我国创业板新股破发原因探究

发布时间：2018-01-10 03:23

本文关键词：我国创业板新股破发原因探究　出处：《西南财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：长期以来,关于新股首日收益率的研究,一直是资本市场领域的热门话题。过去股票市场长期存在的新股首日收益率过高现象导致以往研究集中于对首日收益率为正现象的解释,而对首日收益率为负(即新股上市首日跌破其发行价格)的现象关注比较少。自2010年以来,我国股票市场运行的一个重要特征是新股破发成为一种常态’。我国创业板处于发展初期,对于建立资本市场的多层次结构起着至关重要的作用,其发展过程中产生的问题非常值得关注。因此,本文选择创业板破发的新股进行研究。创业板新股破发具有一定的积极意义,破发现象的出现说明了股市风险的存在,使投资者从理念上改变“打新股”必定赚钱的预期,有助于遏制创业板自开板以来大量新股上市首日遭遇爆炒以及巨额资金囤积一级市场获取无风险收益等不合理现象。但大量新股成批地破发导致了大批申购到新股的投资者利益受损等问题的产生,如果长此下去,定会影响我国创业板市场的和谐发展。因此,非常有必要找出新股破发现象背后的原因,并针对性的采取一些措施以保证我国创业板市场健康发展。对于新股的发行价格与其上市首日交易价格(通常是收盘价)之间差异产生的原因,国内外学者做了大量的研究。国外经典的研究理论对我国IPO定价研究有很大的启示,但是并不能有效的解释我国IPO市场的价格问题(特别是最近出现的大量新股上市首日破发的问题),这是因为国外的经典假说基本上是以有效市场为前提条件的。而目前我国股票市场的有效性偏弱,一级市场新股发行定价制度还有待完善,二级市场价值发现功能还有待提高,投资者结构中中小投资者占据主体,市场存在大量的投机行为。此外,我国股票市场还具有一些其他方面的特殊性(如：政府在股票市场的发展过程中扮演着极为关键的角色),而创业板更是一个新开启的极不成熟的市场。因此,国外经典理论对我国创业板新股破发现象的解释力度有限。国内学者对新股破发原因的分析主要集中在三个方面：其一是新股的高价、高市盈率发行；其二是相关投资者的行为;其三是低迷的市场环境。这些分析存在两个问题：一是没有对高价、高市盈率发行这种现象背后的深层次原因进行研究；二是新股破发现象背后的原因是复杂的,既有宏观面的因素,也有中观和微观面的原因,如果将新股破发单纯归结为某一方面的原因,显然不能对我国创业板市场大量持续的破发现象进行很好的解释。本文的研究目的是以创业板上市首日破发的新股为样本,分析影响创业板破发新股首日收益率的因素,这些因素能够部分说明创业板新股上市首日遭遇破发的原因。通过回归分析,发现发行价格、发行规模、上市首日换手率这三个因素对创业板破发新股的首日收益率有显著影响,这与影响主板新股破发的因素有所不同3。深入分析创业板新股破发现象背后的原因,对完善创业板新股发行制度,保护相关投资者利益,推动创业板以及整个资本市场的健康发展具有十分重要的理论和现实意义。本文的研究思路为：首先,对国内外研究新股首日收益率影响因素的成果进行一个回顾和梳理；其次,结合我国创业板的特点深入分析这些因素对创业板新股首日收益率可能的影响(即进行理论上的分析),然后进行实证检验;最后在研究结论的基础上提出相应的政策建议。基于以上研究思路,本文将研究内容分为五个部分：绪论部分首先阐述本文的研究背景和研究意义,提出本文的研究思路和逻辑结构,明确选用的研究方法,最后在章末说明本文的创新和不足; 文献回顾部分对研究新股首日收益率影响因素的国内外文献进行了归纳和总结,这些研究包括两个方面,一是对新股正的首日收益率(即IPO抑价)的研究,二是对新股负的首日收益率(即IPO破发)的研究,对于新股的发行价格与其上市首日收盘价格差异产生的原因,大部分学者是围绕一级市场发行定价或二级市场首日交易价格的合理性进行研究：理论分析部分借鉴文献回顾部分国内外关于新股首日收益率影响因素的研究成果,结合创业板的特点和我国股票市场的一些特点从理论上分析相关因素对创业板新股破发(即新股首日收益率为负)可能的影响; 实证分析部分以2009年10月30日——2011年10月31日期间,在创业板上市首日跌破其发行价格的公司为样本,以上市时公司公布的相关数据和上市时股票市场的基本情况为数据来源,采用多元线性回归模型为工具,对理论分析部分提出的可能影响创业板新股破发的因素进行实证分析,结果表明：我国创业板破发新股上市首日收益率主要与发行价格、发行规模、上市首日换手率有关,与净资产收益率、净利润增长率、市盈率、发行上市间隔时间、中签率、上市当日大盘收益率、破发频率等无太大关系；以实证研究的结果为基础,结论部分对我国创业板破发新股首日收益率的影响因素做了总结：发行价格与创业板破发新股的首日收益率之间存在着显著的负相关关系,发行规模、上市首日换手率与创业板破发新股的首日收益率之间存在着显著的正相关关系：在结论的基础上：本文提出了下述建议：严格落实创业板新股定价过程中各方责任,在创业板新股发行定价过程中进行窗口指导,强化创业板信息披露、使价格真实反映公司价值,加强对创业板相关投资者的风险教育。本文的创新之处与贡献主要体现在以下三个方面：其一,本文的研究视角较新,以往关于IPO价格的研究集中在对新股首日收益率为正现象的解释且研究的对象通常是主板或中小板,而本文关注的是新股首日收益率为负的现象且针对的是创业板；其二,以往国内外大量学者的研究表明新股在一级市场的定价偏低导致了IPO抑价现象的存在,本文发现我国创业板新股的高价发行是影响其IPO破发的重要因素；其三,本文深入分析了创业板新股高价发行现象背后的新股利益相关者行为对新股破发可能的影响,这对研究主板和中小板的破发现象有一定的启示。本文的不足主要体现在以下两个方面：其一,本文选取创业板上市首日破发的新股为样本进行研究,由于我国创业板开启时间还较短,时间跨度和样本容量都比较有限,回归结论受随机因素的影响也比较大,故其对新股破发现象的解释力还需在更长时期内用更多的样本进行检验;其二,本文主要结合创业板的特点从新股利益相关者的角度对创业板新股破发现象进行研究,而新股破发现象背后的原因可能涉及到很多方面,如宏观经济情况、甚至某些市场传闻等等,这需要在今后的研究中进一步的展开。
[Abstract]:For a long time, the research on IPO returns, has been a hot topic in the field of capital market. In the past, the stock market long-term existence of the high rate of return on the first day led to the phenomenon of previous researches focused on the first day return is to explain the phenomenon, and on the first day return is negative (i.e., the first day of IPO fell below the issue price) the phenomenon of less concern. Since 2010, an important feature of China's stock market is to break new shares become the norm ". China's gem in the early stages of development, for the establishment of the capital market multi-layer structure plays a vital role in the course of the development of the problem therefore is very worthy of attention. In this paper, the choice of the gem break new shares were studied.
The significance of the gem shares break, appear to break the stock market risk, investors from the concept of "new" change will make money expected to help curb the gem since since the opening of a large number of new shares listed on the first day, a huge amount of money hoarding suffered stir the secondary market to obtain risk-free return etc. reasonable. But a large number of new shares to break led to a large number of new shares to purchase to damage the interests of investors and other problems, if things go on like this, will affect the harmonious development of the GEM market in China. Therefore, it is necessary to find out the reason behind the new break phenomenon, and take specific measures to ensure the healthy development of our the gem in China.
For the price of new shares listed on the first day of its trading price (closing price) the causes of the differences between the domestic and foreign scholars have done a lot of research. The theory of foreign classic has great inspiration for the study of IPO pricing in China, but it can't effectively explain China's IPO Market prices (especially a large number of the first day of IPO break recent problems), this is because the foreign classic hypotheses are basically based on the effective market as a prerequisite. At present, the effectiveness of the Chinese stock market is weak, the level of market IPO pricing system should be improved, two market value functions are to be improved, the medium and small investors the structure of investors in the market occupy the main body, there are a lot of speculation. In addition, China's stock market also has some other specialty (such as: the government in the stock market development process China plays a key role in the market, and the gem is a newly opened and immature market. Therefore, the interpretation of foreign classical theories is limited for the breakup of new stocks in China's gem.
Analysis of the causes of the new break of domestic scholars mainly focus on three aspects: one is the high price of new shares, high earnings release; second is related to the behavior of investors; the third is the downturn in the market environment. The analysis has two problems: one is not high, to study the deep-seated reasons behind the issue of the Gao Shiying rate the two is the reason behind the phenomenon; the new break phenomenon is complex, both macroeconomic factors, there are also reasons of meso and micro surface, if the shares break comes down to a simple reason, good interpretation is clearly not on the GEM market in China a large number of continuous break phenomenon.
The purpose of this study is to break new shares listed on the first day of the gem as the sample, analysis of influence factors of gem break IPO returns, these factors can explain the GEM listed shares on the first day of break encounter. By regression analysis, found that the issue price, issue size, listed on the first day turnover rate of these three factors is significant the impact on GEM break initial returns, the causes and influencing factors of different motherboard shares break behind the 3. in-depth analysis of the gem shares break phenomenon, to improve the gem IPO system, protect the interests of investors, it has very important theoretical and practical significance to promote the healthy development of the gem and the capital market.
The idea of this study is as follows: firstly, the domestic and foreign research results to the influencing factor of IPO returns a review; secondly, combining the characteristics of China's gem and in-depth analysis of these factors on the gem IPO yields may influence (i.e. analysis theory), and empirical test; based on the conclusions of the study and put forward the corresponding policy recommendations.
Based on the above research ideas, this paper divides the research into five parts:
The introduction part first describes the background and significance of the research, puts forward the research ideas and logical structure, and makes clear the selected research methods. Finally, it explains the innovation and deficiency of this article at the end of the chapter.
The part of literature review on the domestic and foreign literature on Influence Factors of IPO returns are summarized, the research includes two aspects, one is the new positive return on the first day (IPO underpricing) research, two of the shares of a negative return on the first day (i.e. IPO research, to break) the IPO price and the closing price listed on the first day of the reason of difference, most scholars study the rationality of the primary market around the issue of pricing or market two of the first day of trading:
The part of theoretical analysis from the literature review on the domestic and foreign research results of influence factors of IPO returns, combined with some characteristics of the gem and China's stock market analysis of related factors of the gem shares break in theory (i.e. the IPO yield is negative) may affect;
The part of empirical analysis in October 30, 2009 -- October 31, 2011, in the first day of the gem listing below the issue price of the company as the sample, based on the data of listed companies released and listed the basic situation of the stock market as a source of data, using linear regression model as a tool, on the part of theoretical analysis may propose empirical analysis, influence the factors of gem shares break shows that China's GEM listed shares on the first day of the main break rate of return and the issue price, issue size, listed on the first day turnover rate, and net assets yield, net profit growth rate, price earnings ratio, listing time interval, the success rate, the market rate of return on the day of listing, without too much the relationship between the break frequency;
Through an empirical study based on the results, the conclusion part summarizes the influencing factors of China's gem break IPO returns: the issue between price and gem break initial returns are negative correlation, significant issue size, listed on the first day turnover rate and there is a significant positive correlation between entrepreneurship break in initial returns: on the basis of the conclusion, the thesis proposes the following suggestions: to strictly implement the responsibility of the parties to the gem IPO pricing process, window guidance on the gem IPO pricing process, strengthen the information disclosure of gem, so that prices reflect the true value of the company, strengthen risk education for the GEM investors.
The innovation and contribution of this paper is mainly reflected in the following three aspects: first, the research perspective is relatively new, the past research on the price of IPO shares on the first day of focus on the rate of return is the explanation and research object is usually the motherboard or small plates, and this paper is concerned with a negative rate of return on the first day the phenomenon and for the gem; second, the previous research on a large number of domestic and foreign scholars show that IPO leads to IPO underpricing phenomenon exists in the low level of market pricing, this paper found that the important factors of high price of China's gem IPO is affected IPO broken hair; thirdly, this paper analyzes deeply behind entrepreneurship issuance of new shares at high prices of new shares in the phenomenon of stakeholders may affect the behavior of the new break, which is on board and small board break phenomenon has certain enlightenment.
This issue is mainly reflected in the following two aspects: first, this paper selects the GEM listed on the first day of break new shares as a sample for research, because of China's gem opening time is shorter, the time span and the sample capacity is relatively limited, the regression results by random factors is relatively large, so the new shares break phenomena are needed to test for longer periods of time with more samples; second, to study the gem shares break phenomenon in this paper combined with the characteristics of the gem IPO from the perspective of stakeholders, and find the reason behind the image shares break may be involved in many aspects, such as macro economic situation, and even some market rumors, the need for further research in the future.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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