基于公司特征视角的创业板IPO抑价实证研究

发布时间：2018-02-01 17:49

本文关键词： 创业板 IPO抑价公司特征信息不对称　出处：《广东财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：IPO抑价，是指新股票发行上市首日收盘价高于发行价，出现超额收益率的现象。IPO抑价现象普遍存在于世界各国的证券市场中，是证券研究领域的十大谜团之一。作为中小高新企业融资平台的我国创业板市场，，也存在着IPO抑价现象。过高的抑价率，不利于创业板市场的功能发挥及其自身的发展。本文从公司特征视角对创业板市场中的抑价现象进行研究，寻求合理的解释，具有深刻的理论意义和现实意义。本文选择以2009年10月30日至2013年10月30日在深圳创业板成功IPO的355家公司为样本,以信息不对称理论为基础，从一般投资者能够在招股说明书中获取的有关上市企业价值信息的公司特征视角出发，研究其对创业板市场IPO抑价的影响。根据IPO抑价的定义，采用随机前沿方法对一级市场的新股定价进行合理性检验，据此判断一级市场的定价对抑价的影响。在此基础上，选取可能影响创业板IPO抑价的公司特征因素变量，建立多元回归模型，分析变量对二级市场的抑价现象产生的影响。实证结果发现，创业板市场的定价是合理有效的，一级市场的交易价格对高抑价率没有影响。因此可以认为，创业板市场的高抑价率是由二级市场的交易行为引起的。在选取的公司特征因素变量中，公司规模、盈利能力、公司所在地区3个变量通过了显著性检验，对抑价率有着明显的影响。因此，本文认为各市场参与主体尤其是广大投资者应该重点关注招股说明书中反映的这些信息，以确保IPO的成功。最后，论文根据实证研究得出的结果，提出相关政策建议。
[Abstract]:IPO underpricing refers to the phenomenon that the closing price of new stocks on the first day of listing is higher than the issue price and the phenomenon of excess yield appears. The phenomenon of underpricing of IPO generally exists in the securities markets of various countries all over the world. As a financing platform of small and medium-sized high-tech enterprises, there is also a phenomenon of IPO underpricing. This paper studies the underpricing phenomenon in the gem market from the perspective of company characteristics and seeks a reasonable explanation. It has profound theoretical and practical significance. Based on the information asymmetry theory, this paper selects 355 companies that succeeded in IPO in Shenzhen gem from October 30th 2009 to October 30th 2013. From the perspective of the company characteristics of the listed enterprise value information that the retail investors can obtain in the prospectus, this paper studies its influence on the IPO underpricing in the gem market. According to the definition of IPO underpricing. The stochastic frontier method is used to test the rationality of the IPO pricing in the primary market, and the influence of the pricing on the underpricing in the primary market is judged. This paper selects the variables of company characteristic factors that may affect the IPO underpricing in gem, establishes a multivariate regression model, and analyzes the influence of variables on the underpricing phenomenon in the secondary market. The empirical results show that the gem pricing is reasonable and effective, and the transaction price of the primary market has no effect on the high underpricing rate. The high underpricing rate in the gem market is caused by the trading behavior in the secondary market. Among the selected variables of company characteristic factors, the company size, profitability and the region where the company is located, three variables have passed the significance test. Therefore, this paper believes that the market participants, especially the majority of investors, should focus on the information reflected in the prospectus to ensure the success of IPO. According to the results of empirical research, the paper puts forward relevant policy recommendations.
【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

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