我国中小板IPO抑价问题实证研究

发布时间：2018-01-03 13:31

本文关键词：我国中小板IPO抑价问题实证研究　出处：《暨南大学》2013年硕士论文　论文类型：学位论文

【摘要】：IPO抑价是世界各国证券市场普遍存在的现象，自1973年由美国学者Logue提出来后，吸引着众多的学者对此展开研究，并提出了信息不对称理论、制度因素、控制权以及行为金融学理论。相比之下，我国中小板市场的IPO抑价率远超国外成熟市场，并且长期以来居高不下，这极大的损害了资源配置效率。本文基于行为金融学理论，选择股权分置改革后在中小板上市的643家公司为研究样本，探讨投资者的认知偏差和投资者情绪对IPO抑价的影响具有重要的理论和现实意义。论文分为五章，第一章提出本文的研究背景及意义，介绍了我国新股发行制度和中小板的发展情况，为下文的实证研究做好铺垫；第二章从国外、国内两个维度详尽的介绍了IPO抑价方面的研究文献，为分析IPO抑价提供了理论基础；第三章结合行为金融学对IPO抑价理论进行分析。首先介绍了基于行为金融学的IPO决策，其次介绍了投资者的认知偏差和投资者情绪对IPO抑价的影响，最后介绍了我国投资者的结构和心理偏差；第四章为实证分析，，分为两个模型进行研究，第一个模型对样本期内我国中小板的IPO定价效率进行检验，第二个模型结合行为金融学理论，选择11个指标建立多元回归模型对我国中小板IPO抑价率进行实证分析；第五章根据实证研究结果给出研究结论并分别针对证券监管机构、投资者、发行人与承销商、证券交易所提出了相关建议。定价效率模型结果表明我国中小板IPO定价效率较高，发行价并未低定价，造成我国中小板IPO高抑价主要源于投资者在二级市场上的非理性行为。IPO抑价回归模型结果显示实际募资额、首日换手率、上市首日中小板指数回报率、上市日前20个交易日中小板指数回报率、发行前5个IPO的平均抑价率与IPO抑价率有显著影响，这也证实投资者认知偏差和情绪是我国中小板IPO抑价率的重要影响因素。
[Abstract]:IPO underpricing is a common phenomenon in the world's securities markets. Since it was put forward by American scholar Logue in 1973, it has attracted many scholars to study it and put forward the theory of information asymmetry. Institutional factors, control rights and behavioral finance theory. By contrast, the IPO underpricing rate of China's small and medium-sized board market is much higher than that of foreign mature market, and has been high for a long time. This greatly damages the efficiency of resource allocation. Based on the behavioral finance theory, this paper chooses 643 companies listed on the small and medium-sized board as the research sample after the split share structure reform. It is of great theoretical and practical significance to explore the influence of investors' cognitive bias and investor sentiment on IPO underpricing. The thesis is divided into five chapters. The first chapter puts forward the research background and significance of this paper, introduces the new issue system and the development of small and medium-sized boards in our country, and lays the groundwork for the empirical research below. The second chapter introduces the research literature of IPO underpricing in detail from two dimensions abroad, which provides a theoretical basis for the analysis of IPO underpricing. Chapter three analyzes the theory of IPO underpricing based on behavioral finance. Firstly, it introduces the IPO decision based on behavioral finance. Secondly, it introduces the cognitive bias of investors and the influence of investor sentiment on IPO underpricing, and finally introduces the structure and psychological bias of investors in China. Chapter 4th is an empirical analysis, which is divided into two models. The first model tests the IPO pricing efficiency of small and medium-sized boards in the sample period, and the second model combines behavioral finance theory. Select 11 indexes to establish multiple regression model to analyze the IPO underpricing rate of small and medium-sized plates in China. Chapter 5th gives the conclusions according to the empirical research results and puts forward the relevant suggestions for securities regulators investors issuers and underwriters and stock exchanges respectively. The results of pricing efficiency model show that the pricing efficiency of IPO is high and the issue price is not low. The main reason for the high underpricing of IPO in China is the irrational behavior of investors in the secondary market. The results of the regression model show that the actual amount of fund-raising, the first day turnover rate. The return rate of small and medium board index on the first day of listing, the return rate of small and medium-sized board index on the first 20 trading days of the market, the average underpricing rate of 5 IPO before issue and the IPO underpricing rate have significant influence. It also proves that investors' cognitive bias and sentiment are the important influencing factors of IPO underpricing rate in Chinese small and medium scale boards.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】