关键词: 定向增发抑价, 双边随机边界模型, 折价效应, 溢价效应

Abstract: The problem of high underpricingof private placement is becoming more and more serious.In the past, foreign researches mainly focused on the primary market and ignored the mispricing of the secondary market.However, as an emerging economy, China's market environment and institutional background are quite different from that of developed economies, and these differences may lead to the fact that the existing pricing theory of private placement abroad does not apply to the Chinese stock market. So the two-tier stochastic frontier model is introduced to explore the formation mechanism of high underpricing, and a new underpricing decomposition model of the private placement is developed. The underpricing effect of private placement is decompased into discount effect of primary market and premium effect of secondary market. In addition, an empirical test is conducted for A-share listed companies in Shanghai and Shenzhen that has completed the private placement of new shares. The empirical results are as follows:(1) The offering price and exchanging priceare both overvalued, and there is a price bubble.(2) Both the discount effect and the premium effect have exerted a significant influence on the underpricing of private placement, but the premium effect is the leading factor leading to the high underpricing of private placement. (3)The influence of the premium effect on the high underpricing is more significant in the sub-samples of state-owned enterprises,the full subscription of major shareholders, the bull market and the low information transparency. Our sample includes 2,927 effective observations over the period from 2007 to 2017. Besides, the original samples were screened and processed as follows:Eliminate listed companies in financial industry; For the listed companies with two or more private placement (including), only the data of the first private placement is kept to exclude the possibility of wrong statistical results caused by overlapping study intervals; Excluding the listed companies that entered bankruptcy reorganization in the last year of private placement; Excluding listed companies whose offering price is lower than the net asset per share before private placement.The data of private placement used in this paper are from WindDatabase, while the remaining financial data are from CSMAR and CCER Databases. Above all, based on the local Chinese culture, the underpricing decomposition theory of private placement is developed, and the conclusion is more in line with the reality of Chinese stock market, which provides a new perspective and method for the follow-up study of private placement.

Key words: private placement underpricing decomposition, two-tiered stochastic frontier model, discount effect, premium effect