创业板IPO高初始收益问题研究

发布时间：2018-03-18 06:21

本文选题：IPO高初始收益　切入点：股票市场　出处：《首都经济贸易大学》2013年硕士论文　论文类型：学位论文

【摘要】：IPO高初始收益是资本市场三大异象之一，它抑制着股票市场的健康发展，影响市场资源的配置。在相对新兴的中国股票市场上，IPO高初始收益程度长期处于高位，对于创业板市场而言，情况则更加严重。从2009年10月30日创业板首轮28家公司登陆，一直到今天，统共发行355只股票，收益率（抑价率）最高曾达到210%，平均值为34%，远远超过了成熟市场的收益率水平。而细分下来，不同阶段的创业板市场IPO高初始收益情况也不尽相同，开闸之初的2009年平均收益率高达93%，2010年降至38%，2011年和2012年降至22%左右，从时间角度来看，IPO高初始收益率呈下降趋势，但相比于成熟市场而言，中国创业板市场的抑价水平仍然较高。因此，本文通过理论研究和实证研究，定性分析和定量分析从多个角度深入研究中国创业板市场IPO高初始收益的内在关键影响因素。本文首先对于国外研究学者关于IPO高初始收益率的理论进行研究，主要分为非对称信息理论、制度原因理论和行为金融学理论三个方向进行解释，并按照此思路方向对国内学者的研究进行总结。在此基础上，作者剔除了不符合中国创业板市场条件的理论依据和无法度量的理论依据，据此提出14个可能对IPO高初始收益问题造成影响的变量。本文对2009年10月30日至2012年10月9日期间正收益率的303只上市公司数据按照总样本和按时间分类的4个子样本进行统计性描述，后根据14个自变量对初始收益率进行回归分析，通过单因素回归确认自变量形式和各样本下自变量的偏相关系数，最后进行逐步回归确认不同样本下的影响因素和回归方程。通过研究发现各时间段影响因素稍有不同，主要的共同影响因素为首日换手率、网上中签率、上市前市场收益率，其他影响因素还有发行-上市时间间隔、营业收入增长率以及企业员工素质等。可以看到主要影响因素源于行为金融学范畴，来自投资者和承销商的不理性行为，同时伴有制度性原因和非对称信息带来的影响。通过分析，发现首日换手率、市场周期性趋势、网上中签率、上市当周市场收益率和发行价格为解释力度最强的5个变量，所以中国创业板市场的IPO高初始收益主要来自投资者的不理性行为，而投资者和发行商之间的非对称信息也对IPO高初始收益有一定影响。
[Abstract]:The high initial income of IPO is one of the three major anomalies in the capital market, which inhibits the healthy development of the stock market and affects the allocation of market resources. For the gem market, the situation is even more serious. From October 30th 2009, the first round of 28 companies on the gem landed, up to today, a total of 355 stocks were issued. The highest rate of return (underpricing) has reached 210, with an average of 34, which far exceeds the level of return in mature markets. When broken down, the high initial income of IPO in different stages of the gem market also varies. At the beginning of the opening, the average yield on 2009 was as high as 93%, and on 2010 it dropped to 38. In 2011 and 2011, it fell to about 22%. From the point of view of time, the high initial yield of IPO showed a downward trend, but compared with the mature market, The underpricing level of China's gem market is still relatively high. Therefore, through theoretical and empirical studies, this paper makes a qualitative and quantitative analysis of the key factors affecting the high initial IPO return in China's gem market from several angles. This paper firstly studies the theories of foreign researchers on the high initial yield of IPO, which are mainly divided into three directions: asymmetric information theory, institutional cause theory and behavioral finance theory. On the basis of this, the author has eliminated the theoretical basis which does not accord with the market conditions of China's gem and the theoretical basis which can not be measured. On this basis, 14 variables that may have an impact on the high initial return of IPO are proposed. The data of 303 listed companies with positive returns from October 30th 2009 to October 9th 2012 are classified according to the total sample and 4 by time. Subsamples are statistically described, Based on the regression analysis of 14 independent variables, the form of independent variables and the partial correlation coefficient of independent variables under each sample are confirmed by single factor regression. Finally, the influence factors and regression equations of different samples are confirmed by stepwise regression. It is found that the influencing factors are slightly different in each time period, the main common influencing factors are the turnover rate of the first day, the rate of success on the net, the market return rate before listing, Other influencing factors are the issue-listing interval, the growth rate of operating income and the quality of employees. We can see that the main influencing factors are behavioral finance, irrational behavior by investors and underwriters. At the same time, there are institutional reasons and the influence of asymmetric information. Through the analysis, we find that the first day turnover rate, the market cyclical trend, the net success rate, the market return rate and the issue price during the week of listing are the five variables with the strongest explanatory force. Therefore, the high initial return of IPO in China's gem market mainly comes from the irrational behavior of investors, and the asymmetric information between investors and issuers also has a certain impact on the high initial return of IPO.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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