我国创业板市场股票破发现象的实证研究

发布时间：2018-01-06 07:32

本文关键词：我国创业板市场股票破发现象的实证研究　出处：《东北财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：新股首日收益率问题一直是资本市场领域的热门课题,以往的研究集中于对首日收益率为正,也就是新股抑价现象的解释,因为在创业板开板之前,新股抑价是我国股票市场的主要特征。但是自2010年我国的股票市场开始出现零星的新股破发,而且这种现象日渐常态化,然而,目前针对新股首日收盘价跌破发行价现象的研究甚少,理论体系还不完善。寄托着各方厚望的创业板于2009年10月30日开盘了,但在发展过程中也暴露出同样的问题：即开盘之初新股上市首日暴涨,然后陷入破发窘境,且现在仍有大面积股票的市价低于发行价。截至2013年5月30日,处于破发状态的创业板股票达78.59%。创业板对于建立多层次资本市场起着至关重要的作用,其发展过程中暴露的这些问题都非常值得关注,因此本文选取创业板上市股票,对新股首日破发现象进行研究。本文首先对国内外研究新股首日收益率影响因素的成果进行梳理；然后结合新股破发企业的一些共性因素以及我国创业板的特点和文献成果深入分析哪些因素可能对创业板新股首日收益率产生影响及其作用机理。然后从实证角度给予验证,发现能够显著的影响公司股票上市首日收益率的变量；最后对本文研究结论做了比较合理的解释,并为我国创业板健康发展提出了参考意见。本文从基础数据挖掘得出的破发企业的共性特征出发选取变量进行多元线性回归分析,从回归结果分析可以得到如下导致破发的因素：(1)新股发行价对创业板新股首日收益率影响显著,新股发行制度衍生利益输送链条。新股发行价格越高,上市首日收益率越低,两者存在显著的负相关关系。新股高发行价是造成破发的重要原因。发行泡沫的产生与新股定价过程中发行公司、承销商及保荐人等各利益主体间的博弈密不可分。(2)投资者情绪对创业板新股首日收益率影响显著,是造成IPO首日破发的直接因素。实证研究发现,新股上市首日换手率、深证成指涨跌幅以及行业因素都对IPO首日收益率有显著影响,而这些因素或者能反应投资者情绪或者能影响投资者情绪,这也说明投资者行为存在不理性因素。(3)发行市盈率、中签率、发行规模以及公司盈利能力和成长能力、主承销商对创业板新股首日收益率无显著影响。最后本文针对研究中能够显著影响创业板新股首日收益率的因素,从发行制度及定价层面、投资者情绪层面以及上市公司层面分别给予建议,期望通过本文的研究进一步揭示IPO发行定价机制中存在的问题,为理论界深刻认识新股“破发”现象提供理论支持。
[Abstract]:The issue of the first-day yield of new shares has been a hot topic in the field of capital market. Previous studies focused on the positive first-day yield, that is, the underpricing phenomenon of new shares, because before the gem board opened. The underpricing of new shares is the main characteristic of the stock market in our country. However, since 2010, there have been sporadic breakdowns of new shares in our stock market, and this phenomenon is becoming more and more common. At present, there is little research on the phenomenon of new shares closing price falling below the issue price, and the theoretical system is not perfect. The gem, which is relying on the high expectations of all parties, opened on October 30th 2009. But in the development process also exposed the same problem: that is, the opening of the first day of the new stock market skyrocketing, and then into a broken predicament. And there are still large areas of stocks whose market price is below the issue price. As of May 30th 2013. Gem stocks in breaking state reach 78.59. gem plays a vital role in the establishment of multi-level capital market, and these problems exposed in the process of its development are worthy of attention. Therefore, this paper selects gem listed stocks to study the first day break of new shares. In this paper, the first day of domestic and foreign research on the factors affecting the return of new shares to sort out the results; Then combining with some common factors of new stock breaking enterprises and the characteristics and literature achievements of gem in our country, this paper analyzes in depth which factors may have an impact on the first-day yield of new shares in gem and its mechanism of action. To give verification. Found that the company can significantly affect the first day of return on the stock market variables; Finally, the conclusion of this paper is explained reasonably, and some suggestions are put forward for the healthy development of gem in China. This paper selects the variables to carry on the multivariate linear regression analysis from the common characteristics of the break-through enterprises obtained from the basic data mining. From the regression analysis we can get the following factors: 1) the IPO price has a significant impact on the first day return of new shares on the gem, the new issue system has a chain of derivative benefits, and the higher the price of the new issue. The lower the return on the first day of listing, there is a significant negative correlation between the two. The high issue price of new shares is an important reason for the break. The emergence of the issuing bubble and the issuing company in the process of pricing of new shares. The game between underwriters and sponsors is inseparable. 2) investor sentiment has a significant impact on the first-day yield of new shares on the gem, which is the direct factor that causes the first-day break of IPO. The first-day turnover rate of new shares, the rise and fall of Shenzhen Composite Index and industry factors all have a significant impact on IPO first-day yield, and these factors can either reflect investor sentiment or affect investor sentiment. This also shows that there are irrational factors in investor behavior, such as price-to-earnings ratio, success ratio, size of issuance, profitability and growth ability of the company, and the principal underwriter has no significant influence on the first-day yield of new shares on gem. In the end, this paper gives some suggestions from the aspects of issuing system and pricing, investor sentiment and listed company level in view of the factors that can significantly affect the first-day yield of new shares in gem. Through the research of this paper, we hope to further reveal the problems in the pricing mechanism of IPO issuance, and provide theoretical support for the theoretical circle to deeply understand the "break" phenomenon of new shares.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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