发行制度改革、投资者情绪与IPO抑价

发布时间：2018-06-02 02:39

本文选题：IPO抑价 + 制度改革　；参考：《浙江大学》2012年硕士论文

【摘要】：我国股票市场上新股的高抑价现象长期存在,新股普遍受到极其强烈的追捧。2009年6月,证监会出台了《关于进一步改革和完善新股发行体制的指导意见》,开始新股发行制度第一阶段的市场化改革,旨在完善发行机制,促进新股定价的市场化。2010年10月,证监会公布了《关于深化新股发行体制改革的指导意见》,开启了第二阶段改革。在此背景下来研究我国IPO抑价的原因以及新股发行制度改革对IPO抑价情况的影响,具有很强的时效性,有助于判断IPO发行制度的改革的效果,有助于指出下一步改革的方向,具有较强的实际意义。本文首先研究我国现有市场环境下IPO抑价的原因,通过随机前沿方法,检验目前一级市场上是否存在发行人和承销商故意降低发行价格的现象。数据实证结果表明,我国新股发行市场上并不存在发行人故意折价的行为,因此高抑价的原因可能完全来源于二级市场投资者乐观情绪。本文进一步对比较符合我国市场情况的且从投资者情绪角度研究IPO抑价的相关文献作以回顾,并尝试分析我国市场上投资者情绪产生的原因和对IPO抑价的影响。同时,本文梳理了我国IPO发行制度的演变历程,对各个阶段的改革作以评述。最后,本文将2005年以来IPO数据分为三个样本进行实证研究,一方面检验投资者情绪的变量对IPO抑价的影响,同时比较各个阶段的回归结果,研究发行制度改革的效果和不同阶段投资者情绪对IPO抑价影响的变化。本文研究结果表明,我国一级市场上并不存在故意定价偏低现象,IPO抑价的原因主要来自于二级市场；投资者情绪变量对IPO抑价有显著影响,随着市场化改革的推进,一方面IPO抑价现象有所改善,投资者情绪对IPO抑价影响有所缓解,另一方面,投资者情绪对IPO抑价影响依然严重,尤其是IPO上市首日二级市场投资者对IPO股票的热情不减。综上,我国IPO发行制度改革虽然取得一定成绩,但是在完善发行机制、增加新股供给及增强信息披露和投资者教育上依然任重道远。
[Abstract]:The phenomenon of high underpricing of new shares in the stock market of our country has existed for a long time, and the new shares are generally highly sought after. The Securities Regulatory Commission issued the "guidance on further Reform and improvement of the New issue system" and began the first stage of the market-oriented reform of the new issue system, with the aim of perfecting the issuing mechanism and promoting the marketization of new stock pricing. Securities Regulatory Commission issued the "guidance on deepening the reform of the new issue system", opened the second stage of reform. Under this background, the research on the reasons of IPO underpricing and the influence of the new issue system reform on the underpricing of IPO has a strong time-effect, which is helpful to judge the effect of the reform of the IPO issuing system, and to point out the direction of the next reform. It has strong practical significance. This paper first studies the causes of IPO underpricing in the current market environment in China, and by means of the stochastic frontier method, tests whether there is a phenomenon that issuers and underwriters deliberately reduce the issuing price in the primary market. The empirical results show that there is no deliberate discount by issuers in China's IPO market, so the reason for the high underpricing may be entirely due to the optimism of investors in the secondary market. This paper makes a further review of the relevant literatures which are in line with the market situation in China and studies the underpricing of IPO from the perspective of investor sentiment, and tries to analyze the causes of investor sentiment and its influence on the underpricing of IPO in China's market. At the same time, this paper reviews the evolution of China's IPO issuing system and comments on the reform of each stage. Finally, this paper divides the IPO data into three samples for empirical study. On the one hand, we test the influence of investor sentiment variables on IPO underpricing, and compare the regression results of each stage. This paper studies the effect of issue system reform and the influence of investor sentiment on IPO underpricing in different stages. The results of this study show that there is no deliberate underpricing in the primary market in China. The main reasons for underpricing come from the secondary market, and investors' emotional variables have a significant impact on IPO underpricing, and with the promotion of market-oriented reform, investors' emotional variables have a significant impact on the underpricing of IPOs. On the one hand, the phenomenon of IPO underpricing has been improved, and the influence of investor sentiment on IPO underpricing has been alleviated. On the other hand, the influence of investor sentiment on IPO underpricing is still serious, especially on the first day of IPO listing. In summary, although the reform of IPO issuing system has made some achievements, there is still a long way to go in perfecting the issuing mechanism, increasing the supply of new shares and enhancing information disclosure and investor education.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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