| IPO underpricing rate has always been the focus of financial industry.After the implementation of registration system in China,the relevant policy of suppressing the "three high" in the book-building system has become a shortcoming.Some institutional investors give up rational research on the value of new shares and adopt the huddle strategy in order to obtain profits.The overall issuance environment is becoming more and more low-priced,resulting in insufficient fundraising,abnormally high IPO underpricing rate and low pricing efficiency of new shares,which seriously affects the normal order of the market.In order to solve this problem,the new rules on book-building made a series of adjustments in September 2021,relaxed the quotation restrictions,and adjusted the proportion of high price exclusion from "no less than 10%" to "between 1%and 3%".It also broke through "the lowest of the four values"and further empowered underwriters with independent pricing power.Meanwhile,the new rules abolished the requirement that the pricing of new shares be linked to the subscription schedule and the number of special announcements on investment risks,strengthened the supervision of quotation behavior,and clarified the standard requirements and regulatory measures when offline investors participate in quotation.The new rules caused a series of market anomalies,and the financial industry is quite concerned about it.There are few existing studies on this issue,and no conclusion has been formed.Further research will be helpful to further improve the book-building system and promote the marketization process.Therefore,this paper uses the change of book-building system to study the quotation strategy of institutional investors and the pricing behavior of underwriters,discusses the impact of the new rules on pricing efficiency,and tries to find the mechanism of new rules to exert the policy effect.First of all,this paper makes clear the problems to be studied,and combs the evolution of book-building system to understand the market trend of previous reforms.At the same time,the literatures about the book-building and pricing efficiency,quotation strategy of institutional investors,and pricing behavior of underwriters are summarized.Based on literature review and theoretical analysis,this paper proposes corresponding research hypotheses.Secondly,this paper selects 592 companies that issued new shares on the GEM of Shenzhen Stock Market and the STAR of Shanghai Stock Market from August 24,2020 to November 2022 as the research samples.At first,this paper makes statistics on the number of institutions,analyzes the changes in the willingness of institutions to participate in quotation,and makes a preliminary judgment on the differences of dependent variables before and after the policy through descriptive analysis.After that,the multiple regression model is further used to study the impact of the new rules of book-building on the quotation behavior of institutional investors,the pricing behavior of underwriters,and IPO underpricing rate,so as to comprehensively analyze the policy effect of the new rules.In addition,the interaction term of moderating variables is added to the model to study the influencing factors of the effect of the new rules of book-building.The step-up regression method is used to analyze the mechanism path that the new rules affects IPO underpricing rate.In order to reduce bias,propensity score matching model is used to test robustness.Based on the above research,this paper draws the following conclusions:(1)After the new rules of book-building,the strategies of institutional investors have changed.Specifically,the degree of differences in pricing opinions has increased,and the range of effective quotation has widened,which reflects that the degree of institutional investors’ collusion on prices has decreased.(2)IPO underpricing rate decreased significantly after the promulgation of new rules on book-building.The specific impact path is that new rules reduce the degree of agglomeration of institutional investors,so that institutional investors can freely and fully offer prices to reveal more information about the real demand for new shares,enhancing the degree of marketization and improving the efficiency of IPO pricing.(3)The decline of IPO underpricing rate of stateowned enterprises is bigger than that of non-state-owned enterprises.The decline of IPO underpricing rate of specialized and special new enterprises(with small-scale and high-tech characteristics)will be lower after the implementation of the new rules.Compared with the STAR,the IPO underpricing rate of the GEM has decreased substantially.(4)The pricing adjustment strategy of underwriters has also changed.After the new rules,the underwriters lowered the issuing price even more.However,the extent of underwriter pricing reduction will be inhibited by the strategic allocation ratio of the lead underwriter.(5)The propensity matching score model verifies that IPO underpricing rate does decrease significantly after the implementation of the new rules on book-building.The regression results of the main variables using the matching data were consistent with previous studies,which proved the robustness of the conclusion.Therefore,this paper suggests that the management should further strengthen supervision,supplement the book-building system,and strengthen information disclosure and utilization.At the same time,we call on institutional investors to change their thinking of being shortlisted,to pay attention to the value research of new shares,and to improve the ability of value research and judgment,so as to promote the primary issuance market to return to rationality and drive the process of pricing marketization. |
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