中小板股IPO的初始高收益问题研究

发布时间：2018-01-04 05:08

  本文关键词：中小板股IPO的初始高收益问题研究　出处：《哈尔滨商业大学》2014年硕士论文　论文类型：学位论文

  更多相关文章： 中小企业板 初始高收益 抑价 溢价

【摘要】：IPO初始高收益是资本市场存在的一种异常现象。这种现象不停的在发达国家和非发达国家的股票市场上上演,只不过发达国家股票市场超额收益率较低而发展中国家较高。目前的研究中主要有基于一级市场抑价的解释和基于二级市场溢价的解释。但由于每个国家的股票市场特色不同,没有一种解释可以放之四海而皆准。研究中国中小板IPO初始高收益的问题,也就必须基于中国特色的市场制度,再从一级市场股票发行价格定价的环节以及二级市场交易价格形成的环节来研究抑制我国中小板市场的IPO初始高收益才更加有价值。 我国中小企业板块于2004年5月17日设立。由于其板块发展时间较短,虽然市场制度在不断的完善,但股票数据的年份和数量相对于主板市场较少；学术界针对中小企业板的争论大都停留在定性的范畴,目前很少有学者选取股改以后的数据作为年度观测值,对其进行理论探讨和实证研究。鉴于此,以中小企业板块自身特点为切入点,深入探讨中小板IPO初始收益的存在问题,对一级市场抑价和二级市场溢价及现行的股票市场制度三个方面现状进行分析,结合国内外一级市场抑价和二级市场溢价的相关理论,以2011年—2012年,在中小板上市的490家公司为样本,选取代表性的指标,进行实证分析,证实中小板市场确实存在IPO初始高收益现象,并且IPO首日超额收益不仅仅是一级市场定价效率的问题,同时也是二级市场交易效率的体现,以及提出使中小板IPO趋于合理化、一级市场与二级市场相互调节、完善中小板市场信息披露、投资者更加理性化的相关对策,促使我国形成完善的一、二级股票交易市场。
[Abstract]:The initial high yield of IPO is an abnormal phenomenon in the capital market. This phenomenon is unceasing in the developed countries and non-developed countries in the stock market. Only the developed countries have lower excess returns than the developing countries. The current research mainly includes the explanation based on the primary market underpricing and the secondary market premium. But because of the stock of each country. The market features are different. There is no one explanation that can be used everywhere. To study the problem of initial high income of Chinese small and medium board IPO, we must base on the market system with Chinese characteristics. Then it is more valuable to study the initial high yield of IPO in China's small and medium-sized market from the aspects of the pricing of the issuing price of the primary market and the formation of the trading price in the secondary market. China's small and medium-sized enterprises plate was established in May 17th 2004. Because of its short development time, although the market system is constantly improving, but the number and year of stock data is less than the main board market; At present, few scholars choose the data after the stock reform as the annual observation value to carry on the theoretical discussion and the empirical research. In view of this, few scholars choose the stock reform data as the annual observation value. Taking the characteristics of small and medium-sized enterprises as the starting point, this paper probes into the existing problems of the initial income of IPO in small and medium-sized enterprises. First market underpricing and secondary market premium and the current stock market system in three aspects of the analysis, combined with the domestic and foreign primary market underpricing and secondary market premium related theories. From 2011 to 2012, a sample of 490 companies listed on small and medium sized boards was selected for empirical analysis to confirm the existence of IPO initial high returns in small and medium-sized board markets. Moreover, the first-day excess return of IPO is not only a question of pricing efficiency in the primary market, but also a reflection of the transaction efficiency in the secondary market. The paper also proposes to rationalize the IPO of the small and medium-sized market. The primary market and the secondary market regulate each other, perfect the information disclosure of the small and medium-sized market, and make the investors more rational, and promote the formation of the perfect first and second class stock trading market in our country.
【学位授予单位】：哈尔滨商业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51
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本文编号：1377161