我国中小板IPO抑价现象的实证研究

发布时间：2018-04-16 01:17

本文选题：IPO抑价 + 中小板　；参考：《西南财经大学》2013年硕士论文

【摘要】：IPO抑价是新股在发行上市的过程中出现的三大金融异象之一。所谓IPO抑价,一般是指新股发行定价明显低于上市初始的市场价格。国外学术界对于IPO抑价现象的研究已经持续了半个世纪之久,学者们提出的理论也不尽相同。传统的抑价理论基于二级市场有效性假说,认为由于发行人、承销商和投资者面临信息不对称,发行人和承销商以降低股票发行价的方式对投资者做出“让步”,抑价是对投资者购买、持有股票面临的不确定性或提供真实需求信息做出的补偿。但是传统的抑价理论本身存在缺陷,对于出现的IPO长期表现弱势和IPO火热的发行市场现象,也不能提供合理的解释。因此Ritter and Welch提出应当将IPO抑价的研究方向转移到行为金融学领域。行为金融学打破了传统抑价理论的桎梏,为研究IPO抑价提供了更为广阔的视野。伴随着行为金融学的发展,投机泡沫假说、意见分歧假说、正向反馈交易理论、瀑布流效应假说等理论和假说被越来越多的运用到了IPO研究领域之中。从长远来看,利用行为金融学理论必将是后续研究的主流。研究目的本文立足于我国深圳中小板股票市场,以596家上市公司为研究样本,对我国IPO抑价现象进行实证研究。通过分析来寻找造成我国中小板股票市场高抑价现象的真正原因,以及IPO抑价序列是否存在多期滞后效应。希望能更加全面系统的揭示我国IPO抑价的根源所在。主要内容全文共分为六个部分：第一章导论。主要阐述我国证券市场IPO抑价研究的理论和现实背景,提出了本文的研究意义、研究思路、研究方法和主要贡献。第二章文献综述。本文从基于有效市场理论的一级市场抑价解释和基于市场无效的二级市场溢价解释两个角度出发,对国内外研究理论和成果进行了简单梳理和回顾。由于特殊的制度背景和实际情况,国外的抑价理论在中国往往得不到实证结果的支持。学者们纷纷开始立足于我国国情,提出具有中国特色的抑价理论。第三章中小板概述及发行制度。主要介绍我国中小企业板上市公司的地域分布、行业类别等基本情况和证监会专门出台有别于主板市场的特殊交易和监管制度。第四章研究设计及结果分析。本文立足于中小板市场,以2006年～2011年上市的596家中小板上市公司为样本。研究发现：投资者乐观情绪与中小板IPO抑价存在密切的关系。其中上市前一个月IPO平均抑价率、上市首日换手率、上市前一个月市场回报率对IPO抑价的影响均表现出显著的正相关关系,与预期一致。本文继续将样本划分成三个子时期,结果发现,不论股市处于上涨阶段、下行阶段还是横盘整理阶段,投资者情绪指标都能很好保持对IPO抑价的解释力。投资者情绪是造成我国中小板市场IPO高抑价现象的主要原因。公司发行前一年的总资产(对数)与IPO抑价呈显著地负相关关系。公司发行前一年的总资产是衡量公司内部价值不确定性的指标,公司内部价值不确定性越小,IPO抑价越低。这证明了风险收益对称假说对我国中小板IPO抑价有一定的解释能力,但是解释力有限。参与询价的机构投资者数目与IPO抑价表现出了显著地正相关关系。参与询价的机构投资者数目可能反映上市公司质量的“信号”,当散户投资者观察到这组“信号”十分强烈时,出于对机构投资者“选股能力”的信任,他们会加入到新股的申购和买卖的队伍中去,从而增加新股的需求,抬高新股的交易价格。第五章IPO抑价的滞后效应研究。研究发现：2009年～2011年中小板上市公司首日抑价率UP序列确实存在滞后效应,第t期新股首日抑价程度会受到第t-1期与第t-2期新股首日抑价程度的双重叠加影响。并且第t-1期新股抑价程度与第t-2期相比,对第t期的影响力更大。第六章主要结论及政策建议。根据研究结论,本文从监管机构合理安排上市公司顺序、改善信息披露、加强中小投资者教育和建立信息评级机构四个方面提出浅显的政策建议。主要贡献本文立足于深圳中小板市场,研究范围包括2006年～2011年中小板596家上市公司。样本涵盖的时期长,数据范围广,所得出的结论更为全面和可靠。在对投资者情绪指标的计量上,先前研究一般只局限于把首发市盈率、中签率、换手率等作为解释变量。本文分析影响投资者情绪的因素,从市场整体情绪和近期上市新股抑价率的历史经验两个方面出发寻找替代指标,力图更加综合全面的反映投资者情绪。本文依据正向反馈交易假说和信息瀑布流效应假说,提出后来入市的投资者会根据前期IPO抑价程度推断本期IPO的抑价水平,进而构造了中小板上市公司首日抑价的时间序列,在方法上采用自回归(AR)模型,得出IPO首日抑价序列存在多期滞后效应的实证结论。相对于把研究重点放在投资者情绪对IPO抑价影响传统文献来说,使用时间序列分析方法是一种全新的思路。
[Abstract]:IPO underpricing is one of the three major financial anomalies in new shares issued and listed in the process. The so-called IPO underpricing, generally refers to the IPO price significantly lower than the market price. The initial listing of foreign academic research for the IPO underpricing phenomenon has lasted for half a century, the scholars put forward the theory is not the same. The traditional theory of underpricing hypothesis validity two market based on that the issuers, underwriters and investors under asymmetric information, issuers and underwriters to reduce the stock issue price of the way to make concessions to investors, underpricing is for investors to buy stocks, compensation facing uncertainty or provide the real demand information to make. But the traditional underpricing theory itself is flawed, for IPO and IPO weak long-term performance of the hot issue market phenomenon, can not provide a reasonable explanation for this Rit. Ter and Welch proposed that the research direction of IPO underpricing should be transferred to the field of behavioral finance.
Behavioral finance has broken the traditional underpricing theory, to provide a wider perspective for the study of IPO underpricing. Along with the development of behavioral finance, the speculative bubble hypothesis, disagreement hypothesis, positive feedback trading theory, using the waterfall effect hypothesis theory and hypothesis by more and more to the study of IPO field. In the long run, the use of behavioral finance theory will be the mainstream in future research.
research objective
This article is based on China's SME Board of Shenzhen stock market, with 596 listed companies as research samples, the empirical research on China's IPO underpricing. Through the analysis to find the real cause of China's small and medium-sized board stock market underpricing, and IPO underpricing sequence of the existence of multiple hysteresis effect. Hope the root can comprehensively reveal China's IPO underpricing.
primary coverage
The full text is divided into six parts:
The first chapter is introduction. It mainly expounds the theoretical and practical background of IPO underpricing research in China's stock market, and puts forward the research significance, research train of thought, research methods and main contributions.
The second chapter is the literature review. This article from the efficient market theory of primary market Underpricing and based on two perspectives explain the market invalid two secondary market premium based on the domestic and foreign research of the theories and achievements of a simple review. Due to the special institutional background and the actual situation of foreign anti support theory in price Chinese often get the empirical results. Scholars have started based on China's national conditions, put forward the theory of underpricing has China characteristics.
The third chapter is the overview and issuance system of small and medium-sized board. It mainly introduces the regional distribution, industry category and other basic situations of China's SME board listed companies, especially the special trading and regulatory system which is different from the main board market.
The fourth chapter is the research design and the result analysis. Based on the small and medium market, this paper takes 596 small and medium-sized listed companies listed in 2006 to 2011 as samples.
Investor optimism and SME IPO underpricing is closely related to the market. One month before the average IPO underpricing rate, listed on the first day turnover rate, listing a month before the market returns to the underpricing of IPO showed a significant positive correlation, consistent with expectations. This paper continues to divide samples into the three sub period, found that, regardless of the stock market on the rise, the downward phase or sideways stage, investor sentiment index can be maintained on IPO underpricing explanation. Investor sentiment is the main cause of China's small and medium-sized board market IPO high underpricing.
The company issued a total assets of the previous year (log) and IPO underpricing has significant negative correlation. The company issued the total assets in the previous year is a measure of value index of uncertainty within the company, the internal value of uncertainty is small, the IPO underpricing is low. This proves the symmetry hypothesis has certain risk return the ability to explain the SME board in China IPO underpricing, but limited explanatory power.
The number of institutional investors to participate in inquiry and IPO underpricing showed a significant positive correlation. The number of institutional investors to participate in inquiry may reflect the quality of listed companies "signal", when retail investors observed in this group of "signal" is very strong, because of the institutional investors' stock picking ability of the trust, they will join to the purchase of new shares and the sale of the team, so as to increase the demand of new shares, new shares to raise the trading price.
The fifth chapter studies the lag effect of IPO underpricing. The study found: 2009 to 2011, the SME board listed companies underpricing rate of UP series have lag effect, phase t IPO underpricing by phase T-1 and phase T-2 of the IPO price suppression double stack degree. And the T-1 shares the degree of underpricing compared with phase T-2, phase t of greater influence.
The sixth chapter is the main conclusions and policy recommendations. According to the research conclusion, this paper puts forward some policy recommendations from four aspects, such as arranging the order of listed companies reasonably, improving information disclosure, strengthening the education of small and medium-sized investors and establishing information rating agencies.
Main contribution
This paper is based on the small and medium-sized board market in Shenzhen. The research scope includes 596 listed companies from 2006 to 2011.
In the measurement of investor sentiment index, previous studies are generally confined to the starting price earnings ratio, the success rate of exchange rate as explanatory variables. This paper analyzes the impact factors of investor sentiment, starting from the overall market sentiment and the recent IPO under the two aspects of historical experience rate for alternative indicators, in order to make a more comprehensive the reflection of investor sentiment.
Based on the positive feedback trading hypothesis and the information cascade effect hypothesis, then put forward market investors according to the underpricing level early IPO underpricing concluded this period of IPO, the time series and to construct a small board of listed companies underpricing, using auto regressive method (AR) model, the IPO underpricing the price series has multiple hysteresis effect compared with empirical conclusions. The study focused on the influence of investor sentiment on IPO underpricing in the traditional literature, using time series analysis method is a new idea.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】