基于承销商与发行商博弈行为视角的IPO发行与抑价研究

发布时间：2018-01-13 22:34

本文关键词：基于承销商与发行商博弈行为视角的IPO发行与抑价研究　出处：《哈尔滨工业大学》2014年硕士论文　论文类型：学位论文

更多相关文章： IPO抑价 承销商 发行商 博弈行为

【摘要】：2005年1月我国开始实施新股询价制，但运行效果一直不太理想，主要是IPO市场高抑价率现象。2009年6月推行了新股发行体制改革，，出现了“高市盈率、高发行价、高募资额”的“三高”现象，“破发”现象随之涌现。这些现象反映了股票市场参与主体将新股定价及其分配过程看作一次巨大的利益分享或博弈的过程。新股发行体制改革后，发行商和承销商的行为得到了释放，发行商和承销商对发行价格调整的自主性增加，成为新的利益博弈主体。基于承销商和发行商博弈行为的角度，对我国股票市场上的IPO抑价现象进行研究，具有重要的理论和现实意义。本文首先对承销商及发行商的行为与IPO抑价的关系进行了理论上的分析，承销商的行为体现了矛盾定价的心理，既有高定价的动机，又有低定价的考虑。发行商追求的是募集资金总额的最大化，发行价越高越好，具有低抑价的动机。在理论分析的基础上，建立了承销商与发行商之间的非对称演化博弈模型，进一步分析得出了模型的演化稳定策略和演化稳定状态，并对演化稳定状态进行了讨论。通过对演化稳定状态的讨论，认为新旧询价制下的IPO抑价率存在差异，并提出了发行商质量与IPO抑价率负相关、承销商声誉与IPO抑价率正相关的假设。在实证研究部分，本文主要从发行商与承销商的角度选取了变量，除此之外还包括一些对IPO抑价率产生影响的因素，这些指标共同作为解释变量构建了回归模型。首先根据不同的分组标准，对样本进行描述性统计分析，分析结果显示新旧询价制下的IPO呈现出不同的特征，一些指标变量发生明显变化，而这些变化正体现出了新股发行体制改革的一些效果。根据回归分析的结果，“发行商质量与IPO抑价率负相关的假设”并不完全成立，博弈模型的假设没有被很好地验证；“承销商声誉与IPO抑价率正相关的假设”显著成立，与演化博弈模型的假设一致；其余解释变量除了上市等待期，原假设均显著成立。
[Abstract]:In January 2005, China began to implement the new inquiry system, but the result has been less than ideal, mainly is the IPO market high underpricing phenomenon in June.2009 launched the IPO reform, the emergence of the "high price earnings ratio, high issue price, high volumes" and "three high" phenomenon, the "broken" phenomenon emerged these phenomena reflect the stock market participants will process the pricing and allocation of new shares as a great profit sharing or the game. After the IPO reform, the issuer and underwriter's behavior has been released, the issuer and underwriter autonomy on the issue of price adjustment increase, become the new subject of interest game the Underwriters and issuers. Game behavior based on the perspective of underpricing of Chinese stock market IPO, has important theoretical and practical significance.
Firstly, relationship between behavior and IPO of the Underwriters and the issuer of the underpricing of theoretical analysis, the underwriter's behavior reflects the contradiction of pricing psychology, has not only high pricing motives, and low pricing considerations. The publisher is the pursuit of the maximization of the total funds raised, the issue price is higher well, with low underpricing motivation. On the basis of theoretical analysis, established asymmetric evolutionary game model between the Underwriters and issuers, further analysis of the model of evolutionary stable strategy and evolutionary stable state and evolutionary stable state is discussed. Through the discussion on the evolution of the steady state, that the old and new the inquiry system under the IPO underpricing rate differences, and puts forward the issuer quality and IPO underpricing rate is negatively related, underwriter reputation and IPO underpricing rate is positively related to the hypothesis.
In the part of empirical research, this article mainly from the issuer and underwriter of selected variables, in addition to some of the factors affect the rate of IPO under price, these common indicators as explanatory variables to construct the regression model. According to the grouping of different standards, analysis of the sample descriptive statistics, analysis results show the old and new inquiry system IPO presents different characteristics, some indexes changed significantly, and these changes are reflected in some of the effects of the IPO reform. According to the results of the regression analysis, the issuer quality and IPO underpricing rate is negatively related to the hypothesis "is not fully established, the game model of the hypothesis has not been good verification;" underwriter reputation and IPO underpricing rate is positively related to the hypothesis is evident, consistent with the evolutionary game model hypothesis; other explanatory variables listed in addition to the waiting period, the original The hypothesis is significant.

【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224.32;F832.51

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