我国创业板新股破发现象及其影响因素研究

发布时间：2018-05-17 09:47

本文选题：创业板 + 新股破发　；参考：《东华大学》2013年硕士论文

【摘要】：我国股票市场自建立以来,新股申购一度被认为是不存在实际风险的安全投资地带,但2010年以来的破发现象打破了我国长期以来新股发行的“潜规则”,即“三高”(高发行价、高市盈率、高比例超募资金)现象,其中尤以创业板最为凸显。创业板在我国还是一个新兴市场,新股一股难求的现象是曾经中国资本市场的特征之一,破发,曾经仅是一小概率事件,但现今创业板的“破发潮”让打新者迷茫,让炒新者困惑,无论哪种参与方式,被套牢都变成了大概率事件。创业板是不同于主板和中小板的概念,中国创业板市场更是一个新兴的市场,不仅资本的存量比发达国家成熟的金融市场小得多,而且股票的波动性也大许多,市场波动方面具有很多独特的特征。与深圳主板、中小板相比,创业板首次公开发行必须具备的条件较低,公司规模小,但成长性较强。同时,创业板破发是市场各参与主体博弈的结果,其中市场行情及发行者、承销商、投资者的决策都是影响新股上市是否破发的重要因素。我国创业板从2009年10月30日首批28家企业挂牌创业板至2012年6月30日共上市332家企业,共46家公司首日上市跌破上市发行价,共76家公司首月上市跌破发行价,总发行股本560.86亿,其中流通股本212.51亿,上市公司市价总值8532.67亿元人民币,其中流通市值3060.11亿元人民币,行业覆盖包括制造业,信息技术业,交通运输、仓储业,传播与文化产业,批发和零售贸易业,社会服务业,农、林、牧、渔业以及采掘业等。本文通过对创业板新股上市首月破发的影响因子及其影响程度进行统计分析及多元回归分析,得出：股票的限售股比例、大股东持股比例、超募比例与破发程度存在一定的负相关关系；首日换手率、发行市盈率、新股发行价、净资产收益率(ROE)、资产收益率(ROA),与创业板新股破发程度呈现显著的正相关关系；在我国创业板新股发行破发事件中,市场情绪(发行费率、新股中签率)、首发日沪深300的收盘价格与破发程度同样存在影响的关系等结论,有效地弥补和完善现有创业板IPO定价理论与方法,帮助发行人有效地控制发行风险,帮助承销商降低承销失败的风险,引导投资者理性投资,减少投资者的羊群效应和盲从投机,进而提高投资收益率；引导有限的资源合理地在一、二级市场之间最优化配置,消除大量资金集中在一级市场打新股所造成的二级市场资金短缺的“失血”现象,进一步促进证券市场的整体协调发展。
[Abstract]:Since the establishment of the stock market in China, the application for new shares was once regarded as a safe investment zone without actual risks. However, the break-up phenomenon since 2010 has broken the "hidden rules" of new stock issuance in China for a long time. That is, "three high" (high issue price, high price-earnings ratio, high proportion of funds raised) phenomenon, especially the gem most prominent. The gem is still an emerging market in China. The phenomenon that new shares are hard to obtain is one of the characteristics of China's capital market. Breaking hair was once only a small probability event, but now the "breaking tide" on the gem confuses new players. Let the new speculators confused, either way to participate, is trapped into a high probability event. The gem is different from the concept of the main board and the small and medium-sized board. The gem market of China is also a new market. Not only is the stock of capital much smaller than the mature financial market in developed countries, but also the volatility of stocks is much greater. Market volatility has many unique characteristics. Compared with Shenzhen main Board and small and medium Board, gem IPO must have lower conditions, small company size, but strong growth. At the same time, the gem break is the result of the game among the participants in the market, in which the market price, issuer, underwriter and investor's decision are all the important factors that affect whether the new stock market breaks or not. From the first batch of 28 enterprises listed on the gem on October 30, 2009 to June 30, 2012, there are 332 enterprises listed in the gem. A total of 46 companies fell below the IPO price on their first day of listing, and 76 companies fell below the IPO price in the first month. The total issued share capital is 56.086 billion, of which the outstanding share capital is 21.251 billion, and the market value of the listed company is 853.267 billion yuan, of which the circulating market value is 306.011 billion yuan. The industry covers manufacturing, information technology, transportation, warehousing, etc. Communication and culture, wholesale and retail trade, social services, agriculture, forestry, animal husbandry, fisheries and extractive industries. Based on the statistical analysis and multiple regression analysis of the influencing factors and the degree of the breakage in the first month of gem new shares listing, this paper draws the following conclusions: the proportion of restricted stocks, the proportion of large shareholders holding shares, and the proportion of shares held by large shareholders. There is a negative correlation between overoffering ratio and breaking degree, the first day turnover ratio, price-earnings ratio, new issue price, net asset return rate (ROEO), asset return rate (ROA), and the breaking degree of new shares on the gem show a significant positive correlation. In China's gem IPO break incident, the market sentiment (the issuing rate, the success rate of the new shares, the closing price of the initial day, Shanghai and Shenzhen 300, and the breaking degree also have an impact on the relationship between the market sentiment and the breaking degree, and so on. Effectively make up and perfect the existing IPO pricing theory and method, help the issuer to control the issue risk effectively, help the underwriter to reduce the risk of underwriting failure, and guide investors to invest rationally. Reduce the herd effect of investors and blindly follow the speculation, and then increase the return on investment; guide the limited resources in the rational allocation between the primary and secondary markets, The phenomenon of "blood loss" caused by the shortage of capital in the secondary market caused by a large amount of funds concentrated in the primary market will be eliminated, and the overall coordinated development of the securities market will be further promoted.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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