最优IPO时机选择研究及证据

发布时间：2018-02-16 15:45

本文关键词： IPO时机临界利润发行比例抑价程度热发行　出处：《宁波大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文以实物期权理论、投资决策理论和博弈论为基础，借助随机控制、动态优化方法、最优停时理论、偏微分方程和Ito引理等数学工具，将企业微观结构和不同博弈信息结构相结合，逐步引入流动性冲击和投资项目垄断权丧失的假设条件，构建了IPO时机选择模型。通过比较静态分析和数值分析，得到了模型在新股抑价、长期弱势和上市时间选择方面的涵义；并利用创业板344家上市公司数据检验了模型在抑价方面的解释力，将冷、热发行市场与抑价关系联系起来，并给出了进一步发展和完善创业板的启示。论文首先分析了研究的背景及意义，介绍了研究目的、方法、研究思路和主要内容，指出了研究可能的创新点及存在的不足；其次，对三大异象的相关研究做了归纳总结，较为详细地综述了国内外IPO市场时机研究理论，并明确了研究现状；再次，从投资视角采用标准的未定权益分析法，构建了企业IPO时机选择模型，求出了均衡时的显性解或者隐性解；然后，借助函数求导和数值分析两种方法，分析了各变量对企业IPO时机的影响；随后，，基于创业板数据的实证，检验了模型在抑价方面的解释力，得到冷、热市场下抑价的成因；最后，归纳了论文结论，并结合实证提出了发展和完善创业板市场的启示，点出了值得进一步研究的内容与方向。研究得到的主要结论是：企业越早上市，愿意出售的股份比例也越大，股份的发行比例与IPO临界利润值成反向关系；企业IPO临界利润值随着企业利润的增长率变小、流动性冲击给企业带来的损失变低和预期未来失去某投资项目的可能性降低而变大，随着无风险利率升高、企业利润的波动性变大、IPO固定成本增加和高质量企业的比例上升而变小；抑价程度随着流动性冲击给企业带来的损失增加、预期失去某投资项目的可能性升高、企业利润的增长率变大及波动性的增加而变大，随着无风险利率增大和IPO固定成本的提高而变小；创业板冷、热发行市场中新股抑价成因并不完全相同，投资者情绪、申购热情和上市初期市场状况显著影响着新股的抑价程度。
[Abstract]:This paper is based on real option theory, investment decision theory and game theory, with the help of stochastic control, dynamic optimization method, optimal stopping time theory, partial differential equation and Ito Lemma, etc. Combining the micro structure of enterprise with different information structure of game, the paper introduces the hypothesis of liquidity shock and monopoly right loss of investment project step by step, and constructs the IPO timing model. The implications of the model in the aspects of underpricing, long-term weakness and timing of IPO are obtained, and the explanatory power of the model in underpricing is tested by using the data of 344 listed companies on the gem, and the relationship between cold and hot issuing markets and underpricing is connected. The enlightenment of further development and perfection of gem is also given. Firstly, the paper analyzes the background and significance of the research, introduces the purpose, methods, ideas and main contents of the research, points out the possible innovations and shortcomings of the research; secondly, summarizes the related studies of the three major anomalies. This paper summarizes the research theory of IPO market opportunity at home and abroad in detail, and clarifies the status quo of the research. Thirdly, from the perspective of investment, the paper constructs the IPO timing choice model of enterprise by using the standard undetermined equity analysis method from the perspective of investment. The explicit solution or implicit solution in equilibrium is obtained. Then, by means of function derivation and numerical analysis, the influence of each variable on the timing of enterprise IPO is analyzed. Then, based on the empirical analysis of gem data, This paper tests the explanatory power of the model in underpricing, and obtains the causes of underpricing in cold and hot markets. Finally, it summarizes the conclusions of the paper, and puts forward the enlightenment of developing and perfecting gem market. The content and direction of further study are pointed out. The main conclusions of the study are as follows: the earlier the enterprise goes public, the larger the proportion of shares it is willing to sell, and the reverse relationship between the issuing proportion of shares and the critical profit value of IPO, the critical profit value of enterprise IPO decreases with the growth rate of enterprise profit. The risk of a business losing less of a liquidity shock and the prospect of losing an investment project in the future are reduced and increased, as risk-free interest rates rise, The volatility of enterprise profits becomes larger, the fixed cost of IPO increases and the proportion of high-quality enterprises increases and decreases; the degree of underpricing increases with the loss of enterprises due to the impact of liquidity, and the possibility of losing an investment project is expected to increase. With the increase of risk-free interest rate and the increase of fixed cost of IPO, the growth rate of enterprise profits and the increase of volatility become smaller, and the causes of underpricing of new shares in the cold and hot issuance market of gem are not exactly the same. Purchase enthusiasm and initial market conditions significantly affect the underpricing of new shares.
【学位授予单位】：宁波大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;F224

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