询价制度下我国A股市场IPO定价效率的实证研究

发布时间：2018-08-28 19:28

【摘要】：自2005年1月1日起，我国新股发行正式实行询价制度。在询价制度推出的初期，股票上市首日仍然存在着较高的初始收益率，而2009年IPO重启以来，新股上市首日又出现破发，因此，本文主要研究实行询价制度以来新股IPO一二级市场的定价效率究竟如何。以2009年IPO重启为分界点，将2006年9月19日至2011年9月20日分成旧询价制度时期和新询价制度时期，分别以各时期在上海和深圳证券交易所首次公开发行和上市的A股为研究样本。在每一时期，，选取全面反映公司内在价值的20个财务指标，运用因子分析法提取出公因子，再与发行价和上市首日收盘价进行逐步回归，观察公因子对发行价和上市首日收盘价的解释能力，由此判断一二级市场定价的合理性。然后在前一步回归的基础上，加入反映市场和发行情况的变量，分析定价的外在影响因素。最后，将两个时期的实证结果进行对比，分析询价制度的改进效果。在得出一二级市场定价效率的基础上，探讨二级市场上投资者行为对上市首日初始收益率的影响。得到结论：①在旧询价制度时期，股票IPO发行价格没能全面地反映公司内在价值，影响上市首日收盘价的内在价值因素更少，且明显受到市场因素的影响。②在新询价制度时期，IPO发行价全面地反映了公司的内在价值，但受到了市场和发行情况的影响；上市首日收盘价反映的公司内在价值因素减少了，同时也受到市场和发行情况的影响，且影响程度更大。③新询价制度时期公司内在价值对新股发行价和上市首日收盘价的解释能力都比旧询价制度时期有了较大提高，新询价制度时期股票IPO定价效率更高，发行制度的改革有一定的成效，但还是存在一定的缺陷。④在新旧两个时期，一级市场定价效率都比二级市场定价效率高，二级市场上投资者的行为都对上市首日初始收益率有显著的影响。根据实证结果和实际情况，从规范发行人、保荐机构、机构投资者、中小投资者的行为，以及增加流通股数量等方面给出了建议。
[Abstract]:Since January 1, 2005, inquiry system has been put into practice in China. In the initial stage of the inquiry system, there is still a relatively high initial yield on the first day of the stock listing, and since the restart of IPO in 2009, the first day of new stock listing has broken, so, This paper mainly studies the pricing efficiency of the new IPO primary and secondary market since the implementation of inquiry system. With the IPO restart in 2009 as the demarcation point, the period from September 19, 2006 to September 20, 2011 is divided into the old inquiry system period and the new inquiry system period, The A shares listed on Shanghai Stock Exchange and Shenzhen Stock Exchange were used as the research samples. In each period, 20 financial indexes reflecting the internal value of the company are selected, and the common factors are extracted by factor analysis method, and then they are gradually regressed with the issue price and the closing price on the first day of listing. To judge the rationality of the pricing of the first secondary market, we observe the explanation ability of the public factor to the issue price and the closing price on the first day of the market. Then, on the basis of the former regression, the variables reflecting the market and the distribution are added to analyze the external influencing factors of pricing. Finally, the empirical results of the two periods are compared to analyze the improvement effect of inquiry system. On the basis of the pricing efficiency of the first secondary market, this paper discusses the influence of investor behavior on the initial return on the first day of listing in the secondary market. It is concluded that during the old inquiry system, the issue price of IPO did not fully reflect the internal value of the company, and the internal value factors affecting the closing price on the first day of listing were less. And obviously influenced by market factors. 2 during the period of the new inquiry system, the IPO price comprehensively reflected the intrinsic value of the company, but was influenced by the market and the issuing situation. The internal value factors of the company reflected by the closing price on the first day of listing decreased. At the same time, it is also influenced by the market and the issuing situation, and the degree of influence is greater. 3. During the period of the new inquiry system, the explanatory power of the company's intrinsic value to the IPO price and the closing price on the first day of listing has been greatly improved compared with the old inquiry system. The stock IPO pricing efficiency is higher in the new inquiry system, and the reform of the issuing system has some effect, but there are still some defects. 4 in the new and old two periods, the pricing efficiency of the primary market is higher than that of the secondary market, and the pricing efficiency of the primary market is higher than that of the secondary market. The behavior of investors in the secondary market has a significant impact on the initial return on the first day of the market. According to the empirical results and the actual situation, suggestions are given from the aspects of standardizing the behavior of issuers, sponsor institutions, institutional investors, and small and medium-sized investors, as well as increasing the number of outstanding shares.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】