Introduction to the report: the secondary market game is difficult to judge the flower in the heart, while the issuance market game is difficult to repeat the game for a limited number of times under the constraints of different path rules. The current wave of breaking and abandoning purchases pushes the balance to the other side, and the negative feedback overweight pointing to the steady-state balance is imminent. The cycle of the issuance market is still rotating, and marketization still needs a more effective incentive mechanism.
Behind the break is the process of risk cognition reconstruction, and the distribution logic of the market has changed from game shortlisted to research driven. Cognitive and frictional costs will drive the trend of absolute return investors to ebb. Review the pricing logic of new shares (see the system, origin and evolution behind the dividend of the strong in IPO pricing - Part II of the research series on the rules of A-share market). 1) Returning to rationality and breaking is normal, which reflects the "market-oriented pricing" under the requirements of the registration system, but the mechanism needs to be matched with the environment. Investors' thinking stickiness leads to low efficiency, contract defects trigger agency problems, and the risk exposure of securities companies is further expanded in the abandonment crisis. With the advent of the breaking tide, the Underwriters who abandon the purchase under the underwriting mode need to bear the breaking risk and capital occupation cost. 2) Risk free return has become a thing of the past, and the group dynamic cognition lags behind the return to positive. Reviewing the changes in the two quarters before and after the implementation of the new inquiry rules, in terms of the number of participation, the left deviation distribution of accounts in 21q3 before the new rules was "corrected" significantly. In the original participation strategy under risk-free return, when new shares are facing breaking, investors become cautious, reconsider their safety margin and make an offer. 3) Without breaking or standing, high returns become scarce, and the choice of proxy variables becomes the key. After the expected convergence, the research ability replaces the shortlisted rate as a new allocation logic. The return distribution returns to the positive skewness, and high returns are more scarce after dividends.
As the final acceptor, is the securities firm's own risk exposure controllable? This depends on whether the adjustment of negative feedback mechanism is timely. The comprehensive promotion of the registration system is imminent, and the underwriting method of traditional balance underwriting urgently needs to match the new market environment. Cognitive and friction costs make the behavior of individual investors relatively lagging behind. Subscription without payment leads to a wave of abandonment under the "soft constraint" of the rules. 1) The essence of inquiry system is "market-oriented pricing", that is to invite institutional investors to participate in inquiry, obtain relevant information about the value and demand of new shares, and reasonably price new shares. There is a negative feedback mechanism under market-oriented pricing. The investment follow-up rules of securities companies' subsidiaries and the balance underwriting system restrict the balance from further sliding away from the steady state. Although the cognition of investors lags behind, they still have the right to choose whether to participate in inquiry or not. 2) Breaking tide corrects investors' expectation that the underwriting mode of A-Shares may change. In the future, securities companies may prudently evaluate the underwriting risk and change the underwriting mode of some IPO projects from underwriting to consignment, so as to avoid the possibility of losses due to break-up in the future.
In the case of poor market environment, the consignment model is very easy to cause agency problems, which can also lead to IPO Underpricing and efficiency loss. Under the consignment mode, if the issuer, as a small enterprise, faces great pressure of issuance failure, the overall external market environment during IPO is poor, or the underwriting work results of securities companies in the early stage are not ideal, if we continue to promote the IPO process, securities companies will obtain lower underwriting fees, so as to reduce investment in stock issuance business. At this time, the IPO may face a greater risk of issuance failure, and if the successful issuance of new shares is guaranteed by reducing the issuance price, the amount of financing that the issuer can obtain through the IPO will also be reduced. However, the investment of securities companies in the issuance is small, which can easily lead to unreasonable pricing or inadequate recommendation, resulting in the loss of efficiency in entrustment.
Behind the cycle is the cycle of rules and feedback mechanism, which is also the cognitive cycle of investors. Institution, cognition and friction cost are the core reasons for the lag. The core elements of new income prediction are the issuance scale, the increase of new shares and the proportion of allocation. All of them are greatly affected by policy and market factors. A large number of investors attracted by high income often miss the best time window; After the market bull bear conversion, the expected return of the stock market will be reduced, the opportunity cost will be reduced, investors will pour in and the allocation will be diluted. At the same time, the market bear will drive the issuance scale and the increase of new shares to decline, resulting in the killing of volume and price, but the relative elasticity is small; In addition, the friction cost of new investors' participation may also affect the time lag of participation. In the long run, market-oriented rules and systems, such as the improvement of Underwriters' independent placement rights and short selling mechanism, also need mature market cooperation. The essence of discriminatory placement principle is a kind of compensation for investors who provide IPO pricing information.
Risk tip: liquidity has been significantly tightened, the pace of IPO is less than expected, and the offering system has changed.
