市场交互机制对新股定价作用的研究和政策建议

发布时间：2019-06-03 04:35

【摘要】：在二十多年的发展过程中,我国新股发行体制不断经历着从行政管制到市场运作的变革和演进。而随着其市场化进程的深化,新生的矛盾和问题不断呈现,使得发行体制依旧备受争议。 2005年询价机制的实施以及2009年、2010年两度新股发行定价体制改革后,新股定价进一步市场化,定价主体逐步倾向于投资者,使得新股定价效率有所提升。但同时也出现了定价水平大幅上扬,而投资收益则显著收窄的情况。本文详细分析了：当前流通市场中,前期新股投资回报率、承销商商誉、所属行业估值水平等因素对发行市场新股定价水平的影响,以及新股定价水平对流通市场短期和中长期投资回报水平的影响。将发行、流通市场的作用联系起来,并通过回归分析加以实证。阐明了两个市场通过交互作用机制,促使新股发行定价向市场合理估值水平接轨。并在新股估值偏低时提升定价水平,新股估值偏高时促进定价下滑,使得IPO定价能围绕市场估值区间上下波动。肯定了新股发行定价体制改革后,IPO定价水平走高中部分合理因素。不过仍然存在的制度、效率缺失,导致IPO定价在围绕市场估值区间波动时,还会呈现程度较大和持续时间较长的偏离。这不利于流通市场投资者的公平交易和投资收益。因此进一步推进市场化和制度改革的关键在于明确各参与者在市场中的地位和作用,改善券商声誉机制,上市公司投资效率和业绩变脸等因素在新股定价中的无效或负面作用,以充分发挥市场机制,进一步提高新股定价的效率,促进新股投资由短期投机炒作行为转变为长期战略性布局的投资行为。
[Abstract]:In the course of more than 20 years of development, the issuing system of new shares in China has been undergoing continuous reform and evolution from administrative regulation to market operation. With the deepening of its marketization process, the new contradictions and problems continue to emerge, so that the issuance system is still controversial. After the implementation of inquiry mechanism in 2005 and the reform of new share offering pricing system in 2009 and 2010, the pricing of new shares was further marketized, and the pricing subjects gradually tended to investors, which improved the pricing efficiency of new shares. But at the same time, there has been a sharp rise in pricing levels, while investment returns have narrowed significantly. This paper analyzes in detail the influence of the return on investment of new shares in the current circulation market, the goodwill of underwriters and the valuation level of the industry on the pricing level of new shares in the issuing market. And the impact of the pricing level of new shares on the short-and medium-and long-term return on investment in the circulation market. The role of issuance and circulation market is linked, and the regression analysis is used to prove it. This paper expounds the interaction mechanism between the two markets to promote the pricing of new shares to be in line with the reasonable valuation level of the market. It also increases the pricing level when the valuation of new shares is on the low side, and promotes the decline of pricing when the valuation of new shares is on the high side, which makes IPO pricing fluctuate around the market valuation range. After the reform of the pricing system of new share issuance, the pricing level of IPO goes to some reasonable factors in senior high school. However, there is still a lack of efficiency, resulting in IPO pricing around the market valuation range fluctuations, will also show a large degree of deviation and a long period of time. This is not conducive to fair trading and investment returns for investors in the circulation market. Therefore, the key to further promote the marketization and system reform lies in defining the position and role of each participant in the market, improving the reputation mechanism of securities firms, and the ineffective or negative role of listed companies in the pricing of new shares, such as investment efficiency and performance change. In order to give full play to the market mechanism, further improve the efficiency of new stock pricing, and promote the transformation of new stock investment from short-term speculative speculation to long-term strategic layout of investment behavior.
【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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