我国创业板IPO定价研究

发布时间：2018-01-30 18:28

本文关键词： 创业板 IPO定价成长性因子多因素回归模型　出处：《江西财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：我国创业板市场在经历了近十年的筹备之后,于2009年10月23日在深圳证券交易所正式开板,10月31日创业板首批28家新股同日上市,目前市场处于逐步拓展阶段,截至2011年4月7号,已经有200家企业在创业板成功上市。创业板主要服务于新兴产业尤其是高新技术产业,弥补其暂时无法通过主板上市来直接融资的缺陷,与主板市场相对应,是对主板市场的有效补充。它的推出一方面满足了处于高速发展中企业的融资需求,另一方面也将社会闲散资金聚集到资本市场,促进了资本的优化配置。创业板IPO是具有高成长性的中小型企业首次公开发行股票并在交易所上市交易的行为。由于创业板上市主体所处的行业和经营业务的创新性,很难寻找到处于同行业、同发展阶段的可比公司作为定价参考对象,同时公司的经营时间较短,大多处于起步期,历史经营数据较少,难以准确衡量企业未来发展状况。另外在定价过程中又涉及到发行公司、承销商、投资者及监管机构等利益相关者,由于信息不对称、承销商自身保护、投资者非理性以及发行定价制度等因素造成IPO定价效率偏低。目前我国的创业板市场处于不断摸索时期,相关机制并不完备,而股票在一级市场能否被合理定价,关系到二级市场甚至整个资本市场能否稳定发展,由此得出创业板IPO合理定价的重要性。本文通过系统地阐述现有的IPO定价理论及发行方式,分析各自适用的范围,结合我国创业板市场及上市主体的特征,通过分析利益相关主体对IPO定价的互动影响过程,以及上市主体成长性因子,从现实性和未来性两方面来分析影响IPO定价的决定性因素。通过对各个决定因素与IPO价格进行多因素线性回归,提出IPO定价的多因素回归模型,以此判定决定因素对IPO价格的影响程度,通过利用统计分析软件SPSS对其进行实证研究,得出以下两点结论：(1)在公司股票IPO定价的过程中,发行股票的公司希望能够募集更多资金,这就要求企业必须与市场上拥有信息的投资者不断的进行沟通,公司股票IPO询价机制同样适用于创业板；(2)通过对已发行样本的回归研究表明,代表企业未来发展空间的公共因子H5对IPO价格具有最高的影响程度,这也反映了创业板上市主体的成长性是决定投资价值的重要因素。为使我国创业板IPO定价更加合理,提出以下政策建议：(1)让主承销商拥有更多的股票分配权；(2)要求主承销商和机构投资者通过权威媒体发布估值报告；(3)建立机构投资者的评价体系；(4)监管部门定期在媒体上公告最近的IPO计划,让投资者能够了解该段时期内资本市场的供求状况。文中的多因素模型基于价值投资理念而建立,为投资者合理判断股票价值提供依据,同时对于完善我国创业板IPO定价机制,提高IPO定价效率,平衡各利益相关主体的利益,优化资源配置具有一定的理论和现实意义。
[Abstract]:After nearly ten years of preparation, the gem of our country officially opened on the Shenzhen Stock Exchange on October 23rd 2009. On October 31st, the first batch of 28 new shares on the gem were listed on the same day. At present, the market is gradually expanding, as of April 7th 2011, there have been 200 enterprises listed successfully on the gem. The gem mainly serves emerging industries, especially high-tech industries. It is an effective supplement to the main board market. On the one hand, it can meet the financing needs of enterprises in high-speed development. On the other hand, social idle funds are also gathered into the capital market, promoting the optimal allocation of capital. Growth Enterprise Market (IPO) is a high growth small and medium-sized enterprise initial public offering of shares and trading on the exchange, due to the gem listed in the main body of the industry and business innovation. It is difficult to find comparable companies in the same industry and same development stage as pricing reference. At the same time, the operating time of the companies is shorter, most of them are in the initial stage, and the historical management data are less. It is difficult to accurately measure the future development of enterprises. In addition, the pricing process involves the issuing company, underwriters, investors, regulators and other stakeholders, because of information asymmetry, underwriters protect themselves. IPO pricing efficiency is on the low side due to irrational investors and pricing system. At present, the gem market in China is in a period of constant exploration, and the relevant mechanism is not complete. Whether the stock can be reasonably priced in the primary market is related to the stable development of the secondary market and even the whole capital market. This paper systematically describes the existing IPO pricing theory and issuing methods, analyzes the respective applicable scope, combined with the gem market and the characteristics of the main listing. Through the analysis of stakeholders' interactive influence on IPO pricing, as well as the growth factors of listed parties. This paper analyzes the determinants of IPO pricing from the aspects of reality and future, and puts forward the multifactor regression model of IPO pricing through multi-factor linear regression between each determinant factor and IPO price. In order to determine the influence of determinants on the IPO price, by using the statistical analysis software SPSS to carry on the empirical research, we can draw the following two conclusions: 1) in the process of the IPO pricing of the company stock. The company that issues the stock hopes to be able to raise more funds, which requires the enterprise must communicate with the investors who have the information in the market, the IPO inquiry mechanism of the company shares also applies to the growth enterprise board; The regression analysis of published samples shows that the public factor H5, which represents the future development space of enterprises, has the highest influence on IPO prices. This also reflects the growth of gem listed parties is an important factor to determine the value of investment. In order to make China's gem IPO pricing more reasonable, this paper puts forward the following policy recommendations: 1) let the lead underwriters have more shares distribution rights; Requiring lead underwriters and institutional investors to publish valuation reports through authoritative media; (3) establishing an evaluation system for institutional investors; Regulators regularly announce the latest IPO plan in the media, allowing investors to understand the supply and demand of capital markets during the period. The multi-factor model is based on the concept of value investment, which provides the basis for investors to judge the stock value reasonably. At the same time, it can improve the pricing mechanism of IPO in gem and improve the efficiency of IPO pricing. It is of theoretical and practical significance to balance the interests of various stakeholders and optimize the allocation of resources.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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