多因素模型在我国创业板IPO定价中的应用研究

发布时间：2018-05-16 17:20

本文选题：创业板 + 多因素模型　；参考：《沈阳理工大学》2012年硕士论文

【摘要】：创业板是我国多层次资本市场的重要组成部分，其发展直接影响到整个资本市场的发展，而股票初始发行是关系到整个创业板市场健康稳定发展的重要环节，所以，股票初始发行的过程至关重要。本文的研究是为了得出适合创业板初始发行定价的估价模型，为发行人和承销商协商定价提供参考,协助发行人合理有效融资，协助机构投资者在参与股票初始发行定价的过程中能够做出合理的判断，以及协助个人投资者选择具有投资价值的股票。我国股票市场经过多年的发展，投资者的投资理念日趋成熟，价值投资正逐步成为证券投资的主流理念。多因素模型广泛应用于许多研究领域,在股票定价领域内的核心思想是通过某些特定方法筛选出能够体现股票内在价值的因素，并体现这些因素与股票价格之间的关系。本文在国内外相关研究的基础上，对IPO定价相关理论和我国创业板IPO定价现状进行深入研究，并结合我国创业板实际情况，提出多因素模型的建立方法：第一、以代表公司内在价值的财务指标为基础，采用主成分分析法，将这些指标浓缩成几个主成分因子；第二、采用多元逐步回归分析方法，以公司上市后二十日均价为因变量，主成分因子为自变量，，进行回归分析，建立多因素模型，并对模型进行检验；第三、将模型应用于样本以外的公司，进行实际应用检验。研究发现：多因素模型在应用检验的过程中，应用的效果比较好，说明了模型的适用性比较好。最后结合本文所作的市场分析和实证研究结果，对我国的创业板IPO定价提出了一些建议。
[Abstract]:The gem is an important part of the multi-level capital market in our country. Its development directly affects the development of the whole capital market, and the initial issuance of stocks is an important link in the healthy and stable development of the whole gem market. The process of initial share issuance is crucial. The purpose of this study is to obtain a valuation model suitable for the initial issue pricing of the gem, to provide a reference for the issuer and the underwriter to negotiate the pricing, and to help the issuer to raise funds reasonably and effectively. Assist institutional investors in the process of participating in the initial issue pricing process to make a reasonable judgment, as well as to assist individual investors to choose stocks with investment value. With the development of stock market for many years, the investment idea of investors is maturing day by day, and the value investment is gradually becoming the mainstream idea of securities investment. Multi-factor model is widely used in many research fields. The core idea in the field of stock pricing is to screen out the factors that can reflect the intrinsic value of the stock through some specific methods and to reflect the relationship between these factors and the stock price. On the basis of domestic and foreign related research, this paper makes a deep research on the theory of IPO pricing and the current situation of IPO pricing in China's gem. Combining with the actual situation of gem in our country, this paper puts forward the method of establishing multi-factor model: first, Based on the financial indicators representing the intrinsic value of the company, the principal component analysis (PCA) is used to concentrate these indicators into several principal component factors. Secondly, the multivariate stepwise regression analysis is used to take the average price of twenty days after the listing of the company as a dependent variable. The principal component factor is independent variable, the regression analysis is carried out, the multi-factor model is established, and the model is tested. Thirdly, the model is applied to the company outside the sample for the practical application test. It is found that the application of the multifactor model is better in the process of application test, which shows that the model is more applicable. Finally, based on the market analysis and empirical results of this paper, some suggestions on the IPO pricing of gem in China are put forward.
【学位授予单位】：沈阳理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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