司的市盈率倍数的方差在第一和第三阶段也显著低于第二阶段(双尾 pp -值 < 0.0001<0.0001 )。此外,IPO 公司从 IPO 定价中得出的市盈率倍数在第一和第三阶段与同一两位数行业代码的非 IPO 公司市盈率倍数的偏差显著大于第二阶段。如表 2 的 A 面所示,IPO 公司的中位市盈率倍数占同一行业所有非 IPO 公司中位市盈率倍数的比例在第一阶段为 0.355,在第二阶段为 0.506,在第三阶段为 0.403。虽然中位数比例均低于 1,但第二阶段的中位数比例显著高于第一和第三阶段。此外,如表 2 的 B 面所示,IPO 公司市盈率倍数与同一行业非 IPO 公司中位市盈率倍数之间的皮尔逊相关性在第二阶段显著高于第一和第三阶段。 总体而言,表 2 和图 1 中的证据强烈表明,在第 1 和第 3 阶段,CSRC 严重压低了 IPO 发行价格。
Given the CSRC’s strong preference for the government-based approach (i.e., using low and fixed PE multiple in IPO offer prices), why did we observe a switch to the market-based approach in Regime 2? As noted above, this switch was forced by China’s passage of the first comprehensive Securities Law in 1998 that mandated the adoption of a market-based approach in IPO offer pricing. Then, one may wonder why we still observe a reversal from the market-based approach in Regime 2 to the gov-ernment-based approach in Regime 3. We believe this is again due to the CSRC’s asymmetric loss function mentioned above. Specifically, the Shanghai stock market index lost 25%25 \% of its value from June 12, 2001, the date when the Chinese Government announced its intent to sell down state-owned non-tradable shares of mainland listed firms, to November 6, 2001, the ending date of Regime 2. Because of such strong negative market-wide sentiment, the Chinese Government cancelled its plan to sell down state-owned non-tradable shares on June 24, 2002. The CSRC must also have heightened its perceived risk of IPO blowups during the second half of 2001 and therefore resorted to administrative means to not only stop the flow of new IPOs for three months from August 7, 2001 to November 6, 2001 but also cap the maximum PE ratio at 20 for IPOs launched in Regime 3, a blatant violation of the Securities Law. ^(6){ }^{6} 鉴于中国证监会对政府主导方法(即在首次公开募股(IPO)报价中使用低且固定的市盈率倍数)的强烈偏好,为什么我们在第二阶段观察到了向市场主导方法的转变?如上所述,这一转变是由于中国在 1998 年通过了第一部综合证券法,该法要求在 IPO 报价中采用市场主导方法。那么,人们可能会想,为什么我们在第二阶段的市场主导方法又回到了第三阶段的政府主导方法。我们认为这再次是由于中国证监会上述提到的非对称损失函数。具体来说,从 2001 年 6 月 12 日中国政府宣布计划出售大陆上市公司国有非流通股到 2001 年 11 月 6 日第二阶段结束,上海股市指数损失了 25%25 \% 的价值。由于这种强烈的市场负面情绪,中国政府在 2002 年 6 月 24 日取消了出售国有非流通股的计划。 中国证监会在 2001 年下半年必须也提高了对首次公开募股(IPO)失败的感知风险,因此采取了行政手段,不仅在 2001 年 8 月 7 日至 2001 年 11 月 6 日之间停止了新 IPO 的流入,还将第三阶段 IPO 的最高市盈率限制在 20,这明显违反了证券法。 ^(6){ }^{6}
4. Financial reporting quality at the time of IPO 4. IPO 时的财务报告质量
4.1. Hypothesis development 4.1. 假设发展
In this section we analyze how variations in the IPO pricing mechanisms across Regimes 1-3 affect IPO firms’ financial reporting quality in the pre-IPO years. During Regime 1, we expect IPO firms’ insiders (i.e., founding shareholders and their appointed managers) to have a strong incentive to inflate reported earnings in the pre-IPO period for two reasons. First, as noted in Section 3, regardless of an IPO firm’s growth prospect, the PE multiple imbedded in the offer price prescribed by the CSRC was always fixed in the narrow range of 12-1512-15, which is much lower than the median PE multiple commanded by nonIPO firms in the same industry. In fact, as noted in Table 2, the IPO firms’ PE multiples in Regime 1 are negatively correlated with the median PE multiple of non-IPO firms in the same industry. 在本节中,我们分析了第 1-3 阶段中 IPO 定价机制的变化如何影响 IPO 公司在 IPO 前几年的财务报告质量。在第 1 阶段,我们预计 IPO 公司的内部人士(即创始股东及其任命的管理者)有强烈的动机在 IPO 前期夸大报告的收益,原因有二。首先,如第 3 节所述,无论 IPO 公司的增长前景如何,证监会规定的发行价格中嵌入的市盈率倍数始终固定在 12-1512-15 的狭窄范围内,这远低于同一行业非 IPO 公司所拥有的中位市盈率倍数。实际上,如表 2 所示,第 1 阶段 IPO 公司的市盈率倍数与同一行业非 IPO 公司的中位市盈率倍数呈负相关。
Second, the determination of IPO offer prices was directly based on earnings numbers. During the first half of regime 1 over 1/1/1997-3/17/1998 (denoted Regime 1a), the EPS used in the PE multiple was the average reported earnings per share in the three years prior to the IPO. During the second half of regime 1 over 3/18/1998-2/11/1999 (denoted Regime 1b), the EPS used in the PE multiple was the forecasted earnings per share in the IPO year. 其次,IPO 发行价格的确定直接基于盈利数据。在 1997 年 1 月 1 日至 1998 年 3 月 17 日的第一阶段(称为阶段 1a)中,市盈率中使用的每股收益(EPS)是 IPO 前三年报告的每股平均收益。在 1998 年 3 月 18 日至 1999 年 2 月 11 日的第一阶段后半段(称为阶段 1b)中,市盈率中使用的每股收益是 IPO 年度的预测每股收益。
Because the reported earnings in the pre-IPO period were directly used in the IPO pricing formula during Regime 1a, IPO firms’ insiders should have a clear incentive to inflate earnings in the pre-IPO period in order to increase the IPO proceeds and avoid unwarranted undervaluation of their firms’ IPO shares. ^(7){ }^{7} During Regime 1b, we also expect IPO firms’ insiders to have a strong incentive to inflate their earnings forecast for the IPO year because earnings forecasts were directly used to determine IPO offer prices. However, the insiders’ incentive to inflate earnings in the pre-IPO period is less clear because the reported earnings in the pre-IPO period were not directly used in the IPO pricing formula. We argue that during Regime 1b IPO firms’ insiders should also have an incentive to inflate reported earnings in the pre-IPO period. The reason is that if the reported earnings in the pre-IPO period were substantially below the forecasted earnings in the IPO year, IPO firms’ insiders would find it more difficult to justify to the CSRC a high earnings forecast in the IPO year. 由于在首次公开募股(IPO)前期报告的收益直接用于 Regime 1a 中的 IPO 定价公式,IPO 公司的内部人士应该有明确的激励在 IPO 前期夸大收益,以增加 IPO 收益并避免对其公司 IPO 股票的不当低估。 ^(7){ }^{7} 在 Regime 1b 期间,我们也预计 IPO 公司的内部人士会有强烈的激励来夸大 IPO 年度的收益预测,因为收益预测直接用于确定 IPO 发行价格。然而,内部人士在 IPO 前期夸大收益的激励不太明确,因为在 IPO 前期报告的收益并未直接用于 IPO 定价公式。我们认为,在 Regime 1b 期间,IPO 公司的内部人士也应该有激励在 IPO 前期夸大报告的收益。原因是,如果在 IPO 前期报告的收益远低于 IPO 年度的预测收益,IPO 公司的内部人士将更难向中国证券监督管理委员会(CSRC)证明 IPO 年度的高收益预测。
The CSRC could be aware of IPO firms’ earnings management incentives and therefore could have taken actions to limit IPO firms’ upward earnings management. However, this may not happen for two reasons. First, earnings management can take many different forms and due to the information asymmetry between an IPO firm and the regulator, the CSRC staff may not be able to easily detect earnings inflation. Second, even if the CSRC staff had the ability to detect earnings inflation, they may not have the incentive to correct such earnings management because China is a weak investor protection country and therefore the CSRC could be captured by IPO firms’ insiders. Ultimately, it is an empirical question whether the CSRC can fully constrain IPO firms’ upward earnings management in Regime 1. 中国证监会可能意识到 IPO 公司的盈余管理动机,因此可能采取措施限制 IPO 公司的盈余上调管理。然而,这可能不会发生,原因有二。首先,盈余管理可以采取多种不同形式,由于 IPO 公司与监管机构之间的信息不对称,中国证监会的工作人员可能无法轻易发现盈余膨胀。其次,即使中国证监会的工作人员有能力发现盈余膨胀,他们也可能没有纠正这种盈余管理的动机,因为中国是一个投资者保护较弱的国家,因此中国证监会可能会受到 IPO 公司内部人士的影响。最终,是否中国证监会能够完全约束 IPO 公司的盈余上调管理是一个实证问题。
Relative to Regime 1, we expect IPO firms’ insiders to have a weaker incentive to inflate reported earnings in the pre-IPO period during Regime 2. During Regime 2, offer prices were determined by market forces rather than by a mechanical formula prescribed by the CSRC and therefore were less likely to be undervalued. We expect the market to consider multiple factors before deriving an IPO firm’s final offer price. While important, reported earnings were not the only factor considered by the market. In addition, any suspicion of earnings manipulation could be viewed as a negative signal about management’s integrity and the firm’s corporate governance and therefore would be punished by the market by discounting the firm’s offer price. Due to investors’ ability to price protect, efficient contracting theory (Jensen and Meckling, 1976) would predict that IPO firms’ insiders have a strong incentive to bond to high-quality earnings by investing in monitoring technologies such as hiring a high quality auditor and avoiding aggressive earnings management. 相对于制度 1,我们预计在制度 2 期间,IPO 公司的内部人士在 IPO 前期对虚增报告收益的动机会较弱。在制度 2 期间,发行价格是由市场力量决定的,而不是由证监会规定的机械公式,因此不太可能被低估。我们预计市场在确定 IPO 公司的最终发行价格时会考虑多个因素。虽然报告收益很重要,但并不是市场考虑的唯一因素。此外,任何对收益操纵的怀疑都可能被视为对管理层诚信和公司治理的负面信号,因此市场会通过降低公司的发行价格来惩罚这种行为。由于投资者具备价格保护的能力,效率契约理论(詹森和梅克林,1976)预测,IPO 公司的内部人士有强烈的动机通过投资监控技术(如聘请高质量审计师和避免激进的收益管理)来绑定高质量收益。
Of course, one may argue that the market mechanism described above may not work well in a weak investor protection country like China. For example, bonding may be just too costly due to China’s weak law and enforcement (Doidge et al., 2007). Alternatively, Chinese stock market investors may not be very sophisticated and are fixated on reported earnings in IPO offer price determination. As a result, due to weak regulatory enforcement against corporate wrongdoings, IPO firms’ insiders may find it more beneficial to inflate reported earnings in order to send to the market a false positive signal about the firm’s future prospect. Overall, it is an empirical question whether the degree of upward earnings management is smaller in Regime 2 than in Regime 1. 当然,有人可能会争辩说,上述市场机制在像中国这样投资者保护较弱的国家可能效果不佳。例如,由于中国法律和执法的薄弱,担保可能成本过高(Doidge 等,2007)。另外,中国股市投资者可能不够成熟,过于关注首次公开募股(IPO)定价中的报告收益。因此,由于对企业不当行为的监管执法薄弱,IPO 公司的内部人士可能会发现夸大报告收益更有利,以向市场传递关于公司未来前景的虚假积极信号。总体而言,收益管理的上升程度在制度 2 中是否小于制度 1 是一个实证问题。
As explained in Section 2, the IPO pricing mechanism in Regime 3 is more similar to that in Regime 1 than that in Regime 2. Specifically, during Regime 3, the PE multiple was capped at 20 and the earnings per share used in the PE multiple were the reported earnings per share in the year prior to the IPO. While the PE multiple allowed by the CSRC is slightly higher in Regime 3 than in Regime 1, as noted in Section 3, it is still lower than the median PE multiple of non-IPO firms in the same industry. In addition, the correlation between an IPO firm’s PE multiple and the median PE multiple of non-IPO firms in the same industry is significantly less positive in Regime 3 than in Regime 2. Hence, we expect IPO firms’ insiders to have a stronger incentive in Regime 3 than in Regime 2 to inflate reported earnings at least in the year prior to the IPO year. 如第 2 节所述,第三阶段的 IPO 定价机制与第一阶段更为相似,而不是与第二阶段。具体而言,在第三阶段,市盈率倍数被限制在 20,市盈率中使用的每股收益是 IPO 前一年报告的每股收益。虽然第三阶段中国证监会允许的市盈率倍数略高于第一阶段,但如第 3 节所述,仍低于同一行业非 IPO 公司的中位市盈率倍数。此外,IPO 公司的市盈率倍数与同一行业非 IPO 公司的中位市盈率倍数之间的相关性在第三阶段显著低于第二阶段。因此,我们预计在第三阶段,IPO 公司的内部人士比在第二阶段有更强的激励在 IPO 前一年至少夸大报告的收益。
One countervailing force that may limit upward earnings management in Regime 3 is the improving overall investor protection in China over time (see Section 4.3 for a detailed discussion). Therefore, it is possible the degree of earnings inflation is smaller in Regime 3 than in Regime 1 due to the strengthening of other monitoring mechanisms over time. However, if we find an increase in upward earnings management from Regime 2 to Regime 3, the increase is more likely due to the IPO regime change rather than confounding factors. 在第三阶段,可能限制向上盈余管理的一个对抗力量是中国整体投资者保护的逐步改善(详见第 4.3 节)。因此,由于其他监控机制的加强,第三阶段的盈余膨胀程度可能小于第一阶段。然而,如果我们发现从第二阶段到第三阶段向上盈余管理的增加,这种增加更可能是由于 IPO 制度的变化,而不是混杂因素。
To test how IPO firms’ financial reporting quality changes across the three regimes, we consider two complementary dimensions of an IPO firm’s financial reporting environment. First, we consider IPO firms’ auditor selection. Second, we consider the extent of upward earnings management in the year prior to the IPO (denoted as year t-1t-1 ). ^(8){ }^{8} To the extent that IPO firms’ insiders have a stronger (weaker) incentive for high quality financial reporting in Regime 2 than in Regimes 1 and 3, we should expect the insiders to be more likely (less likely) to select a high-quality auditor, and less likely (more likely) to inflate earnings in year t-1t-1. We state the above predictions in the form of null hypotheses as follows ^(9){ }^{9} : 为了测试 IPO 公司在三个制度下财务报告质量的变化,我们考虑 IPO 公司财务报告环境的两个互补维度。首先,我们考虑 IPO 公司的审计师选择。其次,我们考虑 IPO 前一年(记作年份 t-1t-1 )的向上盈余管理程度。 ^(8){ }^{8} 如果 IPO 公司的内部人士在制度 2 中对高质量财务报告的激励比在制度 1 和 3 中更强(更弱),我们应该预期内部人士更有可能(不太可能)选择高质量审计师,并且在年份 t-1t-1 中不太可能(更可能)夸大盈余。我们将上述预测以零假设的形式表述如下 ^(9){ }^{9} :
H1. Managers of IPO firms in Regimes 1, 2 and 3 are equally likely to select a high-quality auditor. H1. 在第 1、2 和 3 个制度下,IPO 公司的管理者选择高质量审计师的可能性相同。
H2. Managers of IPO firms in Regimes 1, 2 and 3 are equally likely to inflate earnings in the year prior to the IPO. H2. 在第 1、2 和 3 类制度下,首次公开募股(IPO)公司的管理者在 IPO 前一年同样可能会虚增收益。
In addition to inflating reported earnings, IPO firms could have a variety of alternative responses to the CSRC’s rigid control over IPO offer prices during Regimes 1 and 3. For example, IPO firms could opt to stay private and seek alternative funding sources. IPO firms could also cut the size of the shares to be sold in the IPO followed by larger issuances of seasoned equity offerings (SEOs) at higher prices. Unfortunately, during our sample period these options were not readily available. Staying private was not an attractive option because alternative financing sources were severely limited. We find no evidence in Table 5 reported later that growth firms were more likely to stay private in Regimes 1 and 3. Both the IPO offer size and SEOs were heavily regulated, too. During our sample period the mean IPO offer size as a percentage of total shares outstanding after the IPO was 31.8%31.8 \% with a small standard deviation of 6.6%^(10)6.6 \%{ }^{10} Chinese listed firms also required the explicit approval of the CSRC for SEOs in our sample period. We find no evidence that the IPO offer size (the SEO offer size) is significantly smaller (larger) in Regimes 1 and 3 than in Regime 2 (untabulated). In summary, IPO firms have very few alternative responses other than earnings management to mitigate the rigid IPO offer pricing regulations during Regimes 1 and 3. 除了夸大报告的收益外,IPO 公司在第一和第三阶段对证监会对 IPO 发行价格的严格控制可能有多种替代应对措施。例如,IPO 公司可以选择保持私有并寻求替代融资来源。IPO 公司还可以减少 IPO 中出售的股份规模,然后以更高的价格进行更大规模的增发(SEO)。不幸的是,在我们的样本期间,这些选项并不容易获得。保持私有并不是一个有吸引力的选择,因为替代融资来源严重有限。我们在后面的表 5 中没有发现证据表明,成长型公司在第一和第三阶段更可能保持私有。IPO 发行规模和增发也受到严格监管。在我们的样本期间,IPO 发行规模占 IPO 后总流通股的平均比例为 31.8%31.8 \% ,标准差为 6.6%^(10)6.6 \%{ }^{10} 。在我们的样本期间,中国上市公司还需要证监会对增发的明确批准。我们没有发现证据表明,第一和第三阶段的 IPO 发行规模(增发规模)显著小于(大于)第二阶段(未列出)。 总之,IPO 公司在第 1 和第 3 阶段几乎没有其他替代方案来应对严格的 IPO 发行定价规定,除了收益管理。
4.2. Regression results 4.2. 回归结果
4.2.1. Test of H1 4.2.1. H1 测试
We use the following logistic regression to test H 1 : 我们使用以下逻辑回归来检验 H 1:
SL=beta_(0)+beta_(1)REG1+beta_(2)REG3+" Controls "+epsiS L=\beta_{0}+\beta_{1} R E G 1+\beta_{2} R E G 3+\text { Controls }+\varepsilon
See Appendix A for all variable definitions. The regression is estimated using the IPO firms during our sample period. SL is a dummy variable that measures the quality of an IPO firm’s hired auditor, with one for a low-quality auditor. The definition of SL follows Wang et al. (2008) who argue and find that small local auditors are less independent and hence provide lower quality audits than other Chinese auditors (see also Chan et al., 2006). 请参见附录 A 以获取所有变量定义。回归分析使用了我们样本期间的 IPO 公司。SL 是一个虚拟变量,用于衡量 IPO 公司聘请的审计师的质量,低质量审计师为 1。SL 的定义遵循 Wang 等人(2008)的观点,他们认为并发现小型地方审计师的独立性较差,因此提供的审计质量低于其他中国审计师(另见 Chan 等人,2006)。
The variables REG1 and REG3 are used to test H1. To the extent that the market-based approach (i.e., Regime 2) provides managers of IPO firms with a stronger incentive to supply high-quality financial reporting, the coefficients on REG1 and REG3 should be significantly positive. ^(11){ }^{11} 变量 REG1 和 REG3 用于测试 H1。在市场导向的方法(即,制度 2)在多大程度上为 IPO 公司的管理者提供了更强的激励以提供高质量的财务报告时,REG1 和 REG3 的系数应该显著为正。
Following prior research (Copley and Douthett, 2002; Willenborg, 1999; Weber and Willenborg, 2003; DeFond et al., 2000), we control for the following common determinants of auditor choices. We use CURRENT, LEV, ROA, and VOLATILITY to control for audit risk, and ASSETS and ARINV to control for audit complexity. To the extent that more risky clients hire high quality auditors as a bonding mechanism to reduce agency costs, coefficients on LEV and VOLATILITY should be negative while the coefficients on CURRENT and ROA should be positive. We expect the coefficients on ASSETS and ARINV to be negative since small local audit firms are less able to undertake large and/or complex audits. 根据之前的研究(Copley 和 Douthett, 2002;Willenborg, 1999;Weber 和 Willenborg, 2003;DeFond 等, 2000),我们控制以下审计选择的共同决定因素。我们使用 CURRENT、LEV、ROA 和 VOLATILITY 来控制审计风险,使用 ASSETS 和 ARINV 来控制审计复杂性。在风险较高的客户聘请高质量审计师作为减少代理成本的担保机制的情况下,LEV 和 VOLATILITY 的系数应为负,而 CURRENT 和 ROA 的系数应为正。我们预计 ASSETS 和 ARINV 的系数为负,因为小型地方审计公司较难进行大型和/或复杂的审计。
Growth firms have a greater need for external financing, and thus should have a stronger incentive to hire a high quality auditor (Wang et al., 2008). Hence, we also include GROWTH as a control and its coefficient is expected to be negative. While the IPO offer size is heavily regulated in China, we follow U.S. research by including two IPO characteristics, PROCEEDS and RETAINED_OWN, as additional control variables. Prior U.S. research (Dye, 1993; Willenborg, 1999) suggests that large auditors provide greater insurance coverage in the event of securities litigation than small auditors and therefore IPO firms with greater IPO proceeds should be more likely to appoint large auditors. Because securities litigation rarely occurs in China, we doubt that auditors play a similar insurance role in Chinese IPOs. Nevertheless, we still include PROCEEDS to be consistent with prior research. Prior U.S. research also argues that IPO firms’ insiders can use RETAINED_OWN to signal firm value. However, the coefficient on RETAINED_OWN is hard to predict because RETAINED_OWN could be either a complement to or a substitute for high-quality auditors (Titman and Trueman, 1986; Datar et al., 1991). 成长型公司对外部融资的需求更大,因此应该更有动力聘请高质量的审计师(王等,2008)。因此,我们也将 GROWTH 作为控制变量,其系数预计为负值。虽然在中国,首次公开募股(IPO)的发行规模受到严格监管,但我们仍然借鉴美国的研究,将两个 IPO 特征 PROCEEDS 和 RETAINED_OWN 作为额外的控制变量。之前的美国研究(Dye,1993;Willenborg,1999)表明,与小型审计师相比,大型审计师在证券诉讼发生时提供更大的保险保障,因此,IPO 公司如果获得更多的 IPO 收益,应该更有可能聘请大型审计师。由于在中国证券诉讼很少发生,我们怀疑审计师在中国 IPO 中是否发挥类似的保险作用。尽管如此,我们仍然包括 PROCEEDS 以与之前的研究保持一致。之前的美国研究还认为,IPO 公司的内部人士可以利用 RETAINED_OWN 来传递公司价值。然而,RETAINED_OWN 的系数难以预测,因为 RETAINED_OWN 可能是高质量审计师的补充或替代品(Titman 和 Trueman,1986;Datar 等,1991)。
Following Wang et al. (2008), we further control for SOE and MARKETIZATION. Wang et al. (2008) argue that Chinese SOEs tend to select small local auditors because the latter often have special knowledge about local SOEs but this tendency is moderated in regions with stronger institutional environments. Consistent with Wang et al. (2008), we measure the strength of institutions by MARKETIZATION, which is the marketization index for the province in which the IPO firm is located (higher index suggests stronger market institutions). We expect the coefficients on SOE and MARKETIZATION to be positive and negative, respectively. We include HHI because Chan and Wu (2011) show that the audit market structure changed significantly over time due to audit firm mergers. When the audit market is more concentrated in the hands of a few large audit firms (i.e., the value of HHI is higher), there is a lower supply of audit services provided by small audit firms. We therefore expect the coefficient on HHI to be negative. Finally, we include industry fixed effects. ^(12){ }^{12} 根据王等人(2008)的研究,我们进一步控制国有企业(SOE)和市场化(MARKETIZATION)。王等人(2008)认为,中国的国有企业倾向于选择小型地方审计师,因为后者通常对地方国有企业有特殊的了解,但这种倾向在制度环境较强的地区会有所减弱。与王等人(2008)的观点一致,我们通过市场化来衡量制度的强度,市场化是指 IPO 公司所在省份的市场化指数(指数越高,市场制度越强)。我们预计国有企业和市场化的系数分别为正和负。我们还包括了 HHI,因为 Chan 和 Wu(2011)表明,由于审计公司合并,审计市场结构随着时间的推移发生了显著变化。当审计市场集中在少数大型审计公司手中时(即 HHI 值较高),小型审计公司提供的审计服务供应量较少。因此,我们预计 HHI 的系数为负。最后,我们还包括行业固定效应。