我国新股发行制度改革对IPO首日超额收益的影响研究

发布时间：2018-04-29 22:28

本文选题：IPO + 改革　；参考：《上海外国语大学》2017年硕士论文

【摘要】：由于特殊的社会历史条件影响,我国证券市场新股发行制度从创立之初就不健全,导致我国新股发行市场上产生了IPO首日超高收益的现象,这个问题引起了其他诸如一级市场资金配置失衡、市场资金大幅流向发行方等问题。迫于市场的压力,同时也是继续完善市场制度的要求,我国证监会自2004年发布《关于首次公开发行股票试行询价制度若干意见》并首次在新股发行过程中启用累计投标询价制以来,多次发布公告加快新股发行制度改革的进程,2009年证监会又根据新出现的情况,对新股发行制度进行大幅度的调整。其后几年新股发行体制改革的持续推进。从审批制到核准制,从网上定价发行到网上定价网下配售共同发行,新股发行中政府干预力量减弱,市场化程度越来越高。那么改革过程中的各种举措是否能有效改善我国新股发行首日超高收益的情况?IPO首日收益率影响要素的显著性变动情况是什么样的?这些问题在检测新股发行的各项有关制度改革效果上有着很强的实际意义。本文首先在第一章对文章的研究背景和目的、使用的方法、内容框架和创新之处进行简述。然后通过第二章对IPO首日超额收益理论现象和相关制度影响研究,对国内外理论模型进行了整理和评述。接着在第三章从定价方式、发售方式两个方面阐述我国新股发行制度改革进程。第四章结合理论分析制度改革可能对IPO首日超额收益的影响。在第五章实证检验中本文基于2001年至2016年近15年间中国新股上市首日收益情况,运用描述性统计、单因素方差分析和多元回归分析等方法对改革效果进行了全面的考察。研究发现,我国多次新股发行制度改革有一定成效,改革后新股抑价现象显著改善,在阶段式股改的促进下,股价信息含量有了温和的提升,公开信息对抑价的解释力增强。但改革对溢价影响是不确定的,二级市场热销状况显著,我国股票市场投机现象依旧严重。最后,在对前面理论和实证分析结论进行总结的基础上,文章对如何更有效的调节资金配置、降低IPO首日超额收益率提出了意见。
[Abstract]:Due to the influence of special social and historical conditions, the new issue system of China's securities market has not been perfect from the beginning of its establishment, which has led to the phenomenon of super-high income on the first day of IPO in China's new stock issuance market. This has caused other problems, such as the imbalance in the allocation of capital in the primary market, and the substantial flow of market funds to issuers. Under the pressure of the market, at the same time, it is also the requirement to continue to improve the market system. Since 2004, China's Securities Regulatory Commission issued "some opinions on the trial Inquiry system of initial Public offering stocks" and for the first time introduced the accumulative Tender Inquiry system in the process of issuing new shares. Several announcements were issued to speed up the reform of the new issue system. In 2009, the CSRC adjusted the new issue system by a large margin according to the new situation. In the following years, the reform of new issue system continued to advance. From the examination and approval system to the approval system, from the online pricing issue to the online pricing offline placing issue, the government intervention power is weakened and the degree of marketization is higher and higher in the new issue. So in the process of reform can all kinds of measures effectively improve the first day of new stock issuance in our country the situation of super-high earnings and the first day of IPO yield factors of the significant changes in the situation? These problems have strong practical significance in detecting the effect of system reform of new issue. In the first chapter, the research background, purpose, methods, content framework and innovation of the paper are briefly described. Then through the second chapter to the IPO first day excess return theory phenomenon and the related system influence research, has carried on the collation and the commentary to the domestic and foreign theory model. Then in the third chapter, the reform process of new issue system in China is expounded from two aspects: pricing mode and selling mode. Chapter four analyzes the influence of system reform on the first day excess return of IPO. In the fifth chapter, based on the first day earnings of the new stock market in China from 2001 to 2016, the paper makes a comprehensive study on the effect of the reform by using descriptive statistics, single factor variance analysis and multiple regression analysis. It is found that the reform of the multi-issue system of new shares in China has achieved some results, and the phenomenon of underpricing of new shares has been significantly improved after the reform. Under the promotion of the stage reform, the information content of the stock price has been moderately enhanced, and the explanatory power of the public information to the underpricing has been enhanced. However, the influence of reform on premium is uncertain, the hot selling situation in secondary market is obvious, and the speculation in Chinese stock market is still serious. Finally, based on the conclusion of theoretical and empirical analysis, this paper puts forward some suggestions on how to adjust the allocation of funds more effectively and reduce the first day excess return of IPO.
【学位授予单位】：上海外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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