创投机构特征、IPO后减持套现行为与超额收益研究

发布时间：2018-01-01 02:03

本文关键词：创投机构特征、IPO后减持套现行为与超额收益研究　出处：《重庆大学》2014年硕士论文　论文类型：学位论文

【摘要】：创投机构自进入大众视野以来就被奉为链接创业企业所有权和经营权、促进机构投资者与创业者间资金互动的桥梁，以及创业企业的“孵化器”、“助推器”和提升公司价值的“贴身专家”。然而，创投机构在促进创业板企业创新、推动其迅速创富的过程中，却暴露出令人匪夷所思的减持套现怪像：锁定期满立即“起身离席”、“密集套现”。这种现象不但对创业企业的后续经营极为不利，而且将让处于“炒股接力赛”末端的普通投资者损失惨重，甚至可能引起二级市场股票价格动荡，加剧创业板市场的运行风险。因此，研究创投机构自身特征、IPO后减持套现行为以及超额收益三者的深层次关系具有重要的理论价值和现实意义。首先，本文对创业投资的概念、退出方式以及创投机构特征的内涵进行分析，并回顾了创投机构特征、IPO后减持套现以及其带来的超额收益三方面的研究文献进行梳理，尔后对现有研究文献进行简要的述评，提出了本文的研究方向。其次，对创业投资市场和创业板的现状进行分析；梳理创业投资、创业板和创业企业的互动关系；剖析了创投机构IPO后减持的现状、原因以及经济后果。再次，本文选取创业板市场2009年10月31日至2011年12月31日的89上市公司、105家创投机构的减持套现记录为研究样本，通过研究假设、描述性统计、相关性分析、事件研究法和多元线性回归等理论工具对剖析创投机构自身特征、IPO后减持套现行为以及超额收益三者的深层次关系。实证研究发现：（1）创投机构IPO后减持套现窗口期前后创业企业股票的平均超额收益率处于一个倒“V”的态势，这种现象证实创投机构在减持退出这个过程中的确获取了正常投资回报之外的超额收益，说明大部分创投机构的减持套现行为具有择时机会主义特征。（2）创投机构声誉高低与其IPO减持套现窗口期获得的累计超额收益呈负相关关系；相比于非联合投资创投机构，联合投资创投机构IPO后减持套现的超额收益更低；持股比例越高的创投机构其IPO减持套现的超额收益越低；相比于外资创投机构，国有创投机构的超额收益更低，民营背景的更高。（3）创投机构声誉高低与其IPO后减持套现的首次时间呈正相关关系，与其首次减持比例和累计减持比例呈负相关关系；创投机构持股比例高低与其IPO后减持套现的首次时间呈正相关关系，与其首次减持比例和累计减持比例呈负相关关系；相较于非联合投资的创投机构，联合投资的创投机构IPO后减持套现的意愿相对较弱——首次减持时间更长，首次减持比例更小，累计减持比例更小；外资背景创投机构首次减持时间与国有背景的相比并无明显差异，而比民营创投机构时间更长；在首次减持比例方面，三种背景的创投机构并无明显的差异；在累计减持比例方面，，外资背景创投机构相比于国有背景的更大，相比于民营的更小。最后，本文基于现场分析和实证分析结果，主要从强化创投声誉机制作用效果（如完善创投机构声誉评估标准、强化发审委员对创投机构过去行为审查、建立IPO审核申请保证金制度等等）、规范创投机构行为（完善创投高管激励约束机制、严查创投机构的突击入股行为）两个方面提出相应的政策建议。
[Abstract]:Venture capital institutions since entering the public view is regarded as the ownership and the management link enterprise, bridge interaction to promote institutional investors and entrepreneurs and venture capital, the "incubator" and "booster" and enhance the value of the company's "personal experts". However, venture capital institutions in promoting enterprise innovation and promote the rapid wealth creation process, has exposed a fantastic cash holdings as strange: the expiration of the lock immediately got up and left, "" intensive cash ". This phenomenon not only the management of venture enterprises is extremely unfavorable, and will let in the stock relay at the end of the ordinary investors suffered heavy losses, even may cause the two stock market price volatility, high operating risk of the GEM market. Therefore, study on the characteristics of venture capital institutions, IPO cash holdings and excess return of three The deep relationship has important theoretical value and practical significance.
First of all, the concept of venture capital, analyzes the connotation and characteristics of the exit ways of venture capital institutions, and reviews the characteristics of venture capital institutions, IPO reduction research literature in three aspects of the cash and the excess proceeds to sort out, and then through brief review on the existing literature, the research direction of this article. Secondly the status quo of venture capital market, and the gem analysis; sort of venture capital, the gem and the interaction between enterprises; analysis of venture capital institutions after IPO reduction of the present situation, reasons and economic consequences. Thirdly, this paper selects 89 listed companies in the GEM market from October 31, 2009 to December 31, 2011, 105 of the holdings of venture capital institutions Cash records as the research sample, through the research hypothesis, descriptive statistics, correlation analysis, theory of event study and multivariate linear regression analysis on venture Construction of its own characteristics, IPO after the reduction of cash, as well as the excess income of the deep relationship between the three.
The empirical study found that: (1) venture capital institutions IPO minus the average excess returns before and after the cash window stage of enterprise stock rate is in an inverted "V" trend, the phenomenon that excess returns of venture capital institutions to exit this process there is a normal return on investment in reducing outside, most venture capital institutions cash holdings behavior with timing opportunism characteristics. (2) the reputation of venture capital institutions and their IPO holdings of cash acquired cumulative window period is negatively related to excess return; compared to the non joint venture capital investment organization, a joint investment institutions IPO after the cash holdings of the excess return of venture capital is lower; the higher the proportion of institutional ownership. The IPO of the cash holdings of the excess income is lower; compared to foreign venture capital institutions, state-owned venture capital institutions excess returns are lower and higher private background. (3) and the level of venture capital institutions reputation after IPO For the first time reduction is positively related to cash holdings for the first time, with its proportion and the cumulative reduction ratio is negatively correlated; venture capital shareholding ratio to a level with IPO reduction for the first time are positively related to cash holdings for the first time, with its proportion and the cumulative reduction ratio was negatively correlated; compared to the non joint venture capital institutions investment, joint investment of venture capital institutions IPO cash holdings will relatively weak reduction -- for the first time longer, the first reduction ratio is smaller, the cumulative reduction ratio is smaller; the background of foreign venture capital institutions for the first time, the reduction of time and state background had no significant difference compared, rather than private venture capital institutions longer; in the first reduction holding ratio, difference of venture capital institutions three background has no obvious; the cumulative reduction ratio, the background of foreign venture capital institutions compared with state-owned background more than Smaller in the private sector.
Finally, this paper based on the results of on-site analysis and empirical analysis, mainly from the strengthening effect of venture capital reputation mechanism (such as perfecting venture capital institutions reputation evaluation standards, strengthen the trial of members of the venture capital institutions past behavior review, establish IPO audit application margin system and so on), specification of venture capital institutions behavior (perfect venture capital executives incentive and restraint mechanisms, assault shares investigation venture capital institutions) put forward the corresponding policy suggestions in two aspects.

【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.39;F832.51

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