新股“破发潮”对IPO定价效率的影响实证研究

发布时间：2018-05-15 21:30

本文选题：新股 + 破发现象　；参考：《复旦大学》2012年硕士论文

【摘要】：自2005年1月1日,新股定价施行询价制度以来,新股上市一直是抑价发行。2009年6月10日,证监会推动新股发行制度进一步改革,淡化对新股定价(?)指导。其后,新股发行市盈率不断走高,并逐渐超出二级市场的承受能力,终于在2010年至2011年演变成新股的大面积破发现象。本文首先从新股破发现象入手,运用定性及定量的方法从多方面深入分析了新股破发的现状、原因及市场参与主体间的利益博弈如何导致新股破发。本文的研究主题是新股“破发潮”对一级市场IPO定价效率的影响。研究的逻辑如下：(1)2009年新股发行制度改革,证监会放开了对新股定价的行政指导。在市场约束机制并未到位情况下,新股发行的估值水平不断提高,超过了部分公司的内在价值,并导致了新股的破发。(2)新股破发现象反过来作用于一级市场新股定价机制,IPO的定价效率可能因此而得到提高。本文通过对比实证,考察新股“破发潮”前后IPO定价效率是否有显著提高来确定新股破发现象对IPO定价效率的影响。选取了2005年至2009年间发行的新股作为破发前股票样本。选取了2010年至2011年间新发行股作为破发期股票样本。从绝对及相对IPO定价效率标准对破发前后IPO定价效率进行对比研究及分析。经本文研究发现,从IPO定价效率绝对标准来看,新股“破发潮”后IPO定价效率大幅提高。从相对标准来看,“破发潮”并未导致一级市场IPO定价效率的提高,但“破发潮”使IPO定价模型发生了积极有益的结构性改善。
[Abstract]:The IPO has been underpricing since January 1, 2005. On June 10, 2009, the SFC pushed for further reform of the IPO system and downplayed the pricing of new shares. Guidance. Since then, the price-earnings ratio of new shares has been rising, and gradually beyond the ability of the secondary market, finally in 2010 to 2011 into a large area of breaking new stock phenomenon. This paper begins with the phenomenon of new stock break, and analyzes the current situation of new stock break from many aspects by using qualitative and quantitative methods, and the reasons and how the benefit game among the participants in the market lead to the new issue break. The research topic of this paper is the influence of "breaking tide" of new shares on the pricing efficiency of IPO in primary market. The logic of the study is as follows: (1) in 2009, the new issue system was reformed, and the CSRC liberalized its administrative guidance on the pricing of new shares. Without the market constraint mechanism in place, the valuation level of the new share issue is constantly improving, which exceeds the intrinsic value of some companies. It also leads to the breaking of new shares. (2) the phenomenon of new shares breaking may in turn affect the pricing efficiency of IPOs in the primary market. This paper makes a comparative study on whether the IPO pricing efficiency has been significantly improved before and after the "breaking tide" of new shares to determine the effect of IPO breaking on the pricing efficiency of IPO. Selected between 2005 and 2009 issued new shares as a pre-break stock samples. From 2010 to 2011, the newly issued shares are selected as the broken stock sample. This paper makes a comparative study and analysis on the pricing efficiency of IPO before and after break from absolute and relative IPO pricing efficiency standards. From the absolute standard of IPO pricing efficiency, it is found that the IPO pricing efficiency is greatly improved after the "breaking tide" of new shares. In terms of relative standards, the "breaking tide" has not led to the improvement of IPO pricing efficiency in the primary market, but the "breaking tide" has made positive and beneficial structural improvements in the IPO pricing model.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

【参考文献】