新股破发的影响因素与预测模型研究

发布时间：2018-03-30 16:15

本文选题：IPO　切入点：新股破发　出处：《南京大学》2012年硕士论文

【摘要】：在各国资本市场中,新股“首日不败”是一个较为普遍的现象,学术界也对此进行过许多理论研究。但2010年以来,我国A股市场中大面积地出现了“新股首日破发”的新现象,颠覆了既往的实践规律和学术研究。为丰富新股定价领域的研究成果,并更好地为投资实践提供可靠参考,本文对“新股破发”这一全新现象进行了深入的研究。基于对历年(1996-2011)新股定价及首日收益率充分的描述性统计,笔者运用方差分析、回归检验、因子分析等多种计量工具进一步研究“新股破发”现象的影响因素,主要可以归类为：(1)公司财务特征,如每股收益EPS；(2)IPO发行特征,如发行价格、募集资金规模、上市首日市盈率、上市板块等；(3)信息不对称特征,如审计师声誉；(4)股市整体特征,如上证综合指数等。更为重要的是,本文创造性地提出了“新股破发”的Logistic预测模型。对2011年7月-12月的数据试验表明,该模型具有较强的预测性和可靠性,局部数据的预测误差可有效控制在5%以内。这将为市场投资者提供一定程度的保护,以更有效地规避新股投资中的“破发”风险。
[Abstract]:In the capital markets of various countries, "unbeaten on the first day" of new shares is a relatively common phenomenon, which has also been studied in academic circles. However, since 2010, there has been a new phenomenon of "first-day breaking of new shares" in China's A-share market. In order to enrich the research results in the field of new stock pricing and to provide a more reliable reference for investment practice, This paper makes a deep research on the new phenomenon of "new share break". Based on the sufficient descriptive statistics of new stock pricing and first day yield, the author uses variance analysis and regression test. Factor analysis and other measurement tools further study the influencing factors of the phenomenon of "new shares breaking", which can mainly be classified as the financial characteristics of the company, such as the characteristics of IPOs such as the price of the IPO, the scale of the funds raised, and the price-earnings ratio on the first day of listing. Information asymmetry features, such as auditor reputation, etc.) the overall characteristics of the stock market, such as the Shanghai Composite Index. More importantly, This paper creatively puts forward the Logistic prediction model of "new issue break". The data test from July to December 2011 shows that the model has strong predictability and reliability. The prediction error of local data can be effectively controlled within 5%, which will provide a certain degree of protection for market investors, in order to more effectively avoid the "break" risk in new stock investment.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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