我国创业板上市公司的IPO定价研究

发布时间：2018-05-26 04:21

本文选题：创业板 + IPO定价　；参考：《南京理工大学》2017年硕士论文

【摘要】：2009年10月30日,首批28家公司在我国创业板市场公开发行新股并且成功上市,标志着我国创业板市场的正式启动。随着我国对创业板市场的规范程度逐渐成熟,不仅对于成长性和高新技术型公司来说,增加了一个方便的融资渠道,也对我国建立多层次的资本市场具有较大的促进作用。同样,作为连接投资者和高新技术型公司桥梁的创业板IPO,为公司的直接融资提供了渠道,也为各类投资者提供了投资机会。如何合理、准确的反映公司的真实价值,制定更为合理的IPO价格成为广大公司管理者和投资者等关心的主要问题。本文研究的主要内容是从理论和实证两方面对创业板上市公司IPO进行定价研究。本文首先介绍了创业板市场的基本状况,我国创业板市场的特征和基本功能,从海外创业板市场和我国主板市场的对比中,了解目前创业板市场所需面对和改进的主要问题。通过对新股发行制度各环节的研究分析,从定性的角度探讨影响创业板上市公司IPO的因素;介绍了目前公司进行IPO股票定价常用的几种方法,分析了这些方法对创业板公司IPO定价的局限性,为后面合理的定价研究奠定有效的理论依据。通过研究分析,考虑创业板上市公司生命周期特点和实物期权类型,考虑其具有高收益性、高成长性和高风险性的特点,通过实物期权来刻画公司的未来投资收益,通过VaR刻画公司的风险价值,从而构建相应的定价模型。在模型中,为了提高模型计算的准确性,模型中引入三叉树模型和EVA方法进行求解计算。假设拟上市公司每个阶段存在三种不同的发展状态:上涨、不变和下跌,同时将创业板公司整个发展过程视为一个多阶段多不确定性的复合实物期权,结合随机波动的蒙特卡罗模拟所得到公司的VaR风险价值,最终得到针对创业板拟上市公司的IPO发行价。在创业板新股发行定价过程中,存在着多方利益相关者之间的博弈行为,在利益均衡的基础上,通过研究发行人与外部投资者对发行规模的期望,推导出承销商对新股发行规模和募集资金的期望值,重点考虑机构投资者在定价过程中的作用,利用实物期权模型所求出的发行价作为其对创业板公司的估值,构建了相应的模型,进行更合理的定价。通过莱美药业公司实例进行模拟定价,两种模型所计算得到的发行价分别为25.26元、23.12元,其值高于公司的发行价,低于且更接近于首日的开盘价,其更贴近于公司的真实价值,通过实证验证了两种模型的合理性和有效性。
[Abstract]:On October 30, 2009, the first batch of 28 companies issued new shares in the gem market and successfully listed them, which marked the official start of the gem market in our country. With the development of the gem in China, it not only increases a convenient financing channel for the growth and high-tech companies, but also promotes the establishment of a multi-level capital market in China. Similarly, as a bridge between investors and high-tech companies, gem IPO provides a channel for the direct financing of companies, and also provides investment opportunities for all kinds of investors. How to reflect the real value of the company reasonably and accurately, and how to set a more reasonable IPO price has become the main concern of managers and investors. The main content of this paper is to study the IPO pricing of gem listed companies from both theoretical and empirical aspects. This paper first introduces the basic situation of the gem market, the characteristics and basic functions of the gem market in our country. From the comparison between the overseas gem market and the main board market of our country, we understand the main problems that the gem market needs to face and improve at present. Through the research and analysis of each link of the new issue system, this paper discusses the factors that influence the IPO of the gem listed company from the qualitative angle, introduces several methods commonly used by the company to carry out the pricing of the IPO stock at present. This paper analyzes the limitations of these methods to the IPO pricing of gem companies, and establishes an effective theoretical basis for the following reasonable pricing research. Through research and analysis, considering the life cycle characteristics and real option types of gem listed companies, considering the characteristics of high profitability, high growth and high risk, the paper describes the future investment returns of companies through real options. The risk value of the company is described by VaR, and the corresponding pricing model is constructed. In order to improve the accuracy of the model, the trigonometric tree model and the EVA method are introduced into the model to solve the problem. Suppose there are three different development states in each stage of the listed company: rising, unchanged and falling, and the whole development process of gem is regarded as a multistage and multi-uncertainty compound real option. Combined with the Monte Carlo simulation of random fluctuations, the VaR risk value of the company is obtained, and the IPO IPO price for the listed company is finally obtained. In the process of IPO pricing of gem, there is a game behavior among multiple stakeholders. On the basis of the equilibrium of interests, the expectation of issuer and external investors on the issue scale is studied. This paper deduces the expectation value of the underwriter to the new issue scale and the raising fund, especially considering the role of the institutional investor in the pricing process, and uses the real option model to calculate the issue price as its valuation to the gem company. The corresponding model is constructed to carry out more reasonable pricing. Through the example of Lemei Pharmaceutical Company, the price of the two models is 25.26 yuan or 23.12 yuan, which is higher than the company's offering price, lower than and closer to the opening price of the first day, which is closer to the real value of the company. The rationality and validity of the two models are verified by demonstration.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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