我国新股发行制度变迁下的抑价研究

发布时间：2017-12-31 02:47

本文关键词：我国新股发行制度变迁下的抑价研究　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：仅20年时间,我国股票市场就走过成熟股票市场上百年的发展旅程,并取令人瞩目的成绩。截至2011年底,上交所成为世界第四大证券交易所、亚洲第二大证券交易所,深交所成为涵盖主板、中小板和创业板的多层次的资本市场平台。创立至今二十年,我国股票市场正逐步从相对单一、封闭的小规模市场转向多层次、开放的金融平台,在国际上的影响力也不断增强,并已成为全球重要的资本市场之一,为我国经济持续发展发挥了巨大的作用。然而我国股票市场也存在诸多弊病,新股发行抑价情况严重(首日收益率过高)即是其中之一。过高的新股发行抑价率说明一级市场与二级市场股票价格差异巨大,容易让中小投资者对新股中签形成过高心理预期,吸引大量资金常年集中“打新股”,导致资金在一级市场和二级市场之间无序流动,不利于股市健康发展。过去二十年是我国股票市场摸索的二十年,也是不断解决困扰股市发展各种问题的二十年。市场参与主体最为关心的新股发行体制改革历经多轮调整,从审批制到核准制,从各形式的网下发行到网上发行,从固定价格到询价发行,那么这些制度推出对新股发行抑价问题有何影响,作为新股发行制度主要组成部分的发行准入、发行方式和发行定价制度对新股抑价现象又有什么影响,今后的政策应当注重哪些方面的改变?本文通过对新股发行制度变迁下的抑价问题研究,尝试回答上述问题。本文在前人研究的基础上,探讨新股发行制度对新股发行抑价现象是否存在影响,以及影响程度如何。本文着眼十研究新股发行制度三个具体方面——发行准入、发行方式和发行定价——对新股发行抑价的影响。参照以往学者对新股发行制度变迁阶段的划分,考虑新股发行制度在样本期间的法规和实际操作的变化,本章把样本期间划分为若干阶段。在分析每一方面对抑价的影响时,将原来的样本根据此方面制度变迁阶段划分为对应的子样本,对子样本进行描述性统计分析,然后运用单过程ANOVA分析检验具体发行制度方面的变迁对新股抑价产生何种影响。借鉴前人对新股发行抑价研究中常用的研究方法,本文采用虚拟变量区分不同阶段,同时引入新股发行价、募集资本等控制变量检验新股发行制度对抑价的作用。我国股票作为新兴市场,已经经历了若干监管变化。新股发行制度已经走过几个发展阶段,从一开始对新股供应量、定价等方面的严格控制,逐步走向以市场为导向、市场决定发行的方向。随着新股发行制度不断变迁,我国新股发行抑价情况逐步减轻。我国新股发行制度主要包括发行准入、发行方式和发行定价三大方面,新股发行制度变迁亦即这三方面的变迁。发行准入制度从审批制的额度管理转变为指标管理,抑价情况没有好转；之后发行准入制度沿着市场化的方向变革,抑价因此不断降低。新股发行方式的变革中,向二级市场配售是一次政策的倒退,新股发行抑价没有在这一政策影响下明显缓解,但总体看来发行方式的不断改革减少了新股发行抑价程度。从抑价问题的角度看,新股定价制度的变革在询价制度之前都没有明显成效,询价制度的建立对于缓解新股发行抑价起到明显作用。
[Abstract]:In just 20 years, China's stock market will mature stock market through hundreds of years of development journey, and remarkable achievements. By the end of 2011, to become the world's fourth largest stock exchange, Asia's second largest stock exchange, the Shenzhen Stock Exchange became the cover board, small board and gem multi-level capital market platform. Founded in twenty years, China's stock market is gradually from relatively single, closed small market to a multi-level, open financial platform, international influence is also growing, and has become one of the world's major capital market, plays an important role for the sustainable development of China's economy. However, I China's stock market also has many disadvantages, IPO underpricing is serious (high rate of return on the first day) is one of them. The high IPO underpricing rate shows a market with two market share price The difference is huge. It is easy for small and medium-sized investors to form excessive psychological expectations for new stocks, attracting large amounts of capital and concentrating on new shares all the year round, resulting in a disorderly flow of funds between the primary and the two tier markets, which is not conducive to the healthy development of the stock market.
In the past twenty years, China's stock market is constantly groping for twenty years, to solve all kinds of problems plagued the development of the stock market for twenty years. Market participants are most concerned about the IPO reform after several rounds of adjustment, from the examination and approval system to the approval system, from the form of the net issuance to the online issuance, issuance from the fixed price to the launch of the system inquiry, the impact on the IPO underpricing, as the IPO system mainly composed of the issuance of access part of the issuing and pricing system and what is the impact on the IPO underpricing phenomenon, the future policy should focus on what to change? Based on the price of restraining the issuing system the attempt to answer the above questions.
In this paper, on the basis of previous studies, to explore the system of issuing new shares for the IPO underpricing phenomenon exists, and how the degree of influence. This paper focuses on the research of the system of issuing new shares ten three specific aspects: the issuance of access, distribution and pricing -- impact on IPO Underpricing. With reference to the previous scholars on the issuing system the division stage, considering the changes of IPO system in the sample period regulations and the actual operation, this chapter of the sample period is divided into several stages. In the analysis of every aspect of the underpricing, the original sample according to the division of the system change stage to the corresponding sub sample, sub sample descriptive statistics the analysis, and then use ANOVA to test the change process of single specific distribution system in terms of the impact on the IPO underpricing. Previous research on IPO Underpricing In this paper, the commonly used research methods, in which virtual variables are used to distinguish different stages, are introduced to control the effect of IPO on underpricing.
China's stock as an emerging market, has experienced a number of regulatory changes. The IPO system has gone through several stages of development, from the beginning of the supply of new shares, pricing and other aspects of strict control, gradually moving towards market-oriented, the market decided to issue directions. With the changes of new stock issuance system, China's IPO the price gradually reduced.
China's IPO system mainly includes the issue of access, distribution and pricing of the issue in three aspects, i.e. change the issuing system of the three aspects. The issuance of access system from the quota management approval system into index management, underpricing is not improved; after the issuance of access system change along the direction of the market, so the underpricing continue to reduce. IPO reform, to two level market placement is a policy setback, IPO underpricing in the impact of this policy without apparent ease, but overall the issue continues to reform to reduce the IPO underpricing. From underpricing perspective, IPO pricing system the change has not obvious effect on the inquiry system before the establishment of the inquiry system for the mitigation of IPO underpricing has played a significant role.

【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

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