泰国IPO定价影响因素及长期表现研究
发布时间：2018-07-24 10:00
【摘要】：IPO定价问题及随后长期表现，是首次公开发行研究领域的两大热点问题。这两方面的问题极大的激发了金融理论界和实务界的兴趣，越来越多的学者投入到对其理论和实证研究之中。确定新股的发行价格是新股发行中最重要最基本的环节，关系到各参与主体的根本利益，合理的发行定价，不仅影响新股上市后的长期表现，，而且直接影响股票市场的资源配置效率。 泰国股票市场是新兴市场，发展不成熟，规范性较发达国家资本市场要远为逊色。多年来，泰国资本市场有很多变化，例如国家动乱、自然灾害、政治经济、资本市场体制改革、投资者行为、美国危机等，这些内外部因素都影响泰国资本市场，尤其影响泰国IPO发行定价和IPO上市后的长期表现。研究泰国IPO定价影响因素及长期表现研究有利于提高泰国IPO股票发行定价效率、对投资者感兴趣非常有好处、完善证券市场功能等都十分有益。 首先，本文介绍泰国资本市场的历史以及解释泰国IPO抑价现象的原因及政策建议。泰国市场IPO抑价是指新股发行定价存在低估现象，新股上市首日平均涨幅达30%。本文继续考虑到CAPM模型的泰国市场定价因素分析，分析发现CAPM模型对泰国市场不完全适用，因为泰国资本市场是新兴股票市场不成熟，市场制度的不完善欠缺成熟稳定的市场环境及严格规范的法律法规。 其次，本文对泰国IPO定价影响因素进行实证研究，通过泰国IPO的数据回归来寻找泰国IPO定价的影响因素。实证模型表明，每股收益和净资产收益两个因素显著影响泰国股票市场IPO定价。每股收益反映了公司的盈利能力，如果一家公司的每股收益高，它可以导致更高的发行价。因此，每股收益和净资产收益是发行人，承销的公司确定新股发行价格时不能忽视的两个因素。 最后，本文运用Excel和Eviews5.0两种软件处理数据，通过计算和统计参数检验研究IPO上市后三年内的长期表现。采用的方法有：IPO超额收益率（AR）、累积异常收益率法（CAR）、购买并持有异常收益率法（BHAR）、财富相对数（WRs）及三因素模型(Fama-French3-factor model)。本文研究发现泰国IPO存在显著的长期弱势，其长期绩效表现显著弱于市场表现，表明泰国的IPO股票不适合长期持有，资源没有得到合理的分配。 本文的创新之处主要体现在以下三点： 1)由于在中国一直没有研究过泰国IPO定价影响因素及长期表现研究方面，所以本文以通过研究泰国IPO定价影响因素及长期表现方面，可以更加理解泰国宏观经济、资本市场的发展情况、泰国证券交易所收益率、证券交易委员会规则、风险投资等。 2)本文把影响IPO定价的8个基本因素，即股市开盘指数(Stock Market IndexOpen)、市盈率（Price Earning Ration，简称P/E）、每股收益（Earnings Per Shares，简称EPS）、资产收益率(Return OnAssets，简称ROA)、净资产收益率（Return OnEquity，简称ROE）、负债权益比率(Debt to Equity，简称DE)、流动资产比率(Current Ratio，简称CA)及股票发行规模(Issue Size，简称SIZE)，引入到IPO定价的研究中，综合考虑了影响新股定价的因素并进行了分析，将IPO定价影响因素中表现出来，对于科学、公正、合理的新股定价又提供了一种切实可行的方法。 3)据本人查过很多泰文的资料，发现还没有学者使用三因素模型(Fama-French3-factor model)进行研究泰国IPO长期表现研究。以前研究者对IPO长期表现的实证研究一般只使用单一的衡量指标不是完美解释泰国IPO长期表现，本文在计算IPO长期超额收益时使用了多种衡量指标并分别进行了统计检验，这有助于保证计算结果的正确性。由于泰国二级市场缺乏对IPO长期表现的数据研究，本文主要采用超额收益率（AR）、累积异常收益率法（CAR）、购买并持有异常收益率法（BHAR）、财富相对数（WRs）及三因素模型(Fama-French3-factor model)对IPO长期表现进行研究并提出相应的建议。
[Abstract]:IPO pricing and its subsequent long-term performance are two hot issues in the research field of first public issue. These two aspects have greatly stimulated the interest of the financial theorists and the practical circles, and more and more scholars have invested in their theoretical and empirical studies. The determination of the issuing price of new shares is the most important and basic of the new issue. The link, which is related to the fundamental interests of the participants and the rational distribution pricing, not only affects the long-term performance of the new shares after the IPO, but also directly affects the efficiency of the allocation of resources in the stock market.
The Thailand stock market is a new market. The development is not mature and the capital market of the more developed countries is far inferior. For years, there have been many changes in the capital market of Thailand, such as state turmoil, natural disasters, political and economic, capital market system reform, investor behavior, the crisis of the United States and so on. These internal and external factors all affect the capital market of Thailand, In particular, it affects the long-term performance of the Thailand IPO issuance pricing and the IPO listing. The study of the influencing factors and long-term performance of the Thailand IPO pricing is beneficial to the improvement of the pricing efficiency of the Thailand IPO stock issuance, which is very beneficial to the interest of the investors and the improvement of the securities market function.
First, this paper introduces the history of Thailand capital market and the reasons and policy suggestions to explain the phenomenon of IPO underpricing in Thailand. The IPO underpricing in Thailand market refers to the undervaluation of IPO pricing, and the average increase of the first day of IPO is 30%.. This article continues to consider the analysis of the pricing factors of the Thailand market in the CAPM model and the analysis of the CAPM model to Thailand. The national market is not fully applicable, because the Thailand capital market is the immature stock market, the imperfect market system lacks the mature and stable market environment and the strict standard laws and regulations.
Secondly, this paper makes an empirical study on the factors affecting the pricing of IPO in Thailand. Through the return of the data of Thailand IPO to find the influencing factors of Thailand's IPO pricing, the empirical model shows that the two factors of earnings per share and net asset income significantly affect the IPO pricing in Thailand stock market. Earnings per share reflect the profitability of the company, if a company is High earnings per share can lead to a higher issue price. Thus, earnings per share and net asset earnings are two factors that can not be ignored by issuers and underwriting companies to determine the price of new shares.
Finally, this paper uses two kinds of software Excel and Eviews5.0 to deal with the data and study the long-term performance of IPO after three years by the calculation and statistical parameter test. The methods are: IPO excess rate of return (AR), cumulative abnormal return rate (CAR), purchase and possession of abnormal return rate (BHAR), wealth relative number (WRs) and three factor model (Fama-Fren) Ch3-factor model). This study found that Thailand IPO has a significant long-term weakness, its long-term performance is significantly weaker than the market performance, indicating that Thailand's IPO stocks are not suitable for long-term holdings, and the resources have not been properly allocated.
The innovations of this paper are mainly embodied in the following three points:
1) since there has been no research on the influencing factors and long-term performance of Thailand's IPO pricing in China, this article can understand the macroeconomic conditions of Thailand, the development of the capital market, the rate of the stock exchange, the securities and Exchange Commission rules, and the risk of the long-term performance of the Thailand's pricing factors and the long-term performance of Thailand. Investment and so on.
2) this paper deals with 8 basic factors affecting the pricing of IPO, namely the Stock Market IndexOpen, the Price Earning Ration (P/E), the earnings per share (Earnings Per Shares, EPS), the rate of return on assets, the rate of return on net assets, and the ratio of equity to equity. Y, DE), Current Ratio (CA) and stock issue scale (Issue Size, referred to as SIZE), introduced into the study of IPO pricing, comprehensively consider the factors affecting the pricing of new shares and carry out analysis, and show the factors affecting the pricing of IPO, and provide a practical option for scientific, fair and reasonable IPO pricing. The way to do it.
3) according to the data of a lot of Thai, we found that no scholars have used the three factor model (Fama-French3-factor model) to study the long-term performance of Thailand's IPO. The previous empirical research on the long-term performance of IPO generally only used a single measure index not to explain the long-term performance of the IPO in Thailand, and this article is to calculate the long term overload of IPO. It is helpful to ensure the correctness of the calculation results. Because of the lack of data research on the long-term performance of IPO in the two level market in Thailand, this paper mainly adopts the excess return rate (AR), the cumulative abnormal return method (CAR), the purchase and possession of the abnormal return rate (BHAR), and the relative wealth. The WRs (Fama-French3-factor) and the three factor (model) model are used to study the long-term performance of IPO.
【学位授予单位】：重庆大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F831.51;F224
本文编号：2141014
[Abstract]:IPO pricing and its subsequent long-term performance are two hot issues in the research field of first public issue. These two aspects have greatly stimulated the interest of the financial theorists and the practical circles, and more and more scholars have invested in their theoretical and empirical studies. The determination of the issuing price of new shares is the most important and basic of the new issue. The link, which is related to the fundamental interests of the participants and the rational distribution pricing, not only affects the long-term performance of the new shares after the IPO, but also directly affects the efficiency of the allocation of resources in the stock market.
The Thailand stock market is a new market. The development is not mature and the capital market of the more developed countries is far inferior. For years, there have been many changes in the capital market of Thailand, such as state turmoil, natural disasters, political and economic, capital market system reform, investor behavior, the crisis of the United States and so on. These internal and external factors all affect the capital market of Thailand, In particular, it affects the long-term performance of the Thailand IPO issuance pricing and the IPO listing. The study of the influencing factors and long-term performance of the Thailand IPO pricing is beneficial to the improvement of the pricing efficiency of the Thailand IPO stock issuance, which is very beneficial to the interest of the investors and the improvement of the securities market function.
First, this paper introduces the history of Thailand capital market and the reasons and policy suggestions to explain the phenomenon of IPO underpricing in Thailand. The IPO underpricing in Thailand market refers to the undervaluation of IPO pricing, and the average increase of the first day of IPO is 30%.. This article continues to consider the analysis of the pricing factors of the Thailand market in the CAPM model and the analysis of the CAPM model to Thailand. The national market is not fully applicable, because the Thailand capital market is the immature stock market, the imperfect market system lacks the mature and stable market environment and the strict standard laws and regulations.
Secondly, this paper makes an empirical study on the factors affecting the pricing of IPO in Thailand. Through the return of the data of Thailand IPO to find the influencing factors of Thailand's IPO pricing, the empirical model shows that the two factors of earnings per share and net asset income significantly affect the IPO pricing in Thailand stock market. Earnings per share reflect the profitability of the company, if a company is High earnings per share can lead to a higher issue price. Thus, earnings per share and net asset earnings are two factors that can not be ignored by issuers and underwriting companies to determine the price of new shares.
Finally, this paper uses two kinds of software Excel and Eviews5.0 to deal with the data and study the long-term performance of IPO after three years by the calculation and statistical parameter test. The methods are: IPO excess rate of return (AR), cumulative abnormal return rate (CAR), purchase and possession of abnormal return rate (BHAR), wealth relative number (WRs) and three factor model (Fama-Fren) Ch3-factor model). This study found that Thailand IPO has a significant long-term weakness, its long-term performance is significantly weaker than the market performance, indicating that Thailand's IPO stocks are not suitable for long-term holdings, and the resources have not been properly allocated.
The innovations of this paper are mainly embodied in the following three points:
1) since there has been no research on the influencing factors and long-term performance of Thailand's IPO pricing in China, this article can understand the macroeconomic conditions of Thailand, the development of the capital market, the rate of the stock exchange, the securities and Exchange Commission rules, and the risk of the long-term performance of the Thailand's pricing factors and the long-term performance of Thailand. Investment and so on.
2) this paper deals with 8 basic factors affecting the pricing of IPO, namely the Stock Market IndexOpen, the Price Earning Ration (P/E), the earnings per share (Earnings Per Shares, EPS), the rate of return on assets, the rate of return on net assets, and the ratio of equity to equity. Y, DE), Current Ratio (CA) and stock issue scale (Issue Size, referred to as SIZE), introduced into the study of IPO pricing, comprehensively consider the factors affecting the pricing of new shares and carry out analysis, and show the factors affecting the pricing of IPO, and provide a practical option for scientific, fair and reasonable IPO pricing. The way to do it.
3) according to the data of a lot of Thai, we found that no scholars have used the three factor model (Fama-French3-factor model) to study the long-term performance of Thailand's IPO. The previous empirical research on the long-term performance of IPO generally only used a single measure index not to explain the long-term performance of the IPO in Thailand, and this article is to calculate the long term overload of IPO. It is helpful to ensure the correctness of the calculation results. Because of the lack of data research on the long-term performance of IPO in the two level market in Thailand, this paper mainly adopts the excess return rate (AR), the cumulative abnormal return method (CAR), the purchase and possession of the abnormal return rate (BHAR), and the relative wealth. The WRs (Fama-French3-factor) and the three factor (model) model are used to study the long-term performance of IPO.
【学位授予单位】：重庆大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F831.51;F224
【引证文献】
相关博士学位论文 前1条
1 刘昱劭;亚洲国家和地区股票与外汇市场变动研究[D];厦门大学;2014年
本文编号：2141014
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