我国创业板新股长期弱势现象的实证研究

发布时间：2018-01-01 06:08

本文关键词：我国创业板新股长期弱势现象的实证研究　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文选择2009年10月-2011年12月期间在创业板上市的280家IPOs作为样本，研究其上市后的市场表现以及影响因素。通过实证研究发现，我国创业板市场也存在着“新股长期弱势”现象：无论是包含首日抑价率还是排除首日抑价率的市场表现都呈现出长期弱势现象。影响新股市场表现的因素有很多，本文结合中国证券市场的特点，选择信号假说、事前不确定性假说、盈余管理假说、投资者情绪假说以及IPO效应假说所对应的代理变量作为新股市场表现的影响因素，通过对影响因素的分析可以检验这些假说是否能够解释我国新股弱势现象。本文先对影响因素以及相对应的各收益指标进行分组，然后对各组进行独立样本检验，最后对所有的影响因素进行稳健性检验，研究发现：首日抑价率与长期收益显著负相关，这有悖于信号理论，同时每股收益对长期收益影响不显著，没有起到公司质量信号的功能；可操纵性短期应计利润及其交叉项与长期收益显著负相关，并且交叉项的系数较大，这说明投资者对上市公司的未来收益过于乐观，，而发行者往往在发行前进行盈余管理，上市后财务表现差于预期，投资者热情减退，股票收益下降；发行规模和直接控股股东所持比例都与长期收益显著正相关，而这两个指标是事前不确定性假说的代理变量，这说明投资者可以分析这两个指标来减少事前的不确定性，获得较高收益；与上市前一年相比，公司的总资产收益率、总资产现金回收率、主营业务增长率以及资产周转率都有显著下降，并且主营业务增长率与长期收益显著正相关；投资者情绪对一年期的收益率没有显著影响，对两年期的收益率影响显著，但在单因素分析中中并没有呈现出该假说所认为的投资者情绪越高收益率就越低的趋势。最后针对本文研究结果提出相关政策与建议：一是完善发行定价制度，引入市场定价机制；二是完善证券市场信息披露机制；三是提高上市公司整体质量；四是进一步明确中介机构在证券发行中的相关责任，并加大对违法违规行为的处罚力度；五是加快机构投资者的发展。
[Abstract]:This paper selects 280 IPOs listed on the gem from October 2009 to December 2011 as a sample to study the market performance and influencing factors after listing. There is also the phenomenon of "long-term weakness of new shares" in China's gem market: whether it includes the first-day underpricing rate or the exclusion of first-day underpricing rate, the market performance shows a long-term weakness phenomenon. There are many factors that affect the performance of the new stock market. This paper combines the characteristics of China's securities market, the selection signal hypothesis, the prior uncertainty hypothesis, the earnings management hypothesis. The proxy variables corresponding to the investor sentiment hypothesis and the IPO effect hypothesis are the factors influencing the performance of the new stock market. Through the analysis of the influencing factors, we can test whether these hypotheses can explain the weakness of the new stock in China. Firstly, this paper groups the influencing factors and the corresponding income indicators. Then the independent sample test for each group and the robustness test for all the influencing factors. The study found that: the first day underpricing rate and long-term income significantly negative correlation, which is contrary to the signal theory. At the same time, earnings per share has no significant impact on long-term earnings, and does not play the role of corporate quality signal; Maneuverability short-term accruals and their crossover items are significantly negatively correlated with long-term earnings, and the coefficient of cross-items is large, which indicates that investors are too optimistic about the future earnings of listed companies. The issuer often carries on the earnings management before the issue, after listing the financial performance is worse than expected, the investor enthusiasm drops, the stock income drops; Both the size of the issue and the proportion of the direct controlling shareholders are significantly positively correlated with the long-term returns, and these two indicators are proxy variables of the prior uncertainty hypothesis. This shows that investors can analyze these two indicators to reduce the uncertainty in advance and obtain higher returns; Compared with the year before listing, the return rate of total assets, the cash recovery rate of total assets, the growth rate of main business and the turnover rate of assets are all significantly decreased, and the growth rate of main business has a significant positive correlation with long-term income. Investor sentiment has no significant effect on the one-year yield, but a significant impact on the two-year yield. But the univariate analysis does not show the hypothetical trend that the higher the investor sentiment, the lower the yield. Finally, this paper puts forward some relevant policies and suggestions: first, perfect the issue pricing system and introduce the market pricing mechanism; Second, perfect the mechanism of information disclosure in securities market; Third, to improve the overall quality of listed companies; Fourth, to further clarify the relevant responsibilities of intermediary institutions in securities issuance, and to increase the penalties for illegal acts; Fifth, accelerate the development of institutional investors.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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