基于异质信念理论的创业板市场IPO抑价问题研究
发布时间：2018-10-10 07:02
【摘要】：本文在国内外IPO抑价理论研究的基础上，总结了创业板的发展现状，然后结合异质信念理论对创业板现行的IPO发行制度进行一般性分析，明确了创业板IPO各参与方和新股价格行为之间的关系，以及在目前的IPO发行制度中各个参与方之间异质信念的产生原因和对IPO抑价的影响。在一般性分析结论的基础上，，本文根据目前IPO发行制度，构建了一个基于异质信念理论的创业板IPO定价及抑价模型，对创业板IPO抑价问题进行深入分析。根据创业板IPO抑价模型得到的几个结论表明，IPO主要参与方的先验信念异质和后验信念异质都会引起IPO抑价现象。根据异质信念形成原因，本文选取合适的先验异质信念代理变量和后验异质信念代理变量后，对创业板IPO抑价问题进行了实证分析，实证结果与异质信念对创业板IPO高抑价问题的理论解释相一致。这表明，基于行为金融学的异质信念理论对IPO抑价问题具有相当充分的解释能力，创业板IPO高抑价现象很大程度上是因为IPO各参与方的异质信念行为。IPO高抑价现象不利于资本市场资源的有效配置。本文根据先验异质信念和后验异质信念形成的原因和对IPO抑价率的影响，从新股发行机制改革层面，对解决创业板IPO高抑价问题提出了相关政策建议。
[Abstract]:Based on the research of IPO underpricing theory at home and abroad, this paper summarizes the development status of gem, and then analyzes the current IPO issuing system of gem with heterogeneous belief theory. This paper clarifies the relationship between IPO participants and new stock price behavior in gem, and the causes of heterogeneous beliefs among participants in the current IPO issuance system and their influence on IPO underpricing. On the basis of the general analysis conclusion, according to the current IPO issue system, this paper constructs a IPO pricing and underpricing model based on the heterogeneous belief theory, and analyzes the IPO underpricing problem in the gem. According to several conclusions of gem IPO underpricing model, it is shown that both priori belief heterogeneity and posteriori belief heterogeneity will cause IPO underpricing phenomenon. According to the reason of heterogeneity belief, this paper analyzes the problem of IPO underpricing in gem by selecting appropriate agent variables of prior heterogeneity belief and posteriori heterogeneity belief agent. The empirical results are consistent with the theoretical explanation of high IPO underpricing in gem based on heterogeneous beliefs. This indicates that the heterogeneous belief theory based on behavioral finance has sufficient ability to explain the IPO underpricing problem. The phenomenon of high underpricing in gem is largely due to the heterogeneous belief behavior of IPO participants. The phenomenon of high underpricing is not conducive to the effective allocation of capital market resources. Based on the reasons of the formation of prior heterogeneity belief and posteriori heterogeneity belief and its influence on IPO underpricing, this paper puts forward some relevant policy suggestions to solve the problem of high underpricing of IPO in gem from the perspective of new issue mechanism reform.
【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
[Abstract]:Based on the research of IPO underpricing theory at home and abroad, this paper summarizes the development status of gem, and then analyzes the current IPO issuing system of gem with heterogeneous belief theory. This paper clarifies the relationship between IPO participants and new stock price behavior in gem, and the causes of heterogeneous beliefs among participants in the current IPO issuance system and their influence on IPO underpricing. On the basis of the general analysis conclusion, according to the current IPO issue system, this paper constructs a IPO pricing and underpricing model based on the heterogeneous belief theory, and analyzes the IPO underpricing problem in the gem. According to several conclusions of gem IPO underpricing model, it is shown that both priori belief heterogeneity and posteriori belief heterogeneity will cause IPO underpricing phenomenon. According to the reason of heterogeneity belief, this paper analyzes the problem of IPO underpricing in gem by selecting appropriate agent variables of prior heterogeneity belief and posteriori heterogeneity belief agent. The empirical results are consistent with the theoretical explanation of high IPO underpricing in gem based on heterogeneous beliefs. This indicates that the heterogeneous belief theory based on behavioral finance has sufficient ability to explain the IPO underpricing problem. The phenomenon of high underpricing in gem is largely due to the heterogeneous belief behavior of IPO participants. The phenomenon of high underpricing is not conducive to the effective allocation of capital market resources. Based on the reasons of the formation of prior heterogeneity belief and posteriori heterogeneity belief and its influence on IPO underpricing, this paper puts forward some relevant policy suggestions to solve the problem of high underpricing of IPO in gem from the perspective of new issue mechanism reform.
【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
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