IPO における大手証券会社の引受と初期収益率利益相反仮説の検証 IPO Underwriting by Major Security Houses and Initial Return: Testing Conflict of Interest Hypothesis 池田直史 (Naoshi I

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1 Powered by TCPDF ( Title Sub Title Author Publisher IPO における大手証券会社の引受と初期収益率 : 利益相反仮説の検証 IPO underwriting by major security houses and initial return : testing conflict of interest hypothesis 池田, 直史 (Ikeda, Naoshi) 慶應義塾大学出版会 Publication year 2010 Jtitle 三田商学研究 (Mita business review). Vol.53, No.1 ( ),p Abstract IPO における公開価格決定方式の1つであるブックビルディング方式では, 引受主幹事が新規公開株の割り当てに関して裁量を持つだけでなく, 公開価格決定に大きく関与するしたがって, 引受主幹事が自身の利益を最大にするように公開価格を決定している可能性が高いこの想定の下, ブックビルディング方式下における高い初期収益率を説明する仮説として証券会社による利益相反仮説があるこれは, 売買関係業務を主たる収入源とする証券会社が引受主幹事を務めた場合, 売買関係業務の顧客である投資家の利益を図るべく, 発行企業の利益を犠牲にして公開価格を意図的に低く設定するという仮説である本稿では,1998 年度から2007 年度までの全市場におけるIPO を対象に利益相反仮説の検証を行ったそして,2003 年度以前では, 売買関係業務において利益供与を図るべき大口顧客を抱え, かつ引受市場で支配力を持つ大手証券会社 3 社が引受主幹事を務めた場合, 初期収益率が有意に高くなるという結果を得たしかし,2004 年度以降では, このような利益相反の証拠は得られなかった Under book building method, lead underwriters have not only discretion of IPO share allocation, but also an influence on setting the offering price. Therefore, it is highly possible that lead underwriters set the offering price that maximizes their own interests. Under this assumption, the "conflict of interest hypothesis" explains high initial return under book building method. According to the hypothesis, if securities houses which mainly earn the income from the broker's business serve as lead underwriter, they intentionally underprice the offering price in order to give favors to the investors who are their customers in the broker's business, sacrificing the interests of the issuing firm. In this paper, I tested the conflict of interest hypothesis for the IPOs from fiscal 1998 to fiscal 2007 in Japan. As a result, I got the evidence that, before fiscal 2003, the initial return is significantly higher if three major security houses which have large customers in the broker's business and market power in underwriting business serve as lead underwriter. On the other hand, I did not the evidence like this after fiscal Notes 論文 Genre Journal Article URL

2 IPO における大手証券会社の引受と初期収益率利益相反仮説の検証 IPO Underwriting by Major Security Houses and Initial Return: Testing Conflict of Interest Hypothesis 池田直史 (Naoshi Ikeda) IPO における公開価格決定方式の 1 つであるブックビルディング方式では, 引受主幹事が新規公開株の割り当てに関して裁量を持つだけでなく, 公開価格決定に大きく関与するしたがって, 引受主幹事が自身の利益を最大にするように公開価格を決定している可能性が高いこの想定の下, ブックビルディング方式下における高い初期収益率を説明する仮説として証券会社による利益相反仮説があるこれは, 売買関係業務を主たる収入源とする証券会社が引受主幹事を務めた場合, 売買関係業務の顧客である投資家の利益を図るべく, 発行企業の利益を犠牲にして公開価格を意図的に低く設定するという仮説である本稿では,1998 年度から 2007 年度までの全市場における IPO を対象に利益相反仮説の検証を行ったそして,2003 年度以前では, 売買関係業務において利益供与を図るべき大口顧客を抱え, かつ引受市場で支配力を持つ大手証券会社 3 社が引受主幹事を務めた場合, 初期収益率が有意に高くなるという結果を得たしかし,2004 年度以降では, このような利益相反の証拠は得られなかった Under book building method, lead underwriters have not only discretion of IPO share allocation, but also an influence on setting the offering price. Therefore, it is highly possible that lead underwriters set the offering price that maximizes their own interests. Under this assumption, the conflict of interest hypothesis explains high initial return under book building method. According to the hypothesis, if securities houses which mainly earn the income from the broker's business serve as lead underwriter, they intentionally underprice the offering price in order to give favors to the investors who are their customers in the broker s business, sacrificing the interests of the issuing firm. In this paper, I tested the conflict of interest hypothesis for the IPOs from fiscal 1998 to fiscal 2007 in Japan. As a result, I got the evidence that, before fiscal 2003, the initial return is significantly higher if three major security houses which have large customers in the broker s business and market power in underwriting business serve as lead underwriter. On the other hand, I did not the evidence like this after fiscal 2004.

3 2010 年 3 月 2 日掲載承認 * IPO における大手証券会社の引受と初期収益率池田直史 IPO IPO IPO IPO

4 IPO IPO IPO Kaneko and Pettway

5 IPO IPO IPO IPO Beatty and Ritter Dunbar Loughran and RitterLoughran and Ritter IPO IPO Loughran and Ritter ReuterReuter IPO Reuter Nimalendran, Ritter and Zhang money left on the table IPO IPO

6 Loughran and Ritter Nimalendran, Ritter and Zhang IPO IPO IPO IPO IPO

7 IPO IPO IPO IPO IPO IPO Bajaj, Chen and Mazumdar Table IPO IPO IPO

8 図 1 受入手数料に占める各手数料項目の割合 ( 対象 : 主幹事経験のある証券会社 ) NEEDS HSBCJ P USB NIS IPO KOBE IPO

9 IPO 表 1 各証券会社の主幹事シェア UFJ.... UFJ SMBC UFJ HSBC J.P UBS KOBE SBI NIS... IPO IPO Tokyo IPO IPO

10 IR 1) 利益相反仮説から導かれる変数 IPO IPO IPO BIG IPO IPO FY_FY IPO FY_FY FY_FY BIG IPO BANK UFJ UFJ

11 IPO UFJ SMBC IPO IPO FOREIGN BIG BIGBANK FOREIGN 2) コントロール変数 MR Beatty and Ritter AGE ASSETS IPO Beatty and Ritter NEEDS

12 Habib and Ljungqvist INSIDE IPO MTH NASJ_HRLS TSETSE OHTERS IT FYt, t,,, 3) 分析対象データ計測方法 IPO IPO IPO Tokyo IPO IPO Model IRi bintercept bbig3 BIG 3i bmr MR i bassets LOG ] ASSETSig bage LOG ] AGEig binside INSIDEi bmth MTH i bnasj_ HRLS NASJ_HRLSi ! t 1999 b TSE TSE 1 i b TSE TSE 2 i b OTHERS OTHERS i b FYt FYt i f i Model BIGFY X_ X,,, Model Model Model Model BANK FOREIGN Model BIGFY X_ X,,, Model Model OLS t White Q-BoardNEO Tokyo IPO

13 IPO 表 2 記述統計量 IR...., BIG.....,.....,.....,.....,.....,.....,.....,....., BANK....., FOREIGN....., MR..., LOG AGE...., LOG ASSETS...., INSIDE....., MTH....., NASJ_HRLS....., TSE....., TSE....., OTHERS....., FY....., FY....., FY....., FY....., FY....., FY....., FY....., FY....., FY....., IR BIGBIGFY X_FYX IPO X,,,,,, BANK FOREIGN MR LOG AGE LOG ASEETS INSIDE MTH NASJ_HRLS TSETSEOTHERS FY Model Model BIG Model Model BANK FOREIGN Model Model Model BIG Model Model Model

14 表 3 検証結果 IR Model Model Model Model Model Model Model Model BIG ** *** *** ** * ** *** ** MR *** *** *** *** *** *** *** *** LOG AGE *** *** *** *** *** *** *** *** LOG ASSETS *** *** *** *** *** *** *** *** INSIDE *** *** *** *** ** ** ** *** INTERCEPT *** *** *** *** *** *** *** *** FY_DUMMY YES YES YES YES YES YES YES YES MARKET_DUMMY YES YES YES YES YES YES YES YES adj. R. squared F statistic *** *** *** *** *** *** *** *** num. of obs.,,,,,,,, t t White BIGBIGFY X_FYX IPO X,,,,,, MR LOG AGE LOG ASEETS INSIDE FY_DUMMY MARKET_DUMMY YES adj. R. squared F statistic F num. of obs. *** ** * Model BIGFY_FY Model Model Model BIGFY_FY Model BIG

15 IPO 表 4 検証結果 ( 続き ) IR Model Model Model Model Model Model Model Model BIG * ** ** * * ** *** ** BANK FOREIGN MR *** *** *** *** *** *** *** *** LOG AGE *** *** *** *** *** *** *** *** LOG ASSETS *** *** *** *** *** *** *** *** INSIDE *** *** *** *** ** ** ** *** INTERCEPT FY_DUMMY YES YES YES YES YES YES YES YES MARKET_DUMMY YES YES YES YES YES YES YES YES adj. R. squared F statistic *** *** *** *** *** *** *** *** num. of obs.,,,,,,,, t t White BIGBIGFY X_FYX IPO X,,,,,, BANK FOREIGN MR LOG AGE LOG ASEETS INSIDE FY_DUMMY MARKET_DUMMY YES adj. R. squared F statistic F num. of obs. *** ** * Model Model Model Model Model Model BIG BIG BIG FY_FY

16 BANK FOREIGN Model Model Model Model BANK FOREIGN BIG BIG FY_FY Model IPO IPO IPO IPO HHI IPO HHI IPO IPO IPO 2 p IPO HHI IPO

17 IPO 図 2 IPO 引受市場のハーフィンダール指数 IPO Tokyo IPO IPO IPO IPO IPO

18 参考文献 IPO COE DP Bajaj, M., A. Chen, and S. Mazumdar Competition in IPO Underwriting: Time Series Evidence, Research in Finance,,. Beatty, R. P., and J. R. Ritter, Investment Banking Reputation, and the Underpricing of Initial Public Offerings, Journal of Financial Economics,,. Dunbar, C. Factors Affecting Investment Bank Initial Public Offering Market Share, Journal of Financial Economics,,. Habib, M. A., and A. Ljungqvist Underpricing and Entrepreneurial Wealth Losses in IPOs: Theory and Evidence, Review of Financial Studies,,. Kaneko, T., and R. H. Pettway Auction versus Book Building of Japanese IPOs, Pacific-Basin Finance Journal,,. Loughran, T., and J. R. Ritter Why Don t Issuers Get Upset about Leaving Money on the Table in IPOs? Review of Financial Studies,,. Nimalendran, M., J. R. Ritter, and D. Zhang Do Today s Trades Affect Tomorrow s IPO Allocations? Journal of Financial Economics,,. Reuter, J. Are IPO Allocations for Sale? Evidence from the Mutual Fund Industry, Journal of Finance,,.

2009 年 4 月 14 日掲載承認 IPO の過小値付け現象新しい解釈の試み金子隆 IPO IPO IPO PO PO IPO IPO IPO IPO Initial Public Offering IPO Offering IPO going public

2009 年 4 月 14 日掲載承認 IPO の過小値付け現象新しい解釈の試み金子隆 IPO IPO IPO PO PO IPO IPO IPO IPO Initial Public Offering IPO Offering IPO going public Powered by TCPDF (www.tcpdf.org) Title IPOの過小値付け現象 : 新しい解釈の試み Sub Title A new interpretation of the IPO underpricing : inaccuracy premium hypothesis Author 金子, 隆 (Kaneko, Takashi) Publisher 慶應義塾大学出版会 Publication

IPO における大手証券会社の引受と初期収益率 利益相反仮説の検証 IPO Underwriting by Major Security Houses and Initial Return: Testing Conflict of Interest Hypothesis 池田直史 (Naoshi I

IPO における大手証券会社の引受と初期収益率利益相反仮説の検証 IPO Underwriting by Major Security Houses and Initial Return: Testing Conflict of Interest Hypothesis 池田直史 (Naoshi I