我国创业板IPO定价效率中短期多时段比较研究
发布时间：2018-12-26 13:50
【摘要】：创业板在我国推出已经两年多了,如今已成为我国资本市场重要的组成部分。然而自推出之日起,创业板就一直受到高发行市盈率和高IPO抑价率的困扰,创业板IPO的定价效率究竟如何,成为了理论界关注的焦点。 本文运用金融学、计量经济学的相关理论,以创业板IPO定价效率中短期多时段比较为主线,对我国创业板IPO定价效率按不同分类进行比较分析,并试图找出我国创业板IPO定价效率在不同时段按不同分类产生差异的原因,最后对我国创业板IPO定价效率的影响因素进行多元线性回归分析,并对如何提高我国创业板IPO定价效率给出政策建议。 本文首先对IPO定价效率做出界定,接着从回顾创业板的发展历程,引出了我国创业板当前面临的突出矛盾,即高发行市盈率和高IPO抑价率,对这两个问题分别进行统计分析,找出其异象的原因,即我国创业板一级和二级市场都存在供求失衡引起的。接着选取我国创业板IPO定价效率的衡量指标,使用新股IPO上市后一段时间的收盘价均价来代替首发上市日收盘价。然后本文就我国创业板IPO定价效率中短期四个时段分别从行业,承销商声誉,首发上市日的不同分类进行比较分析,发现成长性高的行业IPO定价效率比较低；承销商声誉高的IPO定价效率比较高；冷市场时的IPO定价效率要高于热市场时的定价效率。笔者通过对中短期不同时段之间IPO定价效率的互相比较得出：IPO短期定价效率高并不表明IPO中期定价效率就高；总体上我国创业板IPO一年定价效率最高,IPO中期定价效率要比IPO短期定价效率更合理些。 通过对我国创业板IPO一年定价效率的影响因素进行多元线性回归分析,发现对我国创业板IPO一年定价效率的主要影响因素有市场指数,抑价率和净资产收益率增长率 最后,本文从提高我国创业板IPO定价效率的角度提出政策建议,认为应当逐步推进发行审批核准制向注册制的转变,并同步完善信息披露制度、保荐人制度,增加流通股比率,IPO发行时引入绿鞋机制等。
[Abstract]:Gem has been launched in China for more than two years, now it has become an important part of our capital market. However, since the launch of gem, gem has been troubled by high price-earnings ratio and high IPO underpricing rate. The efficiency of gem IPO pricing has become the focus of the theoretical circle. Based on the related theories of finance and econometrics, this paper makes a comparative analysis of the pricing efficiency of gem IPO according to different classifications, taking the comparison of the pricing efficiency of gem IPO in the short and medium term as the main line. It also tries to find out the reasons why the pricing efficiency of gem IPO varies according to different classification in different periods. Finally, the factors affecting the pricing efficiency of gem IPO are analyzed by multivariate linear regression analysis. And how to improve the efficiency of gem IPO pricing policy recommendations. This paper first defines the efficiency of IPO pricing, then from the review of the gem development process, leads to the current gem facing prominent contradictions, that is, high issue price-earnings ratio and high IPO underpricing rate, the two issues are analyzed statistically. Find out the reason of its anomaly, that is, there is imbalance between supply and demand in the growth enterprise market of our country. Then we select the index of IPO pricing efficiency in China's gem and use the average closing price of the new IPO to replace the closing price of the IPO day. Then this paper compares and analyzes the four periods of IPO pricing efficiency in China's gem from industry, underwriter reputation and IPO date, and finds that the IPO pricing efficiency of the industry with high growth is relatively low. The pricing efficiency of IPO with high underwriter reputation is higher than that of IPO in cold market than in hot market. By comparing the pricing efficiency of IPO between different periods of time, the author concludes that the high short-term pricing efficiency of IPO does not mean that the medium-term pricing efficiency of IPO is high; In general, the IPO pricing efficiency of gem is the highest in one year, and the medium-term pricing efficiency of IPO is more reasonable than that of IPO. Through the multivariate linear regression analysis on the influencing factors of the one-year pricing efficiency of IPO in China's gem, it is found that the main influencing factors on the one-year pricing efficiency of the gem are the market index. Finally, from the point of view of improving the efficiency of IPO pricing in China's gem, this paper puts forward some policy suggestions, and holds that the system of issuing, approving and approving should be gradually transformed into the registration system. And improve the information disclosure system, sponsor system, increase the ratio of circulating shares, the introduction of green shoes mechanism when IPO issue.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51
本文编号：2392212
[Abstract]:Gem has been launched in China for more than two years, now it has become an important part of our capital market. However, since the launch of gem, gem has been troubled by high price-earnings ratio and high IPO underpricing rate. The efficiency of gem IPO pricing has become the focus of the theoretical circle. Based on the related theories of finance and econometrics, this paper makes a comparative analysis of the pricing efficiency of gem IPO according to different classifications, taking the comparison of the pricing efficiency of gem IPO in the short and medium term as the main line. It also tries to find out the reasons why the pricing efficiency of gem IPO varies according to different classification in different periods. Finally, the factors affecting the pricing efficiency of gem IPO are analyzed by multivariate linear regression analysis. And how to improve the efficiency of gem IPO pricing policy recommendations. This paper first defines the efficiency of IPO pricing, then from the review of the gem development process, leads to the current gem facing prominent contradictions, that is, high issue price-earnings ratio and high IPO underpricing rate, the two issues are analyzed statistically. Find out the reason of its anomaly, that is, there is imbalance between supply and demand in the growth enterprise market of our country. Then we select the index of IPO pricing efficiency in China's gem and use the average closing price of the new IPO to replace the closing price of the IPO day. Then this paper compares and analyzes the four periods of IPO pricing efficiency in China's gem from industry, underwriter reputation and IPO date, and finds that the IPO pricing efficiency of the industry with high growth is relatively low. The pricing efficiency of IPO with high underwriter reputation is higher than that of IPO in cold market than in hot market. By comparing the pricing efficiency of IPO between different periods of time, the author concludes that the high short-term pricing efficiency of IPO does not mean that the medium-term pricing efficiency of IPO is high; In general, the IPO pricing efficiency of gem is the highest in one year, and the medium-term pricing efficiency of IPO is more reasonable than that of IPO. Through the multivariate linear regression analysis on the influencing factors of the one-year pricing efficiency of IPO in China's gem, it is found that the main influencing factors on the one-year pricing efficiency of the gem are the market index. Finally, from the point of view of improving the efficiency of IPO pricing in China's gem, this paper puts forward some policy suggestions, and holds that the system of issuing, approving and approving should be gradually transformed into the registration system. And improve the information disclosure system, sponsor system, increase the ratio of circulating shares, the introduction of green shoes mechanism when IPO issue.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51
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