IPO抑价与后市流动性关系研究

发布时间：2018-01-17 23:17

本文关键词：IPO抑价与后市流动性关系研究　出处：《南京航空航天大学》2013年硕士论文　论文类型：学位论文

【摘要】：IPO抑价是全球资本市场上的一个普遍现象，无论是发展中国家新兴的证券市场，还是发达国家接近有效的成熟的证券市场。中国证券市场自成立以来一直具有较高的新股发行抑价率。过高的IPO抑价不仅会造成二级市场的震荡，带来巨额资金无序流动、激化市场参与者矛盾，使市场充斥着投机氛围等种种现实问题，更从根本上妨碍资本市场资源配置功能的发挥。国外关于新股发行抑价的理论和实证研究己经比较成熟，很多学者从多个角度探索了新股抑价的原因并提出了相应的对策，但都是以成熟市场为基础。而我国作为典型的新兴资本市场，市场机制还不完善，机构投资者发展还不成熟，资本市场流动性也存在很多限制，因此能否适用国外这些理论还有待考证。 Booth和Chua（1996）提出的“流动性促进假说”与Ellul和Pagano（2006）的“非流动性补偿假说”从两个对立的角度解释了IPO抑价。前者认为IPO抑价导致的股权分散促进了后市流动性，，IPO抑价是因，后市流动性是果；而后者认为IPO抑价是对信息不对称带来的后市非流动性和流动性风险的补偿，后市非流动性是因，IPO抑价是果。随后国外很多学者都选取不同的样本对这两个假设进行了检验，但没有得出统一的结论。这两种截然不同的研究结论给人们带来了困惑，也值得我们再次不断的深入探讨。本文在总结国内外研究现状的基础上，首先分析了这两个假说的理论机理，然后选取2006到2011年中国沪深交易所上市的IPO公司的分笔高频交易数据，运用横截面多元回归方法，对这两个假说在中国的适用性进行了实证检验，并试图寻找我国IPO高抑价的真正原因。本文得到的主要研究结论有以下三点：（1）“流动性促进假说”在中国市场并不成立。IPO抑价并不会促进股权分散，但分散的股权会带来后市流动性水平的提高；另外在控制股权结构的前提下，IPO抑价对后市流动性没有促进作用，相反，IPO抑价程度越大，后市流动性水平反而越低。（2）“非流动性补偿假说”在中国市场部分适用。国外广泛流行的“信息不对称理论”并不能解释我国的IPO高抑价现象，在我国，IPO抑价其实是对后市非流动性和流动性风险的补偿，但这种非流动性并不是由信息不对称引起的。（3）股票价格、交易量、市场价值、收益波动率都是影响流动性的重要因素；公司规模与股权分散度正相关，但公司成立年限对股权结构没有显著的影响；公司规模、公司成立年限、IPO时流通股比例都与抑价率显著正相关，中签率与IPO抑价显著负相关，承销商声誉与IPO抑价之间的关系不太显著。
[Abstract]:IPO underpricing is a common phenomenon in global capital markets, whether it is emerging securities markets in developing countries. Since the establishment of the Chinese securities market, the IPO underpricing rate has been high. Too high IPO underpricing will not only cause the secondary market shock. Bring huge amount of capital disorderly flow, intensify the contradictions of market participants, so that the market is full of speculative atmosphere and other practical problems. Foreign theoretical and empirical research on IPO underpricing has been more mature. Many scholars have explored the reasons of IPO underpricing from many angles and put forward corresponding countermeasures, but all of them are based on the mature market. However, as a typical emerging capital market, the market mechanism is not perfect in China. Institutional investors are not mature and there are many restrictions on capital market liquidity, so whether these theories can be applied to foreign countries remains to be verified. "liquidity Promotion hypothesis" proposed by Booth and Chuawei (1996) and Ellul and Paganoy 2006). The "non-liquidity compensation hypothesis" explains the IPO underpricing from two opposite angles. The former believes that the dispersion of shares caused by IPO underpricing promotes liquidity in the future. IPO underpricing is due to the future liquidity is the result; The latter believes that the IPO underpricing is the compensation for the future market illiquidity and liquidity risk brought by asymmetric information, and the aftermarket illiquidity is the reason. IPO underpricing is the result. Subsequently, many foreign scholars selected different samples to test the two hypotheses, but did not come to a unified conclusion. Also worth us to continue to explore in depth again. On the basis of summing up the current research situation at home and abroad, this paper first analyzes the theoretical mechanism of these two hypotheses. Then selected from 2006 to 2011 IPO listed in the Shanghai and Shenzhen Stock Exchange of China's high-frequency trading data, using cross-sectional multivariate regression method. This paper empirically tests the applicability of these two hypotheses in China and tries to find out the real reasons for the high underpricing of IPO in China. I.P.O. underpricing will not promote the dispersion of shares, but the dispersed equity will bring about a higher level of liquidity in the future; In addition, under the premise of controlling the ownership structure, IPO underpricing does not promote the liquidity, on the contrary, the greater the degree of IPO underpricing, the lower the liquidity level. The "non-liquidity compensation hypothesis" is partly applicable in the Chinese market. The widely used "information asymmetry theory" abroad can not explain the phenomenon of high IPO underpricing in China. IPO underpricing is actually compensation for future market illiquidity and liquidity risk, but this illiquidity is not caused by asymmetric information. 3) Stock price, trading volume, market value and return volatility are all important factors affecting liquidity; The size of the company is positively correlated with the degree of equity dispersion, but the company's founding years have no significant impact on the ownership structure; The size of the company, the proportion of outstanding shares and the underpricing rate are all positively correlated with the underpricing rate, the success rate is negatively correlated with the IPO underpricing, and the relationship between underwriter reputation and IPO underpricing is not significant.
【学位授予单位】：南京航空航天大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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