基于抑价视角下的Ａ股IPO定价研究

发布时间：2018-04-02 17:36

本文选题：发行抑价　切入点：发行定价　出处：《广东商学院》2012年硕士论文

【摘要】：本文通过经典文献的回顾，，运用相关理论检验了Ａ股初始发行高抑价率和Ａ、Ｈ股发行价差的存在事实，证明了Ａ股IPO定价效率的偏低，并分离了影响Ａ股IPO定价效率的两大路径，即投资者的反应和发行人的定价。在此基础上，本文主要研究通过影响发行人的发行定价进而影响Ａ股IPO定价效率的因素有市场风险、流动性差异、需求弹性差异、信息不对称性、主承销商的声誉、个股的风险差异以及投资者的经验预期等方面。基于此，本文为了改进在既定影响因素下Ａ股的定价效率，着重研究了Ａ股的IPO定价，通过推导Ａ股的短期股价分布函数来构建Ａ股的IPO定价模型，并对模型的有效性进行实证检验，结果表明模型对中小板与创业板股票的发行定价效果较好。最后，本文为Ａ股市场的发展完善以及为加快内地与香港资本市场的融合提出政策与建议。
[Abstract]:Based on the review of classical literature, this paper examines the existence of high underpricing rate of A-share initial issue and the price difference between A and H shares, proves that the pricing efficiency of A-share IPO is on the low side, and separates the two major ways that affect the pricing efficiency of A-share IPO.That is, the reaction of investors and the pricing of issuers.On this basis, this paper mainly studies the factors that affect the pricing efficiency of A-share IPO by influencing the issuer's issue pricing, such as market risk, liquidity difference, demand elasticity difference, information asymmetry, the reputation of the lead underwriter.The risk difference of individual stock and investor's experience expectation and so on.Based on this, in order to improve the pricing efficiency of A shares under certain influence factors, this paper focuses on the IPO pricing of A shares, and constructs the IPO pricing model of A shares by deducing the short term price distribution function of A shares.The validity of the model is tested and the results show that the model has a better pricing effect on the small and medium-sized board and the gem stock.Finally, this paper puts forward policies and suggestions for the development and perfection of A share market and for speeding up the integration of mainland and Hong Kong capital markets.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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