新股上市初期溢价及长期弱势表现的实证研究和展望

发布时间：2018-06-15 14:10

本文选题：首次公开发行 + 行业基准　；参考：《上海交通大学》2014年硕士论文

【摘要】：新股上市初期溢价和上市后长期弱势表现在中国A股市场上较为常见,并得到了广泛关注。本文从理论上提出了基于弱势函数的研究框架,全面分析了不同基准指数的线性回归模型、不同横截面平均方法的效果,并对方法选择给出恰当建议。在2009-2012年上市新股中,本文基于大样本、长周期、高频率的面板数据,采用严谨的统计学方法进行假设检验和显著性分析,得到弱势函数、累积弱势函数的经验估计结果和置信区间,并观察与新股上市首周收益率之间的横截面相关性。在0.01的显著性水平上,我们发现新股上市后具有明显的行为特征:上市后前112周内长期持续弱于行业基准,且与上市当周收益率有显著的负相关性;在上市后1周、3个月、1年、3年等特定时间窗内的表现显著异于行业基准,且与上市当周收益率有显著的相关性。从行为金融学角度理解,我们认为这些行为特征与限售股解禁流通具有密切联系。综合定量分析和定性分析,我们不仅得到了许多直观而有意义的实证研究结论,而且从中揭示出具有一定普遍性的经验规律。结合理论研究和制度研究,本文对中国新股发行上市制度提出思考和建议,并对2014年初新股发行上市制度改革进行分析和展望。在弱势函数研究框架下还可以进一步开展更多其他的实证研究,这有助于学术界、实务界和监管当局认识、理解和进一步提升新股IPO市场的有效性。
[Abstract]:The initial premium and long-term weakness of new shares are common in Chinese A-share market and have received wide attention. In this paper, a research framework based on weak function is put forward theoretically, and the effects of the linear regression models with different benchmark indices and the average method of different cross sections are analyzed in an all-round way, and the appropriate suggestions for the selection of methods are given. In 2009-2012, based on large sample, long period, high frequency panel data, we use rigorous statistical method to carry out hypothesis test and significant analysis, and get the weak function. The empirical estimation results and confidence intervals of the cumulative weak function and the cross-sectional correlation between the cumulative weak function and the first-week yield of new shares are observed. At the significant level of 0.01, we found that the behavior of new shares after listing has obvious characteristics: the first 112 weeks after listing continued to be weaker than the industry benchmark, and there is a significant negative correlation with the return of the week after listing; The performance in a specific time window of 1 week, 3 months, 1 year and 3 years after listing is significantly different from that of the industry benchmark, and has a significant correlation with the return of the week after listing. From the perspective of behavioral finance, we believe that these behavioral characteristics are closely related to the release of restricted shares. By synthesizing quantitative analysis and qualitative analysis, we have not only obtained many intuitive and meaningful empirical conclusions, but also revealed some universal empirical laws. Combined with theoretical and institutional studies, this paper puts forward some thoughts and suggestions on China's IPO system, and analyzes and looks forward to the reform of IPOs listing system at the beginning of 2014. More empirical studies can be carried out under the framework of weak function, which is helpful to the academic, practical and regulatory authorities to understand, understand and further enhance the effectiveness of IPO market.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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