中国股票市场IPO抑价研究

发布时间：2018-01-04 04:30

本文关键词：中国股票市场IPO抑价研究　出处：《天津财经大学》2011年硕士论文　论文类型：学位论文

【摘要】：大量文献证实无论是发达国家资本市场还是新兴资本市场都存在IPO首日超额收益现象。IPO抑价是全球股票市场中普遍存在的现象。为探索IPO抑价的成因,自1980年代以来西方金融学界展开了大量的研究,形成三个具有代表性的理论解说流派,即“非对称信息流派”、“制度流派”和“非理性行为流派”。中国股市由于特殊的制度安排和投资者构成,有其不同于成熟股票市场的独特规律。本论文第二章对中国股市IPO抑价的存在性和差异性进行实证研究,并对有关抑价成因的几种理论和假说(包括信息不对称、机制解释、所有权与控制权、投资者非理性)进行中国股市的适用性研究。我们发现,招股时注册资本和承销商声誉假说成立,这说明信息不对称理论对我国的新股发行抑价有一定的解释作用；发行日与上市日时间间隔对新股发行抑价影响不大,询价制的实施使得主板的抑价程度变小的同时使得中小板的抑价率提高,因此,机制解释对抑价的影响不能一概而论；管理层持股比例对IPO抑价并没有显著影响,这表明所有权与控制权理论在中国并不完全适用；投资者情绪的代表变量中签率对各个市场的IPO抑价都有显著影响,说明行为金融理论可以很好的解释中国新股首日收益过高现象。论文第三章使用随机边界方法实证研究中国IPO抑价现象,发现2005年之前中国新股发行价格存在与成熟资本市场相反的显著下边界特征,其主要根源在于此期间中国采用的新股发行定价方式方法的制度化特征；实施累计投标询价后中国IPO定价开始出现与海外成熟资本市场相类似的显著上边界特征。论文第四章用定价偏离程度以及代表投资者情绪及市场状况的解释变量与IPO抑价进行回归,发现中国新股发行抑价与一级市场发行价格因素有关,但更主要的是受到二级市场投资者情绪和市场状况因素的影响。
[Abstract]:A large number of documents have confirmed that there exists the phenomenon of IPO first-day excess return in both developed and emerging capital markets. IPO underpricing is a common phenomenon in the global stock market. In order to explore the underpricing of IPO. Cause. Since the 1980s, a great deal of research has been carried out in the western financial circles, forming three representative schools of theoretical interpretation, namely "asymmetric information school", "institutional school" and "irrational behavior school". . Chinese stock market is different from mature stock market because of its special institutional arrangement and investor composition. The second chapter makes an empirical study on the existence and difference of IPO underpricing in Chinese stock market. The applicability of several theories and hypotheses about underpricing (including information asymmetry, mechanism explanation, ownership and control, investor irrationality) is also studied. The hypothesis of registered capital and underwriter reputation is established, which indicates that the information asymmetry theory can explain the underpricing of IPO in China. The time interval between the issue date and the listing date has little effect on the underpricing of the new issue. The implementation of the inquiry system makes the underpricing degree of the main board become smaller and the underpricing rate of the small and medium-sized board increases. The influence of mechanism explanation on underpricing cannot be generalized; The proportion of managerial shareholding has no significant effect on IPO underpricing, which indicates that the theory of ownership and control is not fully applicable in China. The representative variable of investor sentiment has significant influence on the IPO underpricing in each market. The behavioral finance theory can explain the phenomenon of excessive first-day earnings of new shares in China. Chapter three uses the stochastic boundary method to empirically study the phenomenon of IPO underpricing in China. It is found that the IPO price of China before 2005 has the distinct lower boundary characteristics contrary to the mature capital market, the main root of which lies in the institutionalization of the new issue pricing method adopted by China during this period. China's IPO pricing began to show significant boundary characteristics similar to those of overseas mature capital markets after the implementation of cumulative bid inquiry. Chapter 4th explains the extent of pricing deviation and represents investor sentiment and market conditions. Variable and IPO underpricing regression. It is found that the underpricing of IPO in China is related to the price factors in the primary market, but it is mainly influenced by investor sentiment and market conditions in the secondary market.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2011
【分类号】：F832.51;F224

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