询价制下承销商利益最大化行为对IPO破发影响研究

发布时间：2018-06-18 02:07

本文选题：IPO破发 + 询价制　；参考：《南开大学》2014年硕士论文

【摘要】：“新股不败”曾经是我国IPO发行市场永恒的定律,但2009年IPO重启之后,这一神话一次次被打破,并且有愈演愈烈的趋势。在此背景下,新股破发现象开始引起学术界的关注。本文则主要从承销商追求利益最大化行为出发解释我国IPO破发现象。本文从理论和实证两个方面对承销商利益最大化行为对IPO是否破发和IPO破发程度的影响进行了研究。本文首先基于理性经济人假设,从理论层面分析承销商在权衡自身直接收益成本,发行人、机构投资者对其利益影响的基础上选择的行为如何影响IPO破发。在此基础上,本文选取2010-2012年深证中小板和创业板IPO首日破发的116只股票与1：1配对的非破发股作为样本,运用Logistic回归模型,检验承销商利益最大化行为对IPO是否破发的影响。研究结果显示：承销商定价时会关注自身短期利益(发行费用)、发行人(IPO发行规模)的影响,而忽视长期利益(承销商声誉)和机构投资者(网下有效配售比例)的影响。这一权衡结果会促使承销商最终选择推高发行价格,进而引起IPO破发。接着本文选取2010-2012年深证中小板和创业板IPO首日相对破发的99只股票作为样本,运用普通多元回归模型,检验承销商利益最大化行为对IPO破发程度的影响,结果和IPO是否破发一致。这一结果说明目前我国一级市场定价制度还不完善,存在承销商“短视机会主义行为”,发行人和承销商勾结,声誉对承销商机会主义行为制约有限,询价中机构投资者制衡功能缺位等问题。最后本文对改善这些问题提出了一些政策建议。
[Abstract]:"New shares undefeated" was once the eternal law of China's IPO market, but after the IPO restarted in 2009, this myth was broken again and again, and there was a tendency to get worse. In this context, the phenomenon of new share break began to attract the attention of the academic community. This paper mainly explains the IPO break in China from the underwriter's pursuit of profit maximization. In this paper, the influence of underwriter's profit maximization on IPO breakage and IPO breaking degree is studied theoretically and empirically. Firstly, based on the rational economic man hypothesis, this paper analyzes how the underwriters' behavior on the basis of weighing their own direct income costs, issuers and institutional investors' influence on their interests will affect the IPO break. On this basis, this paper selects 116 stocks of Shenzhen small and medium Stock Market and gem IPO as samples, and uses Logistic regression model to test the influence of underwriter's benefit maximization behavior on IPO break or not. The results show that the underwriters pay more attention to the short-term interest (the cost of the issue, the size of the IPO) than the long-term interest (the reputation of the underwriter) and the institutional investor (the proportion of the effective placing). This tradeoff will prompt underwriters to eventually choose to push up the offering price, which in turn leads to an IPO break. Then this paper selects 99 stocks of Shenzhen small and medium Stock Market and gem IPO as samples from 2010-2012 to test the influence of underwriter's benefit maximization behavior on IPO break degree by using ordinary multiple regression model. The results are consistent with the IPO. This result shows that the pricing system of primary market in our country is not perfect at present, there is underwriter "short-sighted opportunism behavior", the issuer and underwriter collude, and reputation restricts the underwriter's opportunism behavior. Inquiry in institutional investors check and balance function and other issues. Finally, some policy suggestions are put forward to improve these problems.
【学位授予单位】：南开大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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