基于零无效随机前沿和分位回归的创业板新股发行定价效率研究

发布时间：2018-03-02 19:44

本文选题：创业板　切入点：新股发行体制改革　出处：《中国矿业大学》2014年硕士论文　论文类型：学位论文

【摘要】：市场期盼十年的创业板2009年10月30日在深圳证券交易所开市，机遇与挑战并存。开市以来，创业板一方面表现出上市首日整体抑价的情况，另一方面却在后市表现出长期弱势甚至普遍破发的现象。为解决这种异象，促进新股发行定价市场化，遏制新股炒作，监管层进行了四次新股发行体制改革。下一阶段改革取得突破的关键，在于评价历次改革的成效，找到影响中国新股高抑价率产生的真实原因：首日抑价究竟是源于一级市场折价发行，还是源于二级市场热捧，抑或是两种因素共同作用的结果，这是事关改革路径设计的方向性问题；理清一级市场发行价格、二级市场首日超额收益率与影响因素之间的相关关系与作用机制，又事关改革战术的具体选择。因而本研究对于评价新股发行体制改革成效、完善制度技术细节具有重要意义。本文首先对国内外研究现状和理论基础做了详尽综述，发现我国新股发行制度、投资者情绪是引起抑价形成的主要因素，确立了对发行与上市两个市场分别研究的视角。进而对我国新股发行定价与配售机制安排进行了回顾，梳理了新股发行体制改革对创业板新股发行价格形成的影响，以及创业板首日交易制度的改变。这些为后文的实证研究提供了理论和现实基础。在实证部分，选取了创业板开市以来的379家IPO公司为样本，以四次新股发行体制改革为标志对样本分段。基于Cobb-Douglas生产函数形式构建零无效随机前沿模型，以MCMC方法进行参数估计，发现我国创业板一级市场存在着平均12.73%的发行抑价，第四次股改阶段扩大到18.26%，统计意义上总体有效发行的概率为51.4%。进而对一级市场定价技术效率和二级市场上市首日超额收益率进行回归，0.73%的拟合优度说明二级市场高溢价的来源于一级市场抑价的部分非常有限，，主要源于自身。进一步地，基于投资者情绪、异质信念、公司特质三个方面的代表变量构建分位数回归模型，考察各变量在各股改阶段与不同分位水平下的首日超额收益率的相关关系。结果显示，乐观的投资者情绪与较高的异质信念水平推高了追涨情绪，提高了首日超额收益率，并发现，由于首日临时停牌制度的改革，第四次股改阶段的首日投资者由异质信念、急于获利转变为一致预期、惜售心理。对其他变量的作用机制与变化趋势也有诸多发现。最后，对全文进行总结。提出尽快建立对主承销商自主配售权的监管制度，加强投资者教育，推进向注册制过渡，加强初期交易监管等四个方面的对策建议。
[Abstract]:The market looks forward to the opening of the 10-year gem on the Shenzhen Stock Exchange on October 30th 2009, with both opportunities and challenges. Since the opening of the market, the gem on the one hand has shown the overall underpricing on the first day of the market. On the other hand, on the other hand, it shows a long-term weakness and even a widespread break in the aftermarket. In order to solve this problem, to promote the marketization of new issue pricing and to curb new stock speculation, The regulatory level has carried out four new share issuance system reforms. The key to achieving a breakthrough in the next stage of reform lies in evaluating the effectiveness of previous reforms. Find out the real reasons that affect the high underpricing rate of new shares in China: whether the first day underpricing comes from the discount issue in the primary market, the popularity in the secondary market, or the combined effect of the two factors. This is related to the direction of the reform path design, to clarify the relationship and mechanism between the issuing price of the primary market, the first-day excess return rate of the secondary market and the influencing factors. Therefore, this study is of great significance for evaluating the reform effect of new issue system and perfecting the technical details of the system. First of all, this paper makes a detailed review of the current research situation and theoretical basis at home and abroad, and finds out that investor sentiment is the main factor leading to the formation of underpricing in China. From the perspective of research on the two markets, this paper reviews the pricing and placing mechanism of new shares in China, and analyzes the influence of the reform of the new issue system on the price formation of new shares on the gem. And the change of the trading system on the first day of gem, which provides the theoretical and practical basis for the later empirical research. In the empirical part, 379 IPO companies since the opening of the gem are selected as samples, and four new share issuance system reforms are taken as the symbol of the sample segmentation. Based on the Cobb-Douglas production function, the zero invalid stochastic frontier model is constructed. Using the MCMC method to estimate the parameters, it is found that there is an average underpricing of 12.73% in the gem primary market in China. The stage of 4th share reform is expanded to 18.26, and the probability of overall effective issuance is 51.4 in the statistical sense. Furthermore, the regression of the technical efficiency of pricing in the primary market and the excess return rate on the first day of listing in the secondary market shows that the secondary market has a good fitting degree of 0.73%. The part of the high premium that comes from primary market underpricing is very limited. Further, based on the representative variables of investor sentiment, heterogeneous belief and company trait, the quantile regression model is constructed. The results show that the optimistic investor sentiment and the higher heterogeneous belief level push up the chase up sentiment and increase the first day excess return, and the relationship between the variables and the first day excess rate of return at different quantile levels is also studied, and the results show that the positive investor sentiment and the higher heterogeneity belief level push up the chase up sentiment and increase the first day excess return rate. It is also found that due to the reform of the system of temporary suspension of trading on the first day, investors in the first day of the 4th stage of stock reform have changed from heterogeneity belief, eager to profit to consensus expectation, and the psychology of resale. There are also many findings on the mechanism and changing trend of other variables. Finally, the paper summarizes the full text and puts forward four countermeasures and suggestions, such as establishing the supervision system of the principal underwriter's autonomous placing right as soon as possible, strengthening the investor education, promoting the transition to the registration system, and strengthening the supervision of the initial transaction.
【学位授予单位】：中国矿业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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