我国创业板IPO定价合理性的实证研究

发布时间：2018-01-29 03:47

本文关键词： IPO定价创业板破发剩余收益模型随机边界模型　出处：《陕西科技大学》2013年硕士论文　论文类型：学位论文

【摘要】：2009年10月30日，我国创业板市场正式推出，受到了市场各方的广泛关注。时至今日，创业板在为资本市场做出突出贡献的同时也暴露出很多问题，其中以“三高现象（高发行价、高市盈率、高募集金额）”最为严重。其中，高发行价是问题的核心所在。另外，“破发现象”也非常严重，给二级市场带来了很大的风险。本文研究的目的就是探究在我国创业板市场上，IPO的定价是否合理地反映了企业股票的内在价值、“破发现象”的影响因素以及对应的政策和建议，以促进我国资本市场健康有序的发展，提高创业板市场的运行效率。本文以创业板355家企业为样本，通过理论分析和实证方法对IPO定价进行研究。在实证研究中运用了剩余收益模型、随机边界分析方法、分位数回归法以及最小二乘法对定价的合理性进行研究。首先根据剩余收益模型对企业股票的内在价值进行了测量和评估，并利用随机边界模型分析了发行价格和企业股票内在价值之间的偏离程度，最后得出结论：IPO价格普遍高于企业股票的内在价值；IPO的抑价情况并不是由于一级市场的故意抑价产生。在此基础上，运用分位数回归法进一步结合二级市场分析了抑价的真实影响因素。得出结论：抑价是因为二级市场的溢价造成的，以首日换手率为主要方式的投机行为是影响IPO抑价水平的最重要因素。最后，对于存在“破发现象”的企业，分情况使用线性回归方法探讨总结了造成“破发现象”的相关影响因素。研究结果发现造成“首日破发”和“复权破发”的影响因素有很大的差异性。本文创新点在于首次综合运用了剩余收益法、随机边界分析方法和分位数回归模型来研究创业板IPO定价合理性；首次深入分析了破发现象，将创业板破发的股票独立出来进行研究，并细分为“首日破发”和“复权破发”两种情形，，分析两者的差异和原因。
[Abstract]:In October 30th 2009, China's gem market was officially launched, which has been widely concerned by all parties in the market. To this day, gem has made outstanding contributions to the capital market, but also exposed many problems. Among them, "three high phenomenon (high issue price, high price-earnings ratio, high raising amount)" is the most serious. Among them, high issue price is the core of the problem. In addition, "break" phenomenon is also very serious. The purpose of this study is to find out whether IPO pricing reflects the intrinsic value of enterprise stocks in China's gem market. In order to promote the healthy and orderly development of China's capital market and improve the operation efficiency of the gem market, the influencing factors and corresponding policies and suggestions of the "breakage phenomenon" are discussed in order to promote the healthy and orderly development of the capital market in China. In this paper, the gem 355 enterprises as a sample, through theoretical analysis and empirical methods to study the pricing of IPO. In the empirical study, the use of residual income model, stochastic boundary analysis method. Quantile regression method and least square method are used to study the rationality of pricing. Firstly, the intrinsic value of stock is measured and evaluated according to the residual return model. Using the stochastic boundary model, the paper analyzes the deviation degree between the issuing price and the intrinsic value of the enterprise stock, and finally draws the conclusion that the IPO price of 20% is generally higher than the intrinsic value of the enterprise stock. The underpricing of IPO is not due to deliberate underpricing in the primary market. On this basis, the quantile regression method is used to further analyze the real factors of underpricing combined with the secondary market. The conclusion is that the underpricing is caused by the premium in the secondary market. Speculative behavior with the first day turnover rate as the main way is the most important factor affecting the IPO underpricing level. Finally, for the existence of "break the phenomenon" of enterprises. By using linear regression method, this paper sums up the influence factors of "break". The results show that there are great differences between the factors of "first day break" and "return right break". The innovation of this paper is that the residual income method, stochastic boundary analysis method and quantile regression model are used for the first time to study the rationality of IPO pricing in gem. In this paper, the phenomenon of breaking hair is analyzed deeply for the first time, and the stock of gem break is studied independently, which is divided into two situations: first day break and repeat right break, and the difference and reason between them are analyzed.
【学位授予单位】：陕西科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F830.42

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