新三板企业做市首日溢价研究

发布时间：2018-05-14 11:16

本文选题：做市首日溢价 + 新三板市场　；参考：《北京交通大学》2017年硕士论文

【摘要】：本文对我国新三板市场做市企业做市首日的溢价发行现象进行了系统的研究。新三板市场自2013年扩容以来,在最近两年得到了快速的发展。2014年8月,做市交易制度正式在新三板市场实施。由于做市交易方式在提高市场流动性、稳定市场价格且能够提供市场公允报价方面优于协议转让的交易方式,伴随着国家出台的一系列政策支持,越来越多的企业选择采用做市交易方式。然而,新三板做市首日存在着较高的发行溢价。根据wind数据库的数据资料进行统计,我国新三板企业做市首日平均溢价率高达66.45%。居高不下的发行溢价率对于新三板市场的长期健康发展、对于新三板市场的资源配置都有着不利的影响。因此,本文将对新三板做市企业溢价的产生原因进行研究,并提出相应的建议。本文在对新三板做市溢价的研究中,分别按行业角度、企业采取做市交易时间角度及市场估值角度进行划分对溢价率的分布趋势进行研究。描述性统计的结果显示,不同行业的做市溢价率有所不同,如生物医疗、大数据云计算及文化传媒行业拥有广阔的发展前景,受到市场投资者的追捧,其做市首日溢价率整体偏高,分别达到了82.45%、76.92%、71.58%,显著高于其他行业。相比之下,处于夕阳阶段的行业具有较低的做市溢价。在以企业做市时间为划分标准进行描述性统计时发现,在新三板发展最快、且整个中国股市出现泡沫的2015年,企业做市首日的发行溢价程度达到了高峰,平均溢价率为74%。而进入2016年,中国股市整体呈现疲软状态时,企业做市首日溢价率显著降低,仅达到了51.06%。在探究影响做市企业溢价的具体影响因素中,本文选取了净利润、净利率、净资产收益率、收入增长率、净利润增长率、公司资产规模、市值、发行市盈率、流通股数及流通股占公司总股数的比例、股权集中度、做市企业拥有的做市商数量为解释变量,并根据公司所处行业是否属于高成长性行业设置虚拟变量,利用stata软件进行统计分析。实证结果表明了企业的净利润、利润率及利润增长率均与其做市首日溢价率呈正相关关系,前十大股东持股比例之和与溢价率之间存在显著的正相关关系,而企业拥有的做市商数量与做市首日溢价有着显著负相关关系,而行业因素与做市首日溢价也存在相关关系。最后,为了使我国新三板做市溢价率水平更加合理,本文根据新三板市场的发展现状提出了以下建议:第一,加强监管体系的建设,促进市场健康发展。第二,完善做市商交易制度,扩大做市商队伍。
[Abstract]:This paper makes a systematic study on the phenomenon of premium issue on the first day of market making in China's new third board market. The new third board market has developed rapidly in the last two years since its expansion in 2013. In August 2014, the market making system was formally implemented in the new third board market. Because market making is superior to agreement transfer in improving market liquidity, stabilizing market price and providing fair market quotation, it is accompanied by a series of policy support issued by the state. More and more enterprises choose to make market transactions. However, the new three-board on the first day of the market there is a higher issue premium. According to the data of wind database, the average premium rate of the new three board enterprises is as high as 66.45%. The high issue premium rate has a negative impact on the long-term healthy development of the new third board market and on the resource allocation of the new third board market. Therefore, this paper will study the causes of the new three-board market-making enterprise premium, and put forward corresponding suggestions. In the study of the market premium of the new three boards, this paper studies the distribution trend of the premium rate according to the industry angle, the market trading time angle and the market valuation angle. The results of descriptive statistics show that market premium rates vary from industry to industry, such as biomedical, big data cloud computing and cultural media industries, which have broad prospects for development and are sought after by market investors. The premium rate on the first day of the market is on the high side as a whole, reaching 82.45% and 76.92% respectively, which is significantly higher than that of other industries. By contrast, industries in the sunset stage have a lower market-making premium. In the descriptive statistics based on the time of enterprise market making, it is found that in 2015, when the new third board developed fastest and the whole Chinese stock market appeared bubble, the degree of issuing premium on the first day of enterprise market reached its peak, and the average premium rate was 74%. In 2016, when the overall Chinese stock market was weak, the premium rate for the first day of trading fell significantly, to 51.066. In this paper, we select net profit, net interest rate, rate of return on net assets, growth rate of income, growth rate of net profit, size of company assets, market value, P / E ratio. The number of shares in circulation and the proportion of circulating shares to the total number of shares in the company, the degree of concentration of equity, the number of market-makers owned by market making enterprises are the explanatory variables, and the fictitious variables are set up according to whether the industry in which the company is located belongs to the high growth industry, Stata software is used for statistical analysis. The empirical results show that the net profit, profit margin and profit growth rate are positively correlated with the first-day premium rate, and there is a significant positive correlation between the sum of the top ten shareholders' shareholdings and the premium rate. However, the number of market-makers owned by enterprises is negatively correlated with the first-day premium, and the industry factors are also correlated with the first-day premium. Finally, in order to make the market premium rate of the new three boards more reasonable, this paper puts forward the following suggestions according to the current situation of the new third board market: first, strengthen the construction of the supervision system to promote the healthy development of the market. Second, improve the trading system of market makers and expand the team of market makers.
【学位授予单位】：北京交通大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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