我国IPO二级市场投资财富效应研究

发布时间：2018-03-21 06:21

本文选题：IPO　切入点：财富效应　出处：《集美大学》2017年硕士论文　论文类型：学位论文

【摘要】：近年来,新股上市后一字涨停封板并持续涨停板一段时间现象层出不穷,对于新股申购成功的投资者而言,其在新股上市首日或者打开涨停板日卖出新股就能获得较高的收益,然而对于大部分二级市场投资者而言,购得新股的价格是打开涨停板之后的价格,其成本价将远高于新股发行价和上市首日收盘价,那么对于这些在二级市场上投资新股的投资者而言,其能获得正的财富收益吗?从目前相关文献看,国内尚无相关的研究。本文将从绝对收益和超额收益(绝对收益减去市场平均水平收益)两方面来衡量股票市场财富效应,并首次使用初始有效购买价作为投资者购买IPO的成本价。初始有效购买价指投资者能够有效购买到IPO的价格,本文将新股上市后换手率超过20%当日的收盘价作为IPO初始购买价,此外对IPO样本股研究时间为三年。结果表明深圳主板无论是一年还是二年、三年绝对收益与超额收益均大于0,能给投资者带来正财富效应,具有较高投资价值,而创业板IPO需投资三年才能给投资者带来较高的正绝对收益,但是其超额收益始终为负,投资者获得的收益要低于创业板平均水平,造成相对财富的减少。另投资中小板和上海主板IPO一年与二年,投资者获得的绝对收益和超额收益均为负,若投资时间为三年,则投资者绝对收益和超额收益都为正,说明这两个市场IPO适合投资者做长期投资。另外,发现在牛市和熊市期间上市IPO财富效应存在一定差异。上海主板牛市期间上市IPO绝对收益要高于熊市期间上市IPO,而其他市场牛市期间上市IPO一年绝对收益高于熊市期间上市IPO,二年和三年绝对收益则与之相反;中小板与深圳主板在熊市期间上市IPO超额收益要显著高于牛市期间上市新股,上海主板和创业板在牛市期间上市IPO一年和二年超额收益要大于熊市期间上市IPO,而三年超额收益则相反。对股票市场IPO绝对收益和超额收益影响因素进行了研究,结果表明上海主板IPO投资者属于风险规避型投资者,市盈率越低的公司越能获得投资者青睐,给投资者带来的绝对收益和超额收益越高。而中小板IPO绝对收益和超额收益与IPO抑价率呈负相关,抑价率越低的公司给投资者带来的绝对收益和超额收益越高。创业板投资者则属于风险偏好型,绝对收益和超额收益与市盈率呈正相关,与流通股比呈负相关关系。
[Abstract]:In recent years, after the new stock is listed, a word of trading and closing board has been appearing for a period of time. For investors who have successfully applied for new shares, they can get a higher return by selling new shares on the first day of the new stock listing or on the day of opening the new stock market. However, for most investors in the secondary market, the price of new shares is the price after opening up the increase, and the cost will be much higher than the price of the new share issue and the closing price of the first day of the market. So for those investors who invest in new shares in the secondary market, can they earn a positive return on wealth? From the current literature, there is no relevant research in China. This paper will measure the wealth effect of stock market from two aspects: absolute return and excess return (absolute return minus market average return). For the first time, the initial effective purchase price is used as the cost price for the investor to purchase IPO. The initial effective purchase price refers to the price at which the investor can effectively purchase the IPO. In this paper, the closing price of the new stock exchange rate of more than 20% is taken as the initial purchase price of IPO. In addition, the research time of IPO sample stock is three years. The results show that the absolute return and excess return of Shenzhen main board are more than 0, which can bring positive wealth effect to investors and have high investment value. The growth Enterprise Market (gem) IPO needs three years of investment to bring investors a higher positive absolute return, but its excess return is always negative, and the return of the investors is lower than the average level of the gem. In addition, the absolute return and excess return obtained by investors are both negative for one year and two years on the Shanghai main Board and the small and medium board. If the investment time is three years, the absolute return and excess return of the investor are both positive. These two markets IPO is suitable for investors to make long-term investment. In addition, It is found that there are some differences in the wealth effect of IPO listed during bull market and bear market. The absolute return of IPO listed in Shanghai main Board bull market is higher than that in bear market, while that of IPO in other bull market is higher than that of bear in one year. IPO listed during the market, two and three years of absolute income is the opposite; The excess returns of IPO listed on the medium and small board and the main board of Shenzhen during the bear market are significantly higher than those of the new shares listed during the bull market. During the bull period, the excess returns of IPO in Shanghai main Board and growth Enterprise Market are higher than those in bear market, but the three year excess returns are opposite. This paper studies the influence factors of IPO absolute return and excess return on stock market. The results show that Shanghai main Board IPO investors are risk-averse investors, the lower the price-earnings ratio is, the better the investors will be. The higher the absolute return and the excess return to investors, the negative correlation between the absolute return and excess return of IPO and the underpricing rate of IPO. The lower the underpricing rate, the higher the absolute return and excess return for investors, and the higher the risk preference type for gem investors, the positive correlation between absolute return and excess return and P / E ratio, and the negative correlation with tradable stock ratio.
【学位授予单位】：集美大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

【参考文献】