中国股票市场IPO首日超额收益现象研究

发布时间：2018-06-06 18:57

本文选题：首次公开发行 + 超额收益　；参考：《山东大学》2011年硕士论文

【摘要】：IPO首日超额收益现象在各国新股发行市场中普遍存在,不论是新兴的证券市场,还是发达国家成熟的证券市场。中国证券市场自成立以来一直具有较高的新股发行初始收益率,该现象在增加了一级市场二级市场价格震荡的同时,也阻碍了资本市场资金融通和资源配置功能的发挥,因此对于IPO首日超额收益现象,国内外诸多学者根据各国市场进行了大量理论与实证研究,早期的研究主要倾向于依据固典经济金融理论从一级市场抑价的角度对其进行解释,而后行为金融理论的发展为从二级市场溢价的角度进行研究提供了新的依据,以上研究得出了许多有重要意义的结论。鉴于此,文章首先以现有的有关IPO首日超额收益的研究回顾为起点,对国内外学者的研究成果与结论进行梳理,在对已有研究进行分析归纳和总结后,概述了IPO一级市场抑价和二级市场溢价的形成机理。在实证研究方面,本文以1998年至2009年上市的908支股票为研究样本进行实证分析,以可比公司法确定IPO新股的合理价格,并在此基础上进行一级市场抑价和二级市场溢价的分离和回归分析,实证研究结果表明,中签率、首发市盈率、市盈率管制和发行制度对一级市场抑价存在显著影响,而上市首日换手率、IPO前一季度历史首日超额收益率的平均值、股本规模以及市场状况对二级市场溢价有显著影响,因此我国新股发行超高的初始收益率可以概括为风险性因素、制度性因素以及非理性投资行为下综合作用的结果。通过分析实证研究结果,本文认为要使IPO首日超额收益合理化,需要发行人、承销商、监管部门和投资者的共同努力：逐步推进定价机制的市场化进程；注重发行制度的建设,推进核准制向注册制的过渡；充分发挥政府在股票市场中的监管作用；促进金融市场多元化健康发展,培育投资者进行理性投资。
[Abstract]:The phenomenon of excess return on the first day of IPO exists generally in the new stock market of various countries, whether it is the emerging stock market or the mature securities market in developed countries. Since its establishment, China's securities market has always had a relatively high initial return rate of new stock issuance, which not only increases the price volatility in the secondary market of the primary market, but also hinders the capital market capital financing and the function of resource allocation. Therefore, many scholars at home and abroad have carried out a lot of theoretical and empirical research according to the market of various countries for the phenomenon of excess return on the first day of IPO. The early studies mainly tend to explain it from the perspective of underpricing in the primary market according to the theory of solid economy and finance. Then the development of behavioral finance theory provides a new basis for the study from the perspective of secondary market premium. Based on the review of the existing research on IPO's first day excess return, this paper combs the research results and conclusions of domestic and foreign scholars, after analyzing and summing up the existing research, The formation mechanism of underpricing and premium in IPO primary market is summarized. In empirical research, this paper takes 908 stocks listed from 1998 to 2009 as a sample for empirical analysis to determine the reasonable price of IPOs in comparable company law. On this basis, the separation and regression analysis of the primary market underpricing and the secondary market premium are carried out. The empirical results show that the success ratio, the IPO price-earnings ratio, the price-earnings ratio control and the issuing system have significant effects on the first-level market underpricing. However, the turnover rate on the first day of IPO and the average of the first day excess yield in the first quarter before IPO, the scale of equity and the market condition have significant influence on the premium of secondary market. Therefore, the high initial yield of new stock issuance in China can be summarized as risk factor. By analyzing the results of empirical research, this paper argues that in order to rationalize the IPO's first day excess return, issuers and underwriters are needed. The joint efforts of regulators and investors include: gradually promoting the marketization process of pricing mechanism; paying attention to the construction of issuing system, promoting the transition from approval system to registration system; giving full play to the role of the government in the supervision of the stock market; Promote diversified and healthy development of financial markets and foster rational investment by investors.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2011
【分类号】：F832.51;F224

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