网下机构投资者申购和IPO抑价关系的实证研究

发布时间：2018-08-01 08:29

【摘要】：统计结果显示全球资本市场新股上市绝大多数都是呈现抑价现象,即上市后收盘价高于首发价。我国资本市场自1990年成立以来也几乎是这种情况,然而自2010年开始,我国IPO越来越多地出现三个月破发情况。国内外少有专家学者就导致这一现象的原因做系统的分析。本文重点就我国A股市场IPO企业上市三个月绝对表现、上市三个月剔除市场因素的相对表现及对应时间窗口的抑价程度为被解释变量,选取2010年1月5日至2011年12月5日上市的601家公司数据为样本,以首发市盈率、超募资金比例、换手率、发行规模、中签率发行费用与募集资金比例为控制变量,首先分析机构投资者配售股份比例对新股上市表现的影响,然后在区分机构投资者类型基础上研究不同的机构投资者配售股份比例对新股上市后表现的影响,最后分析机构投资者配售股份比例对新股上市抑价程度的影响作为补充研究。结果显示,机构配售股份比例大小对新股上市三个月后的绝对及相对表现有显著的正相关关系；细分机构投资者类型后二元因变量回归发现证券公司自营部及阳光私募配售股份比例大小对新股上市三个月的绝对表现有显著的正相关关系,并且证券公司自营部持股比例越高的公司三个月表现优于市场的概率越大,阳光私募影响也类似；在对机构投资者配售股份比例对新股上市抑价程度研究发现机构投资者持股比例大小与新股上市三个月及剔除市场收益后的抑价程度有显著正相关关系。之所以出现这种结果是因为在我国资本市场还存在着严重的信息不对称问题。机构投资者尤其是证券公司自营部在新股上市前能够通过其它机构或者法人难以介入的渠道获得上市公司质量信息,那么它们就能根据内部信息对上市公司做出优劣判断,最终反映到网下配售股份比例的大小上。这种行为也较大地损害了其它处于信息劣势的投资者利益。若要资本市场有序、公平地发展就要尽可能地削弱信息不对称,主要可以通过加强上市公司信息披露和监管方面入手。这样才有可能让所有投资者同等地获取信息建立更有效的资本市场。
[Abstract]:The statistical results show that the majority of the global capital market IPO is a phenomenon of underpricing, that is, the closing price after listing is higher than the initial price. This is almost the case since the establishment of China's capital market in 1990. However, since 2010, China's IPO has been breaking for more and more three months. Few experts and scholars at home and abroad make systematic analysis on the causes of this phenomenon. This paper focuses on the absolute performance of IPO enterprises listed in China's A-share market for three months. The relative performance of excluding market factors and the degree of underpricing in the corresponding time window are explained variables. The data of 601 companies listed from January 5, 2010 to December 5, 2011 are selected as the samples. The control variables are the IPO price / earnings ratio, the proportion of overraised funds, the turnover rate, the size of the issue, the ratio of the issuing fee and the proportion of the funds raised. First of all, it analyzes the influence of the proportion of allotment shares of institutional investors on the performance of new stock listing, and then studies the effect of different proportions of allotment shares of institutional investors on the performance of new shares after listing on the basis of distinguishing the types of institutional investors. Finally, the effect of the proportion of institutional investors placing shares on the underpricing degree of IPO is analyzed as a supplementary study. The results show that the ratio of institutional allotment shares has a significant positive correlation with the absolute and relative performance of the new shares three months after listing. After subdivision of institutional investors, the binary dependent variable regression found that the proportion of proprietary and private placement shares of securities companies had a significant positive correlation with the absolute performance of three months' listing of new shares. And the higher the proportion of securities companies' proprietary ownership is, the greater the probability that the company outperforms the market in three months, and the influence of sunshine private equity is similar; In the study of the degree of underpricing of IPOs, it is found that there is a significant positive correlation between the proportion of institutional investors' shares and the degree of underpricing after three months' listing of new shares and excluding market returns. The reason for this result is that there is a serious problem of information asymmetry in China's capital market. Institutional investors, especially securities companies' proprietary departments, can obtain quality information of listed companies through channels that are difficult for other institutions or legal persons to intervene in before the new shares are listed, so they can judge the merits and demerits of listed companies according to internal information. The final reflection of the net distribution of shares in the proportion of the size. This behavior also greatly damaged the interests of other investors in the information disadvantage. If the capital market is to be orderly, the fair development should weaken the information asymmetry as far as possible, mainly through strengthening the information disclosure and supervision of listed companies. This makes it possible for all investors to have equal access to information to establish more efficient capital markets.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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