我国创业板市场IPO长期表现及其影响因素的实证研究

发布时间：2018-02-06 04:36

本文关键词： 股票市场 IPO 创业板累计超额收益率多元线性回归分析　出处：《北京化工大学》2014年硕士论文　论文类型：学位论文

【摘要】：IPO长期表现是IPO研究领域的三大热点问题之一。国外众多学者的研究结果表明,新股普遍存在长期弱势的现象,即企业在IPO后3-5年股票的收益率低于市场平均水平。造成这一结果的原因,各国学者均提出了各自的理论解释,主要集中于行为金融学理论、有效市场假说和信息不对称理论这三个方面。我国资本市场发展时间较短,对于新股长期表现的系统研究也起步较晚,由于考察时间窗口、样本选择以及实证分析方法的不同,导致研究结果产生差异,部分学者认为我国股票市场存在新股长期弱势现象,也有学者认为我国新股长期表现为强势。研究新股长期表现,一方面可以研究股票市场的有效性,具有深刻的理论意义；另一方面可以为投资者提供参考,为监管者制定监管政策、完善资本市场各项制度提供依据,具有重要的现实意义。本文选取了2009年10月30日-2010年5月31日间在深圳证券交易所创业板市场发行上市的87只创业板股票作为样本进行研究,时间跨度为三个交易年,采用累计超额收益率法来衡量新股长期表现。通过研究发现我国创业板市场IPO存在长期弱势现象,弱势程度也逐年加深。此外,通过多元线性回归分析,还发现IPO抑价率、流通股比例、净资产收益率等因素,是造成我国创业板市场IPO长期弱势的主要原因。最后,结合本文研究成果以及我国股票市场的发展现状,本文提出了相应的政策建议。
[Abstract]:The long-term performance of IPO is one of the three hot issues in the field of IPO research. That is, the return rate of stock is lower than the market average in 3-5 years after IPO. The reasons for this result have been put forward by scholars in various countries, mainly focused on behavioral finance theory. Efficient market hypothesis and information asymmetry theory are three aspects. The development time of capital market in China is relatively short, and the systematic research on the long-term performance of new shares has started relatively late. Due to the difference of inspection time window, sample selection and empirical analysis methods, the research results are different. Some scholars believe that there is a long-term weakness of new stocks in China's stock market, while some scholars believe that the long-term performance of new stocks is strong in China. To study the long-term performance of new shares, on the one hand, can study the effectiveness of the stock market, which has profound theoretical significance; On the other hand, it is of great practical significance to provide reference for investors, to make supervision policy for regulators and to perfect the various systems of capital market. This paper selects 87 gem stocks listed in the gem of Shenzhen Stock Exchange from October 30th 2009 to May 31st 2010 as samples to study. The time span is three trading years, the cumulative excess return method is used to measure the long-term performance of new shares. Through the study, we find that there is a long-term weak phenomenon in China's gem market IPO, and the degree of vulnerability is also deepening year by year. Through multiple linear regression analysis, it is also found that the IPO underpricing rate, the ratio of circulating shares, the return on net assets and other factors are the main reasons for the long-term weakness of IPO in China's gem market. Finally. Based on the research results and the present situation of stock market in China, this paper puts forward some policy suggestions.
【学位授予单位】：北京化工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

【参考文献】