我国不同板块IPO折价的影响因素及实证研究

发布时间：2018-05-16 15:10

本文选题：IPO折价 + 首日超额收益　；参考：《复旦大学》2013年硕士论文

【摘要】：IPO折价是全世界股票市场普遍存在的一个现象,但在各国的折价程度有所不同,同时,各国主板市场和创业板市场的IPO折价程度也有所不同。本文主要研究的是我国主板、中小板和创业板IPO折价的影响因素。本文首先梳理并分析了我国新股发行体制、发行方式及定价方式的改革历程,然后分别从一级市场、二级市场及不同板块的差异三个角度来分析造成IPO折价的因素。实证部分选取了三个板块2004年以来共1248家公司的IPO数据,对不同时期的各板块首日超额收益率进行了统计描述和分析,并选取了IPO融资规模、发行费用、主承销商声誉、ROE、ROA、EPS、上市首日换手率、中签率、市盈率和上市等待期等十个变量,采用逐步回归的方法,建立了三个板块的多元回归模型。其中募集费用、ROE、换手率、募集金额入选主板模型；EPS、募集费用、市盈率和换手率入选中小板模型；上市等待期、中签率、换手率入选创业板模型。此后本文分别采用最小二乘法和分位数法对三个模型进行了回归和对比分析,通过分位数回归发现,各变量在不同分位上对于首日超额收益率的影响程度并不是确定不变的,而是存在上升或下降的趋势。最后,对于本文的研究结果进行了总结,并从定价机制、询价机构范围、信息披露制度和对投资者的投资教育等方面提出了一些建议。
[Abstract]:IPO discount is a common phenomenon in the stock market all over the world, but the discount degree is different in different countries. At the same time, the discount degree of IPO in main board market and gem market is also different. In this paper, the main research is the main board, small and medium board and gem IPO discount factors. This paper first combs and analyzes the reform course of the new issue system, issuing method and pricing mode in China, and then analyzes the factors that cause the IPO discount from the three angles of the difference of the primary market, the secondary market and the different plates. The empirical part selects the IPO data of 1248 companies from three plates since 2004, describes and analyzes the first day excess return of each plate in different periods, and selects the scale of IPO financing, the issue cost, and so on. The principal underwriter's reputation is ROEO / OAA EPS.Ten variables, such as turnover ratio, winning ratio, price-earnings ratio and waiting period, are used to establish a multivariate regression model for three plates by using the method of stepwise regression. Among them, the collection fee ROE, the turnover rate, the amount of money is selected into the main board model EPS, the raising fee, the price-earnings ratio and the turnover rate are selected into the small and medium-sized board model; the waiting period for listing, the winning rate and the turnover rate are selected into the gem model. Then we use least square method and quantile method to regression and contrast the three models. Through quantile regression, we find that the influence of each variable on the first day excess rate of return is not fixed in different quantiles. But there is an upward or downward trend. Finally, the research results of this paper are summarized, and some suggestions are put forward from the aspects of pricing mechanism, inquiry organization scope, information disclosure system and investment education for investors.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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