我国创业板公司首次公开发行股票定价效率综合评价

发布时间：2018-02-14 05:04

本文关键词： 创业板相关性分析 IPO抑价率 IPO定价效率综合评价模型　出处：《北京林业大学》2013年硕士论文　论文类型：学位论文

【摘要】：2009年10月30日,首批28家公司在创业板首次公开发行股票并且成功上市,标志着我国创业板市场正式启动。截至2012年10月30日,创业板成立三周年之际,共有355家公司在创业板公开发行股票并成功上市。然而,三年间在创业板公开发行股票并上市的355家公司中,有303家上市首日收盘价远高于发行价,即出现IPO抑价现象,平均IPO抑价率为45.4%,其中金亚科技上市首日IPO抑价率高达209.73%,这一抑价水平远高于主板和中小板市场,一时间关于创业板IPO定价效率的问题引发了投资者和学者们的广泛关注。本文研究的主要内容就是从理论和实证两方面对创业板IPO定价效率进行综合评判。理论分析部分,本文首先介绍了创业板的基本概念,我国创业板市场的功能定位和服务对象定位,并简要分析目前我国创业板市场存在的亟待解决的主要问题。此外还介绍了目前在首次公开发行股票定价时被普遍采用的几种定价方法,并对股票发行定价所需要分析的主要内容进行介绍,从而为后面章节中研究指标的选取和研究方法的确定提供有效的理论依据。实证分析部分,本文首先运用相关性分析法对创业板公司上市首日IPO抑价率和反映二级市场波动性的各项指标分别进行相关性分析,从而判定二级市场波动性是否会影响创业板IPO定价效率。在此基础上,以截至2012年10月30日在我国创业板首次公开发行股票并在上市首日出现收盘价高于发行价现象的303家公司为研究样本,从公司盈利能力、运营能力、偿债能力、成长能力、资本结构和现金流量等方面出发,选取20个变量作为反映公司自身成长发展状况的指标,另外根据市盈率定价法的定义,将发行市盈率也纳入指标体系加以研究,并结合反映二级市场波动性的各项指标,以公司上市前连续3年的财务指标平均值作为数据窗口,运用因子分析方法建立创业板IPO定价效率综合评价模型,通过对模型所得创业板公司IPO定价效率综合评价得分与公司实际IPO抑价率进行比较,判断基于公司自身财务状况和二级市场波动性两个方面是否能有效决定创业板IPO定价效率。
[Abstract]:On October 30th 2009, the first batch of 28 companies listed on the gem and listed successfully, marking the official start of the gem market in China. As of October 30th 2012, the third anniversary of the establishment of the gem, A total of 355 companies have successfully listed their shares on the gem. However, of the 355 companies listed on the gem in the past three years, 303 have closed well above the IPO price on their first day of listing, that is, the phenomenon of IPO underpricing. The average IPO underpricing rate was 45.4%, of which the IPO underpricing rate reached 209.73 on the first day of Jinya Technology's listing, which was much higher than that on the main and small board markets. The problem about the pricing efficiency of gem IPO has aroused the widespread concern of investors and scholars. The main content of this paper is to comprehensively judge the pricing efficiency of gem IPO from both theoretical and empirical aspects. In the part of theoretical analysis, this paper first introduces the basic concept of gem, the function orientation of gem market and the orientation of service object. The paper also briefly analyzes the main problems existing in the gem market in China, and introduces several pricing methods that are widely used in the initial public offering (IPO). It also introduces the main contents of the analysis of stock issue pricing, thus providing an effective theoretical basis for the selection of research indicators and the determination of research methods in the following chapters. In the part of empirical analysis, this paper firstly uses the correlation analysis method to analyze the correlation between IPO underpricing rate on the first day of gem listing and the indexes reflecting the volatility of the secondary market. So as to determine whether the volatility of the secondary market will affect the efficiency of IPO pricing on the gem. In this paper, 303 companies with initial public offerings of shares on the gem up to October 30th 2012 and the closing price higher than the issue price on the first day of listing are taken as the research samples, from the company's profitability, operating capacity, solvency, growth ability, etc. Starting from the capital structure and cash flow, 20 variables are selected as indicators to reflect the growth and development of the company itself. In addition, according to the definition of price-earnings ratio pricing method, the issue price-earnings ratio is also included in the index system. Combined with the indicators reflecting the volatility of the secondary market, taking the average financial index of three consecutive years before listing as the data window, the comprehensive evaluation model of the IPO pricing efficiency of gem is established by using factor analysis method. By comparing the comprehensive evaluation score of IPO pricing efficiency of gem with the actual IPO underpricing rate, we can judge whether the gem IPO pricing efficiency can be effectively determined based on the company's own financial situation and secondary market volatility.
【学位授予单位】：北京林业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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