股票市场定价制度变迁对首次公开发行股票抑价的影响研究

发布时间：2018-04-25 21:34

本文选题：新股发行抑价 + 审核制度　；参考：《河北经贸大学》2013年硕士论文

【摘要】：纵观我国股票市场的发展历程，新股发行的高抑价现象一直是我国沪深A股市场普遍存在的问题，这也是A股市场最为人所诟病的缺陷之一，由此也导致了资源配置效率低下、市场生态恶劣、助长造假和违法违规行为等诸多问题，而且从最基础的层次上扭曲了市场结构，决定了股票未来持续走低的趋势，所谓“牛短熊长”就成为必然。A股市场的高抑价，早已引起了广泛关注，成为学界研究的热点，各种理论解释层出不穷。其中最为人所熟知和认可的是信息不对称理论，以及在此基础上提出的“赢者诅咒假说”、“投资银行假设”等。然而， A股市场浓重的中国特色，显然无法用这些根源于西方成熟市场的理论加以解释。后来，有些学者试图用“投机泡沫假说”、“投资者过度乐观情绪”等从资本市场的有效性来解释我国股票市场的高抑价，然而结果也是应者寥寥。由于我国证券市场发展起步较晚，加上历史原因形成的股权分置改革等带来的一系列问题，使得我们必须结合我国的特殊国情，从A股市场的新股发行制度及发展沿革方面来对新股发行抑价问题进行研究。近年来，随着中国经济体制改革的加快推进，我国证券市场监管层针对新股发行制度推出了一系列市场化的改革措施。然而，新股发行的制度改革能否真正解决我国新股发行的高抑价问题？新股发行制度对新股发行抑价的影响究竟有多大？解决好这些问题对我国证券市场的健康发展有着特别重要的意义。基于此种认识，本文在分析了国内外研究现状的基础上，从我国的实际国情出发，从理论和实证两个方面对IPO抑价问题进行了研究。从理论上，，首先列举了新股IPO抑价的诸多影响因素及相关关系，阐述我国新股首次公开发行抑价的基本情况，并对我国新股发行制度变迁的过程作简要回顾；其次运用新制度经济学的制度变迁理论，分析我国新股发行制度对IPO抑价的影响，其中就三个方面——新股发行的审核制度、新股发行的定价机制、新股发行方式——逐一进行了考察；最后得出结论：我国IPO高抑价的根本原因就在于我国的新股发行制度中的非市场化因素，并且指出正是由于近年来监管层在新股发行制度方面推行的市场化改革，才使得我国IPO高抑价的现象得到了改善。实证方面，为了验证我国新股发行制度及其历次变革对IPO抑价的影响，本文选取了1992-2011年A股市场2325个新股作为样本，选取新股发行规模、新股发行日与上市首日的间隔期、新股上市首日换手率、发行费用等作为控制变量，构建分析模型，通过描述性统计和方差分析，最后得出结论——我国新股发行制度各因素的几次市场化改革对我国IPO抑价的影响是显著的。在理论和实证分析的基础上，本文为解决我国新股发行的抑价问题提出了一些政策性建议，以利于我国的股票市场向着健康的方向发展。
[Abstract]:Throughout the development of China's stock market, the phenomenon of high underpricing of new stock issuance has always been a common problem in Shanghai and Shenzhen A-share market, which is also one of the most criticized defects in A-share market, which also leads to the low efficiency of resource allocation. The market ecology is abominable, fuelling many problems such as counterfeiting, illegal behavior and so on. Moreover, it distorts the market structure at the most basic level and determines the trend of the stock market continuing to decline in the future. The high underpricing of A-share market has already aroused widespread concern and become a hot spot of academic research, and various theoretical explanations emerge in endlessly. Among them, information asymmetry theory and winner-curse hypothesis and investment bank hypothesis are well known and accepted. However, the strong Chinese characteristics of the A-share market clearly cannot be explained by these theories rooted in mature western markets. Later, some scholars tried to explain the high underpricing of our stock market from the efficiency of the capital market by using "speculative bubble hypothesis" and "excessive optimism of investors", but the result was also few. Due to the relatively late development of the securities market in China and a series of problems brought about by the reform of the split share structure formed by historical reasons, we must combine the special national conditions of our country. This paper studies the underpricing of A-share market in terms of the IPO system and its development history. In recent years, with the rapid development of China's economic system reform, China's securities market regulators have put forward a series of market-oriented reform measures for the new issue system. However, can the system reform of new issue really solve the problem of high underpricing of new issue in China? What is the impact of the new issue system on the underpricing of new stock issuance? It is of great significance to solve these problems for the healthy development of China's securities market. Based on this understanding, based on the analysis of the current research situation at home and abroad, this paper studies the problem of IPO underpricing from the theoretical and empirical aspects, starting from the actual situation of our country. In theory, this paper first lists many influencing factors and related relations of IPO underpricing, expounds the basic situation of IPO underpricing in China, and briefly reviews the process of the institutional change of IPOs in China. Secondly, using the institutional change theory of the new institutional economics, this paper analyzes the influence of the new issue system on the IPO underpricing in our country, including three aspects: the audit system of the new issue, the pricing mechanism of the new issue. Finally, the conclusion is drawn that the fundamental reason for the high underpricing of IPO in China lies in the non-market-oriented factors in the new issue system. It is pointed out that the phenomenon of high underpricing of IPO in China has been improved because of the market-oriented reform of the new issue system carried out by regulators in recent years. Empirically, in order to verify the impact of China's new issue system and its successive changes on IPO underpricing, this paper selects 2325 new shares in the A share market from 1992 to 2011 as samples, and selects the size of new share issuance, the interval between the date of new issue and the first day of listing. On the first day of new stock listing, the turnover rate, the issue cost and so on are used as control variables to construct an analytical model, which is based on descriptive statistics and variance analysis. Finally, the conclusion is drawn that the influence of several market-oriented reforms on China's IPO underpricing is significant. On the basis of theoretical and empirical analysis, this paper puts forward some policy suggestions to solve the problem of underpricing of new stock issuance in China, in order to benefit the healthy development of the stock market in China.
【学位授予单位】：河北经贸大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.51;F224

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