中国创业板IPO抑价的实证研究

发布时间：2018-03-20 12:17

本文选题：创业板市场　切入点：IPO抑价　出处：《辽宁大学》2012年硕士论文　论文类型：学位论文

【摘要】：中国创业板市场规模小、成长空间大、经营稳定性较低，相比于中国主板和中小板市场以及国外成熟的证券市场，抵抗行业风险和市场风险的能力较弱，创业板市场的高风险性和不确定性对其IPO股票价格有较大影响。要想对创业板IPO抑价做出正确合理的解释，需要对发行价与首日收盘价之间的关系、市场参与者的决策因素以及市场环境等因素进行系统的分析和研究。一直以来许多专家学者试图通过建立不同的假设和模型，来寻求IPO抑价的真正原因，虽然取得了一些成果，但迄今为止还没有一种理论可以占据主导地位，有关IPO抑价的研究仍然是金融领域关注的焦点问题。本文以首日超额收益率为研究对象建立IPO抑价的多因素模型，基于传统金融学和行为金融学对影响中国创业板IPO抑价的一、二级市场因素同时进行实证分析检验，既着眼于一级市场上的影响因素，又考虑到新股上市后可能导致交易价格高估的二级市场的投机性质和投机泡沫因素，全面分析影响中国创业板新股发行抑价的因素。实证研究结果显示，一级市场因素对创业板市场IPO股票超额收益率的解释能力有限，，二级市场反映投资者情绪的指标对创业板IPO股票抑价率影响显著，并进一步说明了中国股票市场的确存在新股神话现象，虽然处于不同的发行年份、发行批次和不同行业的IPO股票抑价程度有所差别，但几乎所有创业板股票都存在较大的首日超额收益率，IPO市场存在着过度反应，二级市场投资者的投机行为是造成创业板IPO抑价的重要因素。
[Abstract]:China's gem market is small in scale, large in growth space, and less stable in operation. Compared with China's main board, small and medium-sized board markets and foreign mature securities markets, the ability to resist industry risks and market risks is relatively weak. The high risk and uncertainty of the gem market have great influence on the IPO stock price. In order to make a correct and reasonable explanation for the gem IPO underpricing, the relationship between the issue price and the closing price on the first day is needed. The decision factors of market participants and market environment are systematically analyzed and studied. Many experts and scholars have been trying to find out the real cause of IPO underpricing by establishing different hypotheses and models, although some achievements have been made. But so far, there is no theory to dominate, and the research on IPO underpricing is still the focus of the financial field. This paper takes the first-day excess return as the research object to establish the multi-factor model of IPO underpricing. Based on the traditional finance and behavioral finance, the empirical analysis of the factors affecting the IPO underpricing in China's growth Enterprise Market (gem) is also carried out at the same time. Considering not only the influencing factors in the primary market, but also the speculative nature and speculative bubble factors in the secondary market, which may lead to the overvaluation of the trading prices, the factors affecting the underpricing of new shares in China's gem are comprehensively analyzed. The empirical results show that the primary market factors have a limited ability to explain the excess returns of IPO stocks in the gem market, and the index reflecting investor sentiment in the secondary market has a significant impact on the underpricing rate of gem IPO stocks. It further shows that there is a myth of new shares in China's stock market, although in different issuing years, the issue batches and the underpricing degree of IPO stocks in different industries are different. However, almost all gem stocks have overreaction in the first day excess return market, and the speculative behavior of investors in the secondary market is an important factor that causes the IPO underpricing in gem.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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