机构投资者行为、网络开源信息与IPO定价

发布时间：2018-07-09 17:57

本文选题：询价制 + 博弈分析　；参考：《天津大学》2014年硕士论文

【摘要】：自我国2005年正式实施新股询价制以来，新股询价制度经历了三次重大改革，虽然在改革之后IPO首日高抑价的现象得到遏制，但同时又带来了新的高发行价、高市盈率和高超募资金的“三高”问题。2010年证监会要求准上市公司在上市过程中披露询价机构的具体报价和申购量，，这无疑为找到这些问题的深层原因提供了钥匙。与此同时，相关文献已经证明网络信息的迅速发展显著影响投资者的行为，因此，本文通过询价过程中询价机构的具体报价、申购量以及网络开源信息研究机构投资者报价、承销商定价行为，为揭示IPO异象形成机理提供实证依据，帮助政策制定者完善询价制度。首先，本文从不同角度阐述了国内外询价制度研究现状，询价机构的报价行为以及网络开源信息对金融领域的影响；然后通过两种不同机制下的询价过程进行博弈分析，研究询价机构与承销商行为；最后通过比较询价机构的加权平均报价、发行价以及解禁日收盘价的差异，实证分析了询价机构定价以及承销商行为，同时，通过基于文本语义的挖掘算法得到一组关于中小板网络信息指标，分析了其在询价制过程中的作用。本文收集了2010年9月至2012年1月期间新上市的中小板数据，开创性地研究了询价过程中询价机构的报价行为、承销商的定价行为以及网络开源信息对IPO定价的影响。结果发现，为了能够获得一、二级市场的新股差价收益，询价机构的加权平均报价显著低于解禁日收盘价；承销商对新股的最终定价显著高于询价机构的加权平均报价，这是造成我国目前IPO“三高”现象的部分原因；虽然QFII具有最高的报价精度，但是承销商在定价时，主要参考的还是基金公司、证券公司、保险公司和自主推荐公司的报价。另外，作者还研究了网络开源信息在IPO询价制中的作用，定价前更多的利好网络开源信息，会使承销商对价格向上调整的更多，更多的利空网络信息，则会使价格向下调整更多；投资者在等待上市期间对利空网络开源信息反应强烈，而对利好网络开源信息则采取了保守的态度。最后，根据研究设计和实证结果，总结了本研究的不足，并提出下一步的研究方向。
[Abstract]:Since the formal implementation of the new stock inquiry system in 2005 in China, the new stock inquiry system has undergone three major reforms. Although the phenomenon of high underpricing on the first day of IPOs after the reform has been contained, it has also brought about a new high issue price at the same time. The 2010 CSRC required prospective companies to disclose specific quotations and requisitions from inquiry agencies during the listing process, which no doubt provided the key to finding the underlying causes of these problems. At the same time, the related literature has proved that the rapid development of network information significantly affects the behavior of investors. The pricing behavior of underwriters provides an empirical basis for revealing the formation mechanism of IPO anomalies and helps policy makers to improve the inquiry system. Firstly, this paper expounds the current situation of inquiry system research at home and abroad, the bidding behavior of inquiry agencies and the influence of network open source information on the financial field, and then through two different mechanisms of inquiry process to carry out game analysis. Finally, by comparing the weighted average quotation, the issue price and the closing price, the author empirically analyzes the pricing and underwriter behavior of the inquiry agency and the underwriter. Through text semantic mining algorithm, we get a set of information indexes about small and medium board network, and analyze its function in the process of inquiry system. From September 2010 to January 2012, this paper collects the data of newly listed small and medium-sized boards, and studies the pricing behavior of inquiry agencies, underwriters' pricing behavior and the influence of online open source information on IPO pricing. The results show that the weighted average quotation of the inquiry agency is significantly lower than the closing price of the day of lifting the ban, and the final pricing of the new shares by underwriters is significantly higher than that of the weighted average quotation of the inquiry agencies in order to obtain the yield of the new shares in the first and secondary markets. Although QFII has the highest price accuracy, the underwriters mainly refer to the quotations of fund companies, securities companies, insurance companies and independent recommendation companies. In addition, the author also studies the role of network open source information in IPO inquiry system. More favorable network open source information before pricing will cause more underwriters to adjust prices upward, and more bad network information. Investors reacted strongly to the open source information while waiting to go public, while taking a conservative attitude towards the good news. Finally, according to the research design and empirical results, summarized the shortcomings of this study, and proposed the next research direction.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【参考文献】