超额配售选择权对港股发行绩效的检验

发布时间：2018-03-03 23:09

本文选题：超额配售选择权　切入点：港股　出处：《辽宁大学》2013年硕士论文　论文类型：学位论文

【摘要】：超额配售选择权，是承销商与公司或原始股东达成协议，当有意承购者的需求量多于承销数量时，承销商可以直接向其购买所需的差额。承销商可在股票发行之后的一定期间内，，向发行公司按照发行价格再次购买该次发行数量的15%，作为稳定市场的工具。若股票市价高于发行价，主承销商可要求发行人增发不超过包销数额15%的股票，并将此股票分配给提出认购申请的投资者；若股票市价低于发行价，主承销商不使用该期权并从集中竞价市场购买所发行的股票。对承销商来说,超额配售选择权降低了股票发行的风险；对发行人来说,使用超额配售选择权增加了其融资额；对市场来说,超额配售选择权减小了股票上市后价格的剧烈波动。超额配售选择权最早在我国B股市场被广泛使用。但是,这种新股发行的方式一直没有在A股市场上得以广泛的应用，这是由于我国A股的IPO抑价率显著高于国外成熟的资本市场,承销商发行新股几乎没有风险。直到2006年工商银行在IPO时第一个使用了超额配售选择权，这种机制才第一次在A股市场上应用。本文通过对香港股票市场2009年到2011年以来超额配售选择权应用效果进行实证检验,验证了该机制对香港股票市场稳定性及定价效率两方面的效果并借此来分析超额配售选择权能否在A股市场上发挥其理论效果。同时，本文也阐述了在此过程中可能出现的信息披露不及时和影响市场不公平行为，提出了加强信息披露，完善新股发行制度，完善超额配售选择权的配套机制等政策建议。
[Abstract]:The overallotment option is an agreement reached between the underwriter and the company or the original shareholders, when the demand of the prospective underwriter exceeds the underwriting amount, The underwriter may purchase the required difference directly from him. The underwriter may within a certain period of time after the issue of the stock, Buy again from the issuing company 15% of the amount of the issue at the issue price as an instrument to stabilize the market. If the market price of the stock is higher than the issue price, the lead underwriter may require the issuer to issue additional shares not exceeding 15% of the underwriting amount, If the market price of the stock is below the issue price, the lead underwriter does not use the option and buys the issued stock from the centralized bidding market. For underwriters, the overallotment option reduces the risk of a share issue; for an issuer, the use of an overallotment option increases the amount of money raised; and for the market, The overallotment option reduces the volatility of the stock price after listing. The option of over-allotment was first widely used in the B-share market in China. However, this way of issuing new shares has not been widely used in the A-share market. This is because the IPO underpricing rate of China's A-shares is significantly higher than that of foreign mature capital markets, and there is little risk for underwriters to issue new shares. Until 2006, ICBC was the first to use the overallotment option in IPO. This kind of mechanism just applies in A-share market for the first time. This paper makes an empirical test on the application effect of excess allotment option since 2009 to 2011 in Hong Kong stock market. The effect of this mechanism on the stability and pricing efficiency of Hong Kong stock market is verified, and the theoretical effect of over-allotment option in A-share market is analyzed. This paper also describes the possible information disclosure in this process and affects the unfair behavior of the market, and puts forward some policy suggestions, such as strengthening information disclosure, perfecting the new issue system, and perfecting the matching mechanism of over-allotment option.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】