我国创业板上市公司IPO定价多因素模型研究

发布时间：2018-02-23 06:29

本文关键词： IPO 多因素模型因子分析逐步回归法　出处：《长春工业大学》2012年硕士论文　论文类型：学位论文

【摘要】：上市公司首次公开发行股票(IPO)是指准备公开上市的股份有限公司通过社会融资扩大股东股权范围和增加社会公众持股比例。新股发行定价的合理与否关系到发行人、投资者和承销商切身利益,一级发行市场和二级流通市场之间的转换影响,而且也直接影响到一国资本市场的资源配置效率。而上市公司IPO溢价则是指上市公司发行的新股在公开发行定价的过程中存在一定的价值低估问题,显著表现为首次发行新股的发行价格明显低于新股上市二级市场流通时首日的收盘价,鉴于这样的现象存在,理性投资者只需在一级市场上认购新股,然后在新股上市首日的二级市场抛出就能够获得一定的超额报酬率,实践中的这种现象和理论界的有效市场假说存在一定的冲突,金融界将其称之为“IPO之谜”。国外发达国家对IPO定价的基本理论和实践研究起步比较早,在实际的运用过程中也产生了较好的效果。我国的诸多研究学者曾经尝试将国外已经成熟的金融理论运用于我国证券市场的发行定价过程,但由于我国证券市场发展过程中的特殊背景和资本市场发展过程中的特殊时期,使得IPO定价理论在我国股票实践中并未取得预期的效果。2009年10月30日创业板在深圳证券交易所正式开盘交易,在经历的两年多的时间里,创业板上市公司IPO溢价问题因企业特有的上市机制和风险运行机制而变的十分突出。本文的研究对象是创业板上市公司,选取从2009年10月到2011年5月在创业板上市的218只股票为分析样本。以国外相对比较成熟的IPO定价相关理论为基础,首先采用定性分析的方法找出影响新股定价的内外部影响因素,并搜集企业发行上市前披露的公开信息等有关资料。然后在选用因子分析方法处理变量数据的基础上提取主要影响因素,再运用逐步回归方法对新股发行上市首日收盘价进行线性回归,拟建立IPO定价多因素定价模型以对创业板上市股票进行定价规范。为了使新建模型更好的得到运用,本文在创建模型的基础上,挑选9月份以后上市的几只股票进行实证检验。
[Abstract]:IPO (initial public offering of shares by a listed company) refers to a joint stock limited company that is preparing to go public through social financing to expand the scope of shareholders' equity and increase the proportion of public shares held by the public. Whether the pricing of new shares is reasonable or not is related to the issuer. The immediate interests of investors and underwriters, the impact of the conversion between the primary issue market and the secondary circulation market, And it also directly affects the resource allocation efficiency of a country's capital market, and the IPO premium of listed companies refers to the undervaluation of the new shares issued by listed companies in the process of IPO pricing. The obvious manifestation is that the initial issue price of new shares is significantly lower than the closing price of the first day of circulation in the secondary market. In view of this phenomenon, rational investors only need to subscribe for new shares in the primary market. Then we can get a certain excess rate of return by selling in the secondary market on the first day of IPO. This phenomenon in practice conflicts with the efficient market hypothesis of the theoretical circle, which is called "the mystery of IPO" by the financial circles. The basic theoretical and practical research on IPO pricing in developed countries started early. Many scholars in our country have tried to apply the foreign mature financial theory to the issuing and pricing process of China's securities market. However, due to the special background in the development of the securities market in China and the special period in the development of the capital market, The IPO pricing theory has not achieved the expected results in China's stock practice. In October 30th 2009, the gem was officially opened on the Shenzhen Stock Exchange, and in the course of more than two years, The problem of IPO premium of gem listed companies is very prominent due to the unique listing mechanism and risk operation mechanism. The research object of this paper is the gem listed companies. From October 2009 to May 2011, 218 stocks listed on the gem are selected as the analysis samples. Based on the relatively mature IPO pricing theory abroad, First of all, the qualitative analysis method is used to find out the internal and external factors that affect the pricing of new shares. And collect the relevant information such as the public information disclosed before the enterprises go public. Then, on the basis of selecting the factor analysis method to deal with the variable data, the main influencing factors are extracted. Then we use the stepwise regression method to carry on linear regression to the closing price on the first day of IPO, and we propose to establish the multi-factor pricing model of IPO to standardize the pricing of gem listed stocks. In order to make the new model better to be used, this paper selects several stocks listed after September to carry out empirical test on the basis of creating the model.
【学位授予单位】：长春工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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