基于数据挖掘技术的IPO抑价影响因素研究

发布时间：2018-06-27 19:46

本文选题：IPO抑价 + 影响因素　；参考：《湖南大学》2013年硕士论文

【摘要】：IPO抑价是指发行上市首日的收盘价明显高于发行价，IPO抑价现象普遍存在于世界各国资本市场中，而我国的尤其高的抑价现象更值得关注。由于我国资本市场还不够成熟，再加上“新股不败”，承销商与投资者对发行公司质量不关心，一方面造成承销商忽视其调查分析能力，业务水平长期得不到提升；另一方面，投资者盲目追从新股，加重了市场投机炒作气氛，，资本市场的资源配置功能降低。因此，本文希望通过理论分析与基于数据挖掘技术的分析，寻找我国IPO高抑价的原因及缓解方法，从而构建一个稳定有效的资本市场。本文在前人的研究基础之上根据信息不对称、行为金融学理论与发行制度等相关理论对IPO抑价现状及特征进行定性分析，包括不同发行审核制度、发行方式、定价方式、行业与地区下的IPO抑价情况分析以及我国当前IPO抑价特征的分析；然后对IPO抑价影响因素进行定量分析，以2009年7月16日至2012年6月30日为样本数据，结合粗糙集理论对17个因素进行属性约简，并以支持向量机对约简结果进行分析验证其合理性。通过与其他研究方法所得结果的对比分析，验证本文数据挖掘方法的可行性与实用性。本文分析得出上市首日换手率、申购中签率、净利润增长率、上市日综合指数、发行与上市时间间隔、应收账款周转率、资产负债率、存货周转率为影响IPO抑价的主要因素，即公司发展能力、长期偿债能力等财务信息与投资者情绪、上市日市场环境等非财务信息对IPO抑价率都有重要影响；最后，根据研究结果，提出几条有针对性的政策建议。
[Abstract]:IPO underpricing is the phenomenon that the closing price of IPO is obviously higher than the IPO price on the first day of IPO. The phenomenon of IPO underpricing generally exists in the capital markets of various countries in the world, and the phenomenon of especially high underpricing in our country is worth paying more attention to. Because the capital market of our country is not mature enough and "new shares are not defeated", underwriters and investors do not care about the quality of issuing companies. On the one hand, the underwriters ignore their ability of investigation and analysis, and their business level cannot be improved for a long time. Investors blindly pursue from the new shares, aggravated the market speculation atmosphere, capital market resource allocation function reduced. Therefore, this paper hopes to find out the reasons for the high IPO underpricing and the mitigation methods through the theoretical analysis and the analysis based on the data mining technology, so as to construct a stable and effective capital market. On the basis of previous studies, this paper analyzes the current situation and characteristics of IPO underpricing based on information asymmetry, behavioral finance theory and issuance system, including different issuing auditing systems, issuing methods, pricing methods, and so on. The situation of IPO underpricing in industry and region and the characteristics of IPO underpricing in China are analyzed, and then the influencing factors of IPO underpricing are analyzed quantitatively, taking the sample data from July 16, 2009 to June 30, 2012. Based on rough set theory, the attribute reduction of 17 factors is carried out, and the rationality of the reduction result is verified by support vector machine (SVM). The feasibility and practicability of this data mining method are verified by comparing the results with other research methods. In this paper, the main factors influencing IPO underpricing are as follows: first day turnover rate, successful purchase rate, net profit growth rate, comprehensive index, time interval between issuance and listing, account receivable turnover ratio, asset-liability ratio, inventory turnover ratio, etc. That is, financial information, such as company development ability, long-term solvency and investor sentiment, non-financial information such as market environment on the day of listing have important influence on IPO underpricing rate. Finally, according to the research results, several targeted policy suggestions are put forward.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F830.42;TP311.13

【参考文献】