我国新股发行高初始收益率影响因素的实证分析

发布时间：2019-06-16 13:48

【摘要】：我国经济处于转型阶段，在我国股市经历的二十多年的时间里，对新股发行过程中高初始收益率的原因有着激烈的讨论，很多学者将这一现象的原因归结为制度的原因。但是自2008年以来，“三高”现象①严重，IPO破发现象屡屡发生，这样的现象并不意味着我国新股发行中的高初始收益率问题已经得到缓解。本文试图通过对IPO初始收益率问题研究的理论文献综述以及对中国特有的市场环境以及制度背景进行分析，，尝试寻找影响我国新股发行高初始收益率现象的因素。并且通过逐步回归分析进行实证研究，从而找到理论与现实相符与不符之处。在实证分析中，本文根据现行主流理论以及中国的现实背景，以股权分置改革后发行的股票为样本，通过三个层面的影响因素设计了22个可能对IPO高初始收益率有影响的指标，并且通过因子分析与逐步回归分析的方法找到对IPO高初始收益率有显著影响的因素。实证结果表明：虽然西方对IPO高初始收益率的研究起步较早，并且西方的理论体系也比较完善，但是由于我们国家特殊的国情，西方的理论并不完全能够解释中国的IPO高初始收益率的问题。我们国家缺乏西方理论中的理想的市场，这制约了西方理论的解释能力，在我们国家对IPO初始收益率起显著影响的因素主要来自市场层面，特别是二级市场的整体情况。
[Abstract]:China's economy is in the transition stage. In the more than 20 years experienced by China's stock market, there has been a heated discussion on the reasons for the high initial rate of return in the process of issuing new shares. Many scholars attribute the reason for this phenomenon to the reason of the system. However, since 2008, the phenomenon of "three high" has been serious, and the phenomenon of IPO breaking has occurred repeatedly, which does not mean that the problem of high initial return in the issuance of new shares in China has been alleviated. Based on the theoretical literature review of the initial rate of return of IPO and the analysis of the unique market environment and institutional background of China, this paper attempts to find out the factors that affect the phenomenon of high initial rate of return of new shares in China. And through stepwise regression analysis for empirical research, so as to find out the theory and reality consistent with and inconsistent with. In the empirical analysis, according to the current mainstream theory and the realistic background of China, taking the stocks issued after the split share structure reform as the sample, through three levels of influencing factors, this paper designs 22 indicators that may have an impact on the high initial return of IPO, and finds out the factors that have a significant impact on the high initial return of IPO by means of factor analysis and stepwise regression analysis. The empirical results show that although the research on the high initial rate of return of IPO started early in the West, and the theoretical system of the West is also relatively perfect, because of the special national conditions of our country, the western theory can not fully explain the problem of the high initial rate of return of IPO in China. Our country lacks the ideal market in the western theory, which restricts the explanatory ability of the western theory. The factors that have a significant influence on the initial rate of return of IPO in our country mainly come from the market level, especially the overall situation of the secondary market.
【学位授予单位】：中国社会科学院研究生院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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