我国创业板IPO定价效率实证研究

发布时间：2018-04-27 00:19

本文选题：定价效率 + IPO抑价率　；参考：《杭州电子科技大学》2013年硕士论文

【摘要】：IPO作为公司首次公开招股募资并在证券交易所挂牌交易的行为，在新股发行市场经常出现高抑价现象，这种现象引起学术界的极大关注，很多学者对此己经进行了深入系统的研究。创业板推出三年多来，已成为我国多层次资本市场重要的组成部分，为中小高新技术企业提供了新的融资平台，也为投资者提供了新的投资渠道，具有许多积极的影响。但是，创业板IPO高抑价现象十分严重，远远高于主板市场、中小板市场，产生超额收益，创业板IPO的定价效率究竟如何，成为理论研究的热点话题。因此，本文通过理论分析与实证研究，希望对我国创业板IPO市场定价效率问题进行深入研究，对提高资本市场融资效率和投资环境具有十分重要的理论和现实意义。本文首先对IPO抑价理论进行了综述，引出我国创业板市场现状及存在的问题，即高发行市盈率和高IPO抑价率，本文认为投资者情绪以及IPO股票供求关系的不均衡可能是造成问题的原因。接着本文对影响IPO抑价率的因素进行理论分析并且在参考前人文献的基础上，，对选择的解释变量提出假设。实证部分，本文首先进行描述性统计分析，然后通过绝对效率标准分析创业板IPO定价效率。本文发现，投资者情绪因素对IPO抑价率具有显著影响，对抑价率解释力最高的是首日换手率，表示了二级市场投资者的投资热情。由于抑价率受到二级市场因素的影响，因此，本文认为不能利用抑价率作为衡量定价效率的唯一标准。在相对效率分析中，通过回归模型，本文比较了创业板IPO发行价格和市场价格对公司价值信息的反映程度，然后将创业板回归结果与主板样本回归结果进行比较，本文认为相对于主板市场我国创业板市场IPO定价效率较低，导致高抑价的主要原因不在于IPO发行价格过低，而在于二级市场股票交易价格偏高。本文还发现，二级市场价格无法反映公司内在价值的情况，因此，当市场价格受到二级市场情绪的重大影响，使得二级市场的价格无法有效地向价值回归，当通过市场化的定价机制用于IPO发行价格的制定时，二级市场的影响又会在很大程度上进一步推高IPO发行价格。最后，本文根据研究内容和结论，提出应当推进我国IPO发行审核制度的市场化改革以及定价制度的市场化革新，完善信息披露制度，加强对机构投资者的培育等政策建议。
[Abstract]:As an act of raising funds for initial public offering and trading on the stock exchange, IPO often appears high underpricing phenomenon in the new issue market, which has aroused great concern of the academic community. Many scholars have done in-depth and systematic research on this issue. Over the past three years, the gem has become an important part of the multi-level capital market in China. It has provided a new financing platform for small and medium-sized high-tech enterprises and a new investment channel for investors, which has a lot of positive effects. However, the phenomenon of high underpricing in gem IPO is very serious, which is far higher than that in the main board market, small and medium-sized board market, producing excess returns, and the pricing efficiency of gem IPO has become a hot topic in theoretical research. Therefore, through theoretical analysis and empirical research, this paper hopes to make a deep study on the pricing efficiency of IPO market in China, which is of great theoretical and practical significance to improving the efficiency of capital market financing and investment environment. This paper firstly summarizes the theory of IPO underpricing, and leads to the current situation and existing problems of gem market in China, that is, high issue price-earnings ratio and high IPO underpricing rate. This paper argues that investor sentiment and the imbalance of IPO stock supply and demand may be the causes of the problem. Then this paper makes a theoretical analysis of the factors that affect the IPO underpricing and puts forward the hypothesis of the selected explanatory variables on the basis of referring to the previous literatures. In the empirical part, this paper first carries on the descriptive statistical analysis, then analyzes the gem IPO pricing efficiency through the absolute efficiency standard. It is found that investor sentiment has a significant influence on IPO underpricing, and the best explanation for underpricing is the first-day turnover rate, which indicates the investment enthusiasm of investors in the secondary market. Because underpricing is influenced by secondary market factors, this paper argues that underpricing can not be used as the sole criterion to measure pricing efficiency. In the analysis of relative efficiency, through the regression model, this paper compares the extent of IPO issue price and market price to the company value information, and then compares the gem regression result with the main board sample regression result. This paper argues that the low efficiency of IPO pricing in China's gem market compared with the main market, the main reason for the high underpricing is not the low issue price of IPO, but the high stock exchange price in the secondary market. This paper also finds that the secondary market price can not reflect the internal value of the company, therefore, when the market price is greatly affected by the secondary market sentiment, the secondary market price can not return to the value effectively. When the market pricing mechanism is used to establish the IPO issue price, the influence of the secondary market will further push up the IPO issue price to a great extent. Finally, according to the research contents and conclusions, this paper puts forward some policy suggestions, such as promoting the marketization reform of IPO issuance and auditing system and pricing system, perfecting the information disclosure system, and strengthening the cultivation of institutional investors.
【学位授予单位】：杭州电子科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F275

【参考文献】