我国A股市场IPO行业板块效应实证分析

发布时间：2018-01-01 17:38

本文关键词：我国A股市场IPO行业板块效应实证分析　出处：《西南财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：在中国证券市场发展的几十年间,我国股票市场历经了许许多多的波澜曲折。中国股市自从开放以后,到目前为止,已经8次暂停了IPO。而对于中国股市重启IPO是好是坏,市场上的人们各有各的看法。一方面来看,市场上有人对IPO重启有争议,这表明IPO对股市很可能有某种负面影响,另一方面来看,IPO重启又有着它的必然性。在这个背景下,研究IPO对中国股市的影响是有意义的,而本文主要研究的是IPO的行业板块效应。本文的研究对实际投资有现实的指导意义,当市场上出现了公司IPO时,投资者可以做出更加理性的分析,通过分析IPO公司的企业特征、整个市场的投资环境、IPO公司所在的行业情况等,作出自己明智的判断,从而及时地调整投资组合,提前卖出未来很有可能减值的资产组合来规避风险损失,提前买入未来很有可能升值的资产组合以获取利润收益。而已经在A股市场上上市的企业,则能够据此来判断哪些将要IPO的企业可能会在上市后对自身股价产生冲击,从而提前采取措施,避免将要IPO的企业对自身产生不利影响。本文从理论上对产生IPO行业板块的原因和影响IPO行业板块效应的因素进行了详细的分析和阐述。本文通过分析,认为产生IPO行业板块效应的的正的影响因素是IPO抑价,除此之外,还有产生IPO行业板块效应的负的影响因素——IPO使得行业竞争加剧,并认为IPO行业板块效应是在这两种主要的因素的综合作用下产生的。 IPO抑价现象是指首次公开发行的股票上市后(一般指第一天)的市场交易价格远高于发行价格,发行市场与交易市场出现了巨额的价差,导致首次公开发行存在较高的超额收益率。从IPO公司在交易市场上首日的交易情况来看,IPO公司发行的“新股票”在二级市场上首日收盘价格往往存在过高的情况。有许多学者对这种现象进行过分析,并发现在我国股票市场和国外相对成熟的股票市场上都存在着这种现象。这就使得IPO公司发行的“新股票”首日收盘价和同行业其他可比上市公司股价相比出现了“溢价”现象。面对这种情况,理性的投资者会在IPO公司真正上市之前,采取行动,调整投资组合,从而在IPO公司真正上市之前的一段时间内,同行业的其他可比上市公司的股票价格就会受到影响。其中的理论逻辑在于：这种新股票“溢价”的存在使得同行业其他已上市公司股票价格与该新股票相比,显得相对“低估”、“便宜”了,而且,新股票的这种“溢价”现象不会很快就被市场调整回来,而是往往持续一段时间,于是,在这段时间内,IPO公司所在行业内,IPO公司发行的新股票和已经上市的同行业内公司的老股票存在着相对的价差,这就会导致和新股票相比,相对“低估”、“便宜”的老股票的价格最终上涨。因此,市场上理性的投资者或者投机者们预期到,IPO公司发行的新股票使得同行业其他已上市公司的股票价格相对“低估”、“便宜”,他们就会提前反应,在IPO公司真正上市之前买入同行业的“低估”、“便宜”的老股票,进而会对行业板块的收益产生正的影响。从IPO使得行业竞争加剧这方面来分析,一个公司选择上市,往往表明公司可以通过上市获得比保持现状(不上市)更多的利益。例如,公司通过上市可以增强自身的资本规模,改善对自身的治理,提高自身的知名度和品牌效应,进而增强自身的竞争力。公司通过自身IPO,获取更强的竞争能力以后,很有可能会挤压同行业其他上市公司的利润空间,打破现存的市场竞争格局。因此,一个行业内,出现了新的公司IPO上市,这对于同行业的其他已上市公司来说,会加剧行业内的竞争程度,是一个“坏消息”,很有可能对行业内其他已上市公司的股票收益率产生负的、不好的影响。本文认为,我们观察到的IPO行业板块效应是正还是负,取决于这两种因素哪个更强。此外,本文还由这两个因素引出了诸如规模IPO、是否和同行业其他公司同时IPO、前三个月内该行业IPO次数、市场状况、IPO企业的财务杠杆、公司IPO之前的表现、承销商声誉、行业的竞争激烈程度这些更细节方面的因素,由此对我们判断IPO行业板块效应提供了判断的方向和依据。本文根据事件研究法的研究方法,具体按照Fama、Fisher、Jensen和Roll(1969)股票分割研究中的市场模型方法来进行研究,对我国2006年6月到2013年12月这一段时间内的IPO行业板块效应进行了实证研究。本文依照证监会行业分类标准,对所有样本的行业划分至少都在第二级,大部分样本划分到了更详细的第三级。并且在此基础上,本文剔除可能影响研究准确性的行业和IPO股票,最终留下了20个行业,共98个样本IPO股票,遵循了采用事件研究法时,事件在窗口期内的“纯洁性”的原则。本文在数据时间跨度的选取上,选取了每个样本IPO公司招股开始日前90天,IPO公司所在行业板块的日收益率数据,这样能够比较好的反映出公司IPO上市前,IPO公司所在行业板块的收益率的趋势。而IPO公司所在行业板块的收益率,则是根据这90天的交易日内,将IPO公司所在行业板块包含的公司的日收益率的数据进行等权平均(这段时间内并没有交易的公司除外)。然后把IPO公司所在行业板块包含的公司的日收益率对这90天交易日内市场的平均日收益率数据进行回归,其中,市场的平均日收益率数据是根据沪深A股市场上所有交易的股票的等权平均计算出来的。回归出的模型的阿尔法和贝塔值经过t检验,发现在1%的置信水平下是显著的,表明回归模型的拟合性良好。于是,本文通过将招股开始日到IPO公司真正上市前一天内,市场的平均日收益率数据代入到归回模型中,计算出招股开始日到IPO公司真正上市前一天这段时间内,IPO公司所在行业板块的预测正常日收益率。最后,用招股开始日到IPO公司真正上市前一天这段时间内,实际算出的IPO公司所在行业板块的日收益率,减去IPO公司所在行业板块的预测正常日收益率,得出招股开始日到IPO公司真正上市前一天这段时间内IPO公司所在行业板块的日超额收益率,并对日超额收益率进行累计,得出累计超额收益率。计算出的累计超额收益率是本文判断IPO行业板块效应的指标。如果累计超额收益率为零,则说明我国沪深A股市场上不存在IPO行业板块效应；反之,如果累计超额收益率不为零,则能够说明我国沪深A股市场上存在着IPO行业板块效应。并且若累计超额收益率为正,则说明公司IPO真正上市前的一段时间内,行业板块存在着正的超额收益,通过提早买入行业板块组合的股票,投资能够取得超额收益；若累计超额收益率为负,则说明公司IPO真正上市前的一段时间内,行业板块存在着负的超额收益,通过避免买入IPO公司所在行业板块的股票的组合,能够使投资避免遭受损失,进一步,如果市场上存在着做空行业板块股票的方法,那么便可做空IPO公司所在行业板块的股票组合,从而获取超额收益。最终的实证研究结果显示,我国存在比较明显的IPO行业板块效应,并且大多数表现为正的IPO行业板块效应,少数表现为负的IPO行业板块效应。从时间上来看,2006年到2011年间,平均来讲,表现出正的IPO行业板块效应,而从2012年到2013年,平均来讲,表现出负的IPO行业板块效应。
[Abstract]:The development of the securities market in Chinese decades, China's stock market has experienced many twists and turns. Since the stock market Chinese waves after the opening, so far, has been suspended for 8 IPO. and China stock market IPO restart is good or bad, people on the market each have their own views. On the one hand, the market some people have dispute to restart the IPO, suggesting that IPO on the stock market is likely to have a negative impact, on the other hand, IPO restart again with the inevitability of it. In this context, research on the influence of IPO on Chinese stock market is significant, and this paper mainly studies the effect of IPO plate industry.
This study has practical guiding significance to the actual investment, when there is IPO on the market, investors can make more rational analysis, through the analysis of characteristics of the enterprises of IPO company, the whole market investment environment, IPO company in the industry situation, make their own judgment, to timely adjust the investment portfolio. The future is likely to sell in advance the impairment of asset portfolio to avoid the risk of loss, the future is likely to buy ahead of the appreciation of the portfolio to obtain profits. And has been listed in the A stock market of the enterprise, can according to judge which will IPO companies may be listed on its stock price impact, thus take measures in advance, avoid will IPO companies have an adverse effect on itself.
This paper gives a detailed analysis and explanation of the causes and effects of IPO industry plate plate effect of IPO industry factors in theory. Through the analysis, factors that produce plate effect of IPO industry is the influence of IPO underpricing, in addition, also produce plate effect IPO industry negative impact factors IPO makes the industry competition, and that the plate effect IPO industry is the result of comprehensive effect of these two major factors.
IPO underpricing refers to the phenomenon of IPO shares after the listing (generally refers to the first day) the market price is much higher than the issue price, issue market and trading market appeared huge price, lead to the initial public offering higher excess returns. From the IPO company in the trading market on the first day of trading, IPO company issued the "new shares" in the two grade market closing price are too high. Many scholars have conducted analysis of this phenomenon, and found that the stock market in our country and abroad relatively mature stock market exists this phenomenon. This makes the IPO company issued a "new stock" the first day closing price and the same industry other than the stock price of listed companies compared to the emergence of the "premium" phenomenon. In the face of this situation, rational investors will take action in the real IPO company before listing, adjustment The investment portfolio, resulting in real IPO company prior to the listing of a period of time, with the rest of the industry can be more than the stock prices of the listed companies will be affected. This is the theoretical logic: the existence of this new stock "premium" with other industries listed companies stock price compared with the new stock is relatively "undervalued", "cheap", but not the "new stock premium" phenomenon will soon be back market adjustment, but often continue for some time, so during this time, IPO company, IPO company issued new shares and listed companies in the industry have the same old there is a relative stock price, which will lead to new stock and compared, relatively undervalued "," cheap "old stock prices will eventually fall. Therefore, the market rational investors or speculators expected to IPO The new stock issue with other industries has been listed on the company's stock price is relatively undervalued, "cheap", they will react in advance, IPO company in the same industry really listed before buying "undervalued", "cheap" old stock, and thus will have a positive impact on the industry sector earnings.
From the IPO industry competition in this area to analyze, a company listed, listed companies can often show than to maintain the status quo (not listed) more benefits. For example, the company listed can strengthen their capital scale, improve the management of their own, to raise awareness and their own brand, and enhance the competitiveness of their own. The company through its own IPO, get stronger competition ability, is likely to squeeze with other industries listed companies profit margins, to break the existing pattern of market competition. Therefore, one of the industry, the emergence of new IPO companies, which for other listed companies in the same industry, will the degree of competition in the industry, is a "bad news", it is possible for the rest of the industry has been listed on the company's stock returns have a negative impact, not good.
This paper argues that IPO industrial effect we observed is positive or negative, depending on these two factors is the strongest. In addition, this paper also introduced by these two factors such as scale IPO, and other companies in the same industry at the same time IPO, three months before the IPO industry market conditions, the Financial Times. The lever of IPO company, IPO company's performance before, underwriter reputation factors, degree of industry competition of these more details, which provide the direction and determine the basis for us to judge plate effect of the IPO industry.
According to the method of event study, according to Fama, Fisher, Jensen and Roll (1969) stock market segmentation model in the study of methods to study, makes an empirical research on the effect of IPO plate industry in December 2013 this period of time for China to June 2006. According to the SFC industry classification standard for all the sample by industry are at least second, most of the samples into the third level in more detail. And on this basis, this may affect the accuracy of the research from industry and IPO stock, eventually leaving 20 industries, a total of 98 samples of IPO stock, followed by the event study method, in the event window during the period of "purity" principle. This paper selected the time span of data on each sample selected IPO company began 90 days before the date of the prospectus, the daily returns of IPO company in the industry sector, the To better reflect the company IPO before the listing, rate of return of IPO company in the industry sector trends. IPO company and the industry sector yields, is based on the 90 days of trading days, the industry of IPO company, the plate contains the daily return data in equal weight average (this time not trading company). Then you return the IPO company company plate contains the rate on the 90 day trading days the market average daily return data regression, the market average daily return data is based on the Shanghai and Shenzhen A shares market on all stock trading the weight average calculated. The regression model of Alfa and Berta value after t test, found under 1% confidence level is significant, showed that the fitting of the regression model. Then the good day to IPO, through the public offering Our true the day before the listing, the market average rate of return on revenue data into the model, calculate the start date to the IPO company stock moves really the day before listing this time, IPO's industry sector forecast normal daily return rate. Finally, by offering day to IPO company before listing a real this period of time, the actual daily return IPO calculated the industry sector rate minus the IPO company in the industry sector to forecast the normal rate of return on excess returns on stocks began to moves to IPO true the day before listing this time IPO's industry sector and the cumulative rate. The excess rate of return, the cumulative excess return rate. Calculate the cumulative abnormal return is the judgment of plate effect IPO industry index. If the cumulative excess return rate is zero, then China's Shanghai and Shenzhen A stock market does not exist in IPO On the contrary, if the effect of the industry sector; the cumulative excess return rate is not zero, is able to explain China's Shanghai and Shenzhen A stock market there is a plate effect of the IPO industry. And if the cumulative excess return is positive, the company really IPO listed before a period of time, the industry sector has positive excess return by early composite plate stock to buy the industry, investment can obtain excess returns; if the cumulative abnormal return is negative, the company really IPO listed before a period of time, the industry sector has a negative excess return, through the combination of IPO company in the industry to avoid buying stocks, can make the investment to avoid losses further, if the market exists, short industry sector stocks, so it can short the IPO company stocks portfolio to obtain excess returns. The final empirical results show In China, there is obvious effect of the industry IPO plate, and most showed IPO positive plate effect of industry, few of them show a negative IPO plate effect industry. From the view of time, from 2006 to 2011, on average, showed a positive effect of IPO plate industry, from 2012 to 2013, average that showed a negative IPO plate effect industry.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

【参考文献】