我国新股发行制度改革对新股定价效率影响的研究

发布时间：2018-03-06 21:11

本文选题：新股发行制度改革　切入点：定价效率　出处：《新疆财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：新股发行定价效率一直是我国证券市场中研究的焦点问题，随着上市公司业绩变脸、新股破发、高市盈率、新股首日遭爆炒等等问题出现，暴露出新股发行定价链条上的种种弊端，是当前中国证券市场上最受关注和讨论的焦点之一，也是监管层近20年来几经改革我国新股发行制度的重要因素。有效市场理论认为，判断证券价格的有效性依据是：信息是影响证券价格唯一因素，信息能在各个时期各个时间点准确无误反映证券的内在价值，且影响证券价格变化的信息能自由进入市场,也就是说,证券定价是否有效主要体现在价格能够对信息进行有效反应。本文研究背景正处于我国即将启动新一轮的新股发行制度改革窗口期，此时对我国二十多年以来的历次改革情况和改革效果进行回顾和总结具有重要的现实意义。通过分析研究历次新股发行制度改革在定价机制上的变革路径，我们发现，我国新股定价呈市场化发展趋势，，虽然定价效率期间有所反复，但整体上看出现本质上改观。从2001年3月证监会正式取消了股票发行审批制到2005年初开始实施询价制，我国新股发行的定价方式在询价制下不断完善。从2009年启动的新一轮两个阶段新股发行制度改革，使得我国新股发行定价机制趋于成熟，通过不断扩大询价对象的范围，提高主承销商配售自主权，加强信息披露与监督机制，细化市场主体权利与责任，很大程度上提高了新股定价效率。为量化这几次改革实施的实际效果，我们以股价对信息反映程度为标准衡量新股定价效率，应用Roll股价波动非同步性测度模型对新股发行首日收益率进行实证检验，结果显示我国新股发行市场化改革的确取得一定的成果，我国新股定价机制在不断完善过程中，实证结果也证明新股定价只有走市场化改革的道路，充分发挥市场主体在定价过程中的主体作用，减少行政的人为干预，才能提升股价信息含量，提高我国新股定价效率，促进资本市场优化配置。
[Abstract]:The efficiency of IPO pricing has always been the focus of research in China's securities market. With the performance change of listed companies, the breaking of new shares, the high price-earnings ratio, the explosion of new shares on the first day, and so on, It is one of the most concerned and discussed focuses in China's securities market at present. It is also an important factor for the regulatory layer to reform the new issue system of our country several times in the past 20 years. The basis for judging the validity of securities price is that information is the only factor affecting the price of securities, information can accurately reflect the intrinsic value of securities at every time point in each period, and the information that affects the change of security price can enter the market freely. That is to say, whether the securities pricing is effective or not is mainly reflected in the effective response of the price to the information. The research background of this paper is in the window period of the new round of new issue system reform in our country. It is of great practical significance to review and summarize the history and effect of the reform in our country for more than 20 years. Through the analysis and study of the reform of the IPO system in the reform of the pricing mechanism, we find that the pricing of new shares in China shows a trend of market-oriented development, although the pricing efficiency has been repeated during the period. On the whole, however, there has been a fundamental change. From March 2001, when the Securities Regulatory Commission formally abolished the stock issuance approval system, it began to implement the inquiry system in early 2005. Since 2009, the new round of two stages of new stock issue system reform has made the pricing mechanism of new issue of new stock in our country tend to mature, by expanding the range of the target of inquiry continuously, the pricing method of new issue of new stock in our country has been improved continuously under the inquiry system. In order to quantify the actual effect of these reforms, the rights and responsibilities of the market subjects are refined by enhancing the autonomy of the placement of the principal underwriters, strengthening the mechanism of information disclosure and supervision, and improving the efficiency of the pricing of new shares to a great extent. We measure the pricing efficiency of new shares by the degree of information reaction of stock price, and apply the non-synchronism measure model of Roll stock price fluctuation to make an empirical test on the first-day yield of new shares. The results show that some achievements have been made in the market-oriented reform of new stock issuance in our country. In the process of the continuous improvement of the pricing mechanism of new shares, the empirical results also prove that the pricing of new shares only takes the road of market-oriented reform. Only by giving full play to the main role of the market main body in the pricing process and reducing the administrative artificial intervention can the information content of the stock price be raised, the pricing efficiency of new shares be improved, and the optimal allocation of capital market be promoted.
【学位授予单位】：新疆财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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