创业板IPO抑价现象的实证研究

发布时间：2018-06-05 22:07

本文选题：IPO抑价 + 创业板　；参考：《天津商业大学》2014年硕士论文

【摘要】：IPO(Initial Public Offering)抑价现象是指新股发行上市首日的收盘价大大高于股票一级市场的发行价格，形成新股首日上市出现超额回报率的异象。不论是上世纪九十年代建立证券市场时就存在的我国A股主板市场，还是仅仅开板不到五年的创业板市场均存在着不同程度的新股IPO抑价，并且总体来看我国新股抑价程度要远高于国外发达市场的抑价程度。过高的新股IPO抑价会降低新股发行效率和上市企业在一级市场融资的效率，同时若长期存在新股首发上市高抑价现象则会助长市场中的投机气氛，不利于股票市场的健康正常发展。由此看来，IPO抑价这一新股发行上市的异象需要对其探索和研究，寻找形成这种异象的机制和影响因素，并试图寻求有效的解决方案，以减弱其对证券市场的不良影响，具有一定的理论意义和现实意义。我国创业板市场如今尚还处于起步期，还存在着很多体制、规则、监管等各方面的缺陷和漏洞，种种情形造就了我国创业板IPO抑价率异常之高的现象。我国创业板市场的抑价幅度一度高达200%以上，如此之高的抑价幅度促使了本就存在大量非理性散户投资者的追捧，形成新股发行市场的火爆局面。这种局面下股价不会发挥其价格发现功能，市场自身的调节作用也得不到发挥。可见，对我国创业板IPO抑价现象的研究具有特殊的重要意义。本文就是从创业板市场IPO抑价现象着手并对其进行理论与实际相结合的研究分析，探寻引起这一现象的影响因素，将相关因素转化为实证研究的变量，定量与定性相结合，运用统计学的实证方法进行实证研究，最终根据实证分析结果得出结论并提出合理有效的对策建议。首先，本文回顾梳理了国内外对IPO抑价现象研究的文献，在对现已存在的研究结果和理论进行总结归纳的基础上，分析以往研究成果并寻找其缺陷和遗漏之处，逐渐形成自己的观点。然后借鉴以往学者研究形成的理论寻找到支持本文观点的两点理论基础，即中介机构声誉假说与投资者情绪假说。随后运用这两种理论对本文的观点进行解释和推导，形成并提出本文的假设：声誉高的承销商会降低IPO抑价程度；会计师事务所的声誉与IPO抑价程度正相关；新股中签率越低，IPO抑价现象越严重；新股上市首日换手率越高，IPO抑价现象越严重。其次，根据本文所提出的假设设定研究变量，在分析和借鉴国内外学者对IPO抑价现象研究的模型的基础上，形成本文的实证模型，收集与变量相关的研究数据并对基础数据进行整理。运用SPSS统计软件对所研究变量进行多元线性回归分析，得出实证研究的结果，对实证研究结果经过系统地整理和分析后报告实证结果。最后，，根据本文的研究结果得出总体结论，并结合我国创业板市场和整个股票市场的具体实践提出合理有效的建议对策。经过本文的实证研究，发现我国创业板IPO抑价程度与中介机构的声誉机制作用具有很大程度的相关性，但并不完全符合声誉机制作用。而投资者情绪理论在我国创业板新股IPO阶段则是发挥了显著的作用。因此要寻求降低IPO抑价程度，就应从这两方面入手，探索解决办法。如：改革新股发行上市体制，深化市场化改革；扶持并壮大中介机构的成熟和发展；营造良好的证券市场投资气氛，抑制非理性的投机行为等。
[Abstract]:The phenomenon of IPO (Initial Public Offering) underpricing means that the closing price of the first day of IPO is much higher than the issuing price of the first level of the stock market, forming the abnormal rate of return on the first day of the new stock market. Whether it is the A stock market in China when the stock market is established in 90s of last century, it is still less than five years. There are different levels of IPO IPO underpricing in the gem, and the degree of IPO underpricing in China is far higher than that of the developed market. The high IPO IPO underpricing will reduce the efficiency of IPO and the efficiency of the listed companies in the first level market financing. As a result, the image of the IPO underpricing is not conducive to the healthy and normal development of the stock market. Therefore, it seems that the anomalies of the IPO listed in the IPO need to explore and study the IPO, find the mechanism and influence factors to form this phenomenon, and try to find an effective solution to weaken its adverse effects on the stock market. It has a certain theoretical and practical significance.
China's GEM market is still in its initial stage, and there are many defects and loopholes in various aspects, such as system, rules, supervision and so on. All kinds of circumstances have created the phenomenon that the rate of underpricing of IPO in China's gem is very high. In this situation, the stock price will not play its price discovery function, and the regulation effect of the market itself can not be played. It is obvious that the research on the IPO underpricing of China's gem is of special significance. This article is from the IPO underpricing in the GEM market. The research and analysis of the combination of the theory and the practice of it, explore the influencing factors of the phenomenon, transform the related factors into the variables of the empirical research, combine the quantitative and qualitative methods, and use the empirical method of statistics to carry out empirical research. Finally, the conclusion is drawn up and the reasonable and effective countermeasures are put forward according to the empirical analysis. Argumentative.
First, this paper reviews the literature on the study of IPO underpricing at home and abroad. On the basis of summarizing the existing research results and theories, this paper analyzes the previous research results and finds out its defects and omissions, and gradually forms its own viewpoint. The two-point theoretical basis of the point, namely the reputation hypothesis of intermediary institutions and investor sentiment hypothesis, then uses these two theories to explain and deduce the views of this article, forming and putting forward the assumption that the high reputation underwriter reduces the degree of IPO underpricing; the sound reputation of the accounting firm is positively related to the degree of IPO underpricing; The lower the IPO underpricing, the higher the turnover rate on the first day of IPO and the more serious the IPO underpricing.
Secondly, according to the hypothesis set up in this paper, based on the analysis and reference of domestic and foreign scholars on the model of IPO underpricing, this paper forms the empirical model, collects the data related to the variables and collates the basic data, and uses the SPSS statistical software to carry out multiple linear regression analysis of the research variables. After analyzing the results of empirical research, the empirical results are systematically collated and analyzed, and the empirical results are reported.
Finally, according to the results of this paper, we draw a general conclusion, and put forward some reasonable and effective suggestions on the basis of the concrete practice of the gem and the whole stock market in China.
Through the empirical study, it is found that the degree of IPO underpricing in China's gem is closely related to the role of the agency's reputation mechanism, but it does not fully conform to the role of the reputation mechanism. But the investor sentiment theory plays a significant role in the IPO stage of the gem in China. Therefore, it is necessary to seek to reduce the degree of IPO underpricing. Starting from these two aspects, we should explore solutions, such as: reforming the IPO system, deepening the market reform, supporting and expanding the maturity and development of intermediary agencies, creating a good investment atmosphere in the securities market, and restraining irrational speculation.
【学位授予单位】：天津商业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F275;F832.51

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