我国IPO折价现象的行为金融学分析

发布时间：2018-01-29 04:00

本文关键词： 新股折价首次公开发行噪声交易非理性投资者　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：首次公开发行日新股的成交价格高于发行价格的现象被称为IP0折价现象。从上世纪七十年代Relv等学者第一次注意到这一问题开始,许多学者通过不同的研究视角对新股折价问题进行了深入分析与探讨。统计结果表明新股折价现象在发达国家还是发展中国家的资本市场上是普遍存在的。我们通常认为资本市场是相对具有更高定价效率的场所,而新股折价现象的存在是与其价格发现的功能相矛盾的。国内外学者一般通过发行市场和二级市场两个角度对新股折价现象进行相关研究。国外学者构建了许多精巧的模型对资本市场折价现象提出了自己的解释,但是其解释理论是否可以用于国内市场呢?我们认为,首先国内资本市场本身处于不断发展完善的过程中,监管体系的完善与成熟程度与国外资本市场有着较大的差别,其次我国资本市场自设立以来短短20余年的时间,发展时间相对较短,数据的全面性和完整性不假,最后国内资本市场上的投资者的资金实力、受教育程度、投资理念和理性程度似乎与国外投资者有着较大差别,我们认为对于像我国这样经济转型期的资本市场难以用现有理论进行解释说明。为此,我们选取了2000-2010年之间我国证券市场上上市发行的新股作为研究对象,对折价现象是否存在及其原因进行了分析。文章第一部分我们首先回顾了现有的国内外学者的解释理论,比较其发展脉络与差异,之后分析了我国资本市场各方参与者(机构、散户、上市公司等)进行了分析,通过选取多个公司财务指标以及声望指标对我国新股折价现象进行回归分析,研究结果表明我国资本市场上的新股折价现象的主要形成原因是二级市场上行为人的非理性交易行为(噪声交易),而与一级市场上的机构(投行、VC)声望的影响则并不显著。在此基础上,我们分析这一现象的成因在于散户的理性程度不足、投资知识欠缺,以及证券市场上政府监管和信息披露机制的不完善。针对这一现象,我们在文章的最后一部分中针对投资者、投行、政府等各方提出了一系列政策建议。
[Abstract]:The phenomenon that the transaction price of new shares on the day of initial public offering is higher than the issue price is called IP0 discount phenomenon. Since -30s, Relv and other scholars have noticed this problem for the first time. Many scholars have analyzed and discussed the discount of new shares from different angles of view. The statistical results show that the phenomenon of IPO discount is common in the capital markets of developed and developing countries. Capital markets are generally considered to be relatively more efficient places for pricing. However, the existence of new stock discount is contradictory to its function of price discovery. Scholars at home and abroad generally study the phenomenon of new stock discount from the perspective of issuing market and secondary market. Foreign scholars have constructed many sophisticated models to explain the discount phenomenon of capital market, but can the explanation theory be used in the domestic market? In our opinion, first of all, the domestic capital market itself is in the process of continuous development and perfection, and the degree of perfection and maturity of the regulatory system is quite different from that of the foreign capital market. Secondly, China's capital market since the establishment of a short period of more than 20 years, relatively short development time, the integrity and integrity of the data, the final domestic capital market investors' capital strength, education. The investment idea and rational degree seem to have the big difference with the foreign investor, we think that the capital market in the economic transition period like our country is difficult to explain with the existing theory. For this reason. From 2000 to 2010, we choose the new shares listed in China's securities market as the research object. The first part of the article reviews the existing domestic and foreign scholars' explanation theory, compares its development context and difference. Then it analyzes the participants (institutions, retail investors, listed companies, etc.) in the capital market of our country, and analyzes the discount phenomenon of new shares in our country by selecting a number of financial indicators and prestige indicators. The results show that the main cause of IPO discount in China's capital market is the irrational trading behavior (noise trading) of the actors in the secondary market, and the primary market institutions (investment banks). The influence of VC-based reputation is not significant. On this basis, we analyze the causes of this phenomenon is the lack of rational degree of retail investors, lack of investment knowledge. In the last part of this paper, we put forward a series of policy suggestions for investors, investment banks, governments and other parties.
【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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