基于均值方差和随机占优理论的IPO与股票指数的收益权衡

发布时间：2018-01-13 08:46

本文关键词：基于均值方差和随机占优理论的IPO与股票指数的收益权衡　出处：《哈尔滨工业大学》2014年硕士论文　论文类型：学位论文

【摘要】：2009年新股发行制度改革以后IPO首日收益逐步下降、中小板市场频繁出现破发，这些现象让新股不再是中国股票市场投资者稳赚不赔的投资选择。首日收益率的下降说明新股发行体制在逐渐走向成熟，，新股发行市场逐步回归理性，市场变得更有效率。国内市场投资者在考虑选择IPO的时候，不能再仅仅追求投机带来的高额收益，而是应该理性评估相应风险下的IPO是否值得选择。IPO的投资价值可以通过与市场大盘进行比较来判断其优劣，由此，我们选择均值方差理论（Mean-Variance）以及随机占优（Stochastic Dominance）方法，以市场指数为成熟股票市场表现的代表，研究在2009年新股发行重启之后IPO在发行日以及上市之后与市场指数之间的占优关系，从而评估IPO的投资价值。本文采取的随机占优方法在决策分析中的优越性来源于两个方面，一是在理论上的直观性，在样本越充足的情况下越可以刻画整个收益状况的累积分布函数，从而可以考虑到收益分布的高阶矩，不需要收益函数服从正态分布；二是在假设上的宽松性，SD方法对效用函数的假设很少，使研究者在缺乏完整的投资者偏好信息的情况下仍能预测其投资决策。通过随机占优实证结果分析，在本文的研究背景下，我们至少可以得到如下结论，我国一级市场参与申购新股投资收益劣于二级市场新股投资；主板市场IPO表现优于创业板市场IPO表现；我国IPO价值劣于市场指数的投资价值；我国的新股市场不均衡。
[Abstract]:In 2009, after the reform of the new issue system, the income of IPO on the first day gradually decreased, and the small and medium-sized market frequently broke. These phenomena make the new stock market no longer the investment choice of investors in China's stock market. The decline of the yield on the first day indicates that the new issue system is gradually maturing, and the new issue market is gradually returning to rationality. The market becomes more efficient. When domestic market investors consider choosing IPO, they can no longer just pursue the high returns from speculation. Instead, we should rationally evaluate whether the investment value of IPO under the corresponding risk is worth choosing. The investment value of IPO can be compared with the market market to judge its merits and demerits. We choose mean variance theory (Mean-Variance) and stochastic dominance method. Taking the market index as the representative of the mature stock market, this paper studies the dominant relationship between IPO and the market index on the issue date and after listing after the resumption of the new issue in 2009. To evaluate the investment value of IPO. The advantage of the stochastic dominant method in decision analysis comes from two aspects. One is the intuitionism in theory, the more abundant the sample, the more the cumulative distribution function of the whole income condition can be described. Therefore, the higher moments of the income distribution can be taken into account, and the income function is not required from the normal distribution. The other is that the assumption of utility function of SD method is few, which makes researchers can predict their investment decision without complete investor preference information. Based on the empirical results of random dominance, under the background of this paper, we can get at least the following conclusions: the first-level market of our country is inferior to the secondary market in terms of the return of the investment of new shares; The main market IPO performance is better than the gem market IPO performance; The value of IPO in China is inferior to the investment value of market index; The new stock market in China is unbalanced.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F830.91

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