中国A股市场IPO抑价现象研究

发布时间：2018-01-12 20:07

本文关键词：中国A股市场IPO抑价现象研究　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：IPO抑价一直是世界各国证券市场上的一个普遍存在的现象,IPO高抑价和有效市场假说相悖,反映了证券市场的效率不足,因而引起了很多学者的注意。西方理论界对于IPO抑价的研究已经取得了比较多的成果,信息不对称理论、市场信号理论、承销商规避风险理论、所有权分散理论、从众理论、投资情绪假说等,都从不同的角度解释了IPO抑价的原因。我国股票市场起步较晚、发展还不够成熟,体制上存在许多问题,很多西方的理论不能完全解释我国市场IPO高抑价的现象,需要进一步的研究和改善。本文以1992年至2012年A股上市公司为样本,重点从一级市场和二级市场角度研究了A股市场IPO抑价率的影响因素。本文用方差分析的方法来验证不同的审批制度,定价方法和上市板块对IPO抑价率有显著的影响,发现累计询价制和保荐人制度有效地降低了IPO抑价率,不同上市板块之间IPO抑价率有显著不同。本文接着利用多元线性回归方程来检验了影响IPO抑价率的一级市场因素和二级市场因素,发现了发行规模、发行费率、发行市盈率、首日换手率、市场趋势和市场月平均市盈率因素与IPO抑价率显著相关,并且发现在累计询价制和保荐人制度下线性回归方程的解释力有所提高。最后,利用一个简单点公式来分离出新股抑价中一家市场定价偏差和二级市场定价偏差,并检验他们在新股抑价中所占的比例,发现在累计询价制下一级市场定价偏差明显下降,低于二级市场偏差。本文证实了中国A股市场IPO抑价的现象依然存在,市场化的新股发行方式有助于降低新股首日抑价率,并且使得一级市场定价偏差减小,提高了一级市场效率。
[Abstract]:IPO underpricing is a common phenomenon in the securities market all over the world. The high underpricing is contrary to the efficient market hypothesis, which reflects the inefficiency of the securities market. As a result, many scholars have paid attention to it. The research on IPO underpricing in the western theoretical circle has made more achievements, such as information asymmetry theory, market signal theory, underwriter risk aversion theory. The theory of ownership dispersion, the theory of conformity and the hypothesis of investment sentiment all explain the reasons of IPO underpricing from different angles. The stock market of our country starts late, develops not mature enough, and there are many problems in the system. Many western theories can not fully explain the phenomenon of high IPO underpricing in Chinese market, and need further study and improvement. This paper takes A share listed companies from 1992 to 2012 as samples. This paper mainly studies the influencing factors of IPO underpricing in A-share market from the perspective of primary market and secondary market. This paper uses the method of variance analysis to verify the different examination and approval system. Pricing methods and listed plate have a significant impact on the IPO underpricing rate. It is found that the cumulative inquiry system and sponsor system effectively reduce the IPO underpricing rate. There are significant differences in IPO underpricing among different listed sectors. This paper then uses multiple linear regression equations to test the first-order market factors and secondary market factors that affect the IPO underpricing and find out the issuance scale. The factors of issuing rate, issue price-earnings ratio, first-day turnover ratio, market trend and market average price-earnings ratio are significantly related to IPO underpricing rate. And found that under the cumulative inquiry system and the sponsor system, the interpretation of the linear regression equation has been improved. Finally. A simple point formula is used to separate out the market pricing deviation and the secondary market pricing deviation in the IPO underpricing, and to test their proportion in the IPO underpricing. It is found that under the cumulative inquiry system, the pricing deviation of the primary market is obviously decreased, which is lower than that of the secondary market. This paper proves that the phenomenon of IPO underpricing still exists in China's A-share market. The market-oriented issuance of new shares will help to reduce the first-day underpricing rate of new shares and reduce the pricing deviation of the first-level market. Improved market efficiency.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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