基于随机边界模型的IPO抑价现象研究

发布时间：2019-05-06 12:13

【摘要】：IPO抑价指的是新股首次公开发行的首日收盘价高于其发行价格的经济现象。IPO抑价现象是世界范围内的资本市场难题，国内外学者已经对其进行了长期的探讨和深入的研究。本文基于随机边界分析模型和多元线性回归模型研究我国IPO抑价现象，目的在于解释我国IPO抑价现象的原因。本文样本数据选取的是1993年到2010年间在沪深主板公开发行，并且选取的样本覆盖了大部分行业板块。本文首先把影响IPO抑价的各个因素归为公司业绩因素、发行承销政策因素、市场波动与投资者群体心理因素和其他因素，分别就这些因素如何影响IPO抑价进行了较为全面和深入的分析，并从理论上分析了这些因素与IPO抑价率的相关性。随后，在接下来的章节中，引入了随机边界模型，对随机边界模型做了简要的介绍和公式推导，，以及分析了随机边界模型在IPO定价效率研究中的适用性。接着，我们运用随机边界模型和多元线性回归模型进行实证分析，判断出样本数据不存在明显的上边界，存在着明显的随机下边界,这意味着,新股在一级发行市场上的定价是有效率的，导致新股首日上市交易价格畸高的原因来自二级市场的非理性因素，市场的过度需求和投机炒作导致高抑价率。为了进一步验证各因素对IPO抑价的影响，本文又通过多元线性回归模型进行相关性检验。论文最后针对这些因素和分析结果提出相应政策上的建议。
[Abstract]:IPO underpricing refers to the economic phenomenon that the initial public offering price is higher than the initial public offering price. IPO underpricing is a difficult problem in the capital market in the world, which has been discussed and deeply studied by domestic and foreign scholars for a long time. This paper studies the phenomenon of IPO underpricing in China based on stochastic boundary analysis model and multivariate linear regression model in order to explain the causes of IPO underpricing in China. In this paper, the sample data is selected from 1993 to 2010 in Shanghai and Shenzhen main board public offering, and selected samples cover most of the industry plate. In this paper, the factors that affect IPO underpricing are classified as company performance factor, issue underwriting policy factor, market fluctuation, investor group psychological factor and other factors. How these factors affect IPO underpricing is analyzed comprehensively and deeply, and the correlation between these factors and IPO underpricing rate is analyzed theoretically. Then, in the following chapter, the stochastic boundary model is introduced, the stochastic boundary model is briefly introduced and derived, and the applicability of stochastic boundary model in the study of IPO pricing efficiency is analyzed. Then, we use stochastic boundary model and multivariate linear regression model for empirical analysis to determine that there is no obvious upper boundary in the sample data, and there is obvious stochastic lower boundary, which means that there is no obvious upper boundary in the sample data. The pricing of new shares in the primary issue market is efficient. The reason for the abnormal high price of new shares on the first day of trading comes from the irrational factors in the secondary market. The excessive demand and speculative speculation in the market lead to a high underpricing rate. In order to verify the influence of various factors on IPO underpricing, the correlation test is carried out by multi-variable linear regression model. Finally, according to these factors and the results of the analysis, the corresponding policy recommendations are put forward.
【学位授予单位】：哈尔滨工程大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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