中国承销商声誉与IPO长期弱势关系的研究

发布时间：2018-05-29 01:19

本文选题：承销商声誉 + IPO长期弱势　；参考：《辽宁大学》2013年硕士论文

【摘要】：自Ritter（1991）在他的经典论文中首次完整全面地提出IPO长期弱势现象以来，IPO长期弱势问题受到了理论界学者的关注，成为了20世纪90年代股票首次公开发行问题研究中最活跃的领域之一。大量的欧美学者和众多发展中国家学者从不同角度对IPO长期弱势这一现象进行分析，从而希望能够合理解释这一现象，其中包括了从承销商声誉角度出发的实证研究。在首次公开发行股票过程中，承销商声誉发挥了重要的作用。承销商发挥“信息披露”与“中介认证”功能的基本保证便是其自身声誉。作为重要的无形资产，承销商声誉是发行企业与投资者对承销商长期表现的一种认可度的象征性标志。承销商声誉无法通过短期经济主体之间的交易而获取，它的形成是一个长期性的过程，并且具有其与生俱来的脆弱性。承销商为了维护其声誉资本以及提高未来收入、增加市场份额，其常常会避开承销那些风险较高的新股发行，即声誉较高的承销商往往挑选那些未来具有良好收益、具有发展潜力的公司。也就是说，承销商声誉与IPO长期弱势现象之间应当是是负相关关系。本文选取了2008年和2009年在上交所、深交所上市的175只A股股票数据作为样本，通过研究2008、2009年的A股数据上市三年内的市场表现，揭示承销商声誉与A股企业IPO长期弱势之间的关系。本文使用购买持有期（buy and holdperiod）方法计算IPO企业的长期回报率，采取市场份额的方法对承销商声誉进行排名，同时引进了新股发行的首日初始回报率、股票上市后的首日换手率以及发行企业首次募集资金规模的对数这三个控制变量。然后构建了模型，对解释变量与被解释变量进行相关性检测后，进行多元线性回归分析。研究发现，，在我国证券市场中，特别是2008、2009年的股票市场，承销商声誉机制表现并不充分，即承销商声誉的作用并没有在我国金融市场中得到充分的发挥。这可能与我国证券市场有效性不强、监管体系不健全等因素有关，所以导致了承销商声誉与IPO长期弱势之间的负相关关系在我国并没有体现的特别明显。因而，最后有针对性的提出了政策建议。比如，完善IPO企业筛选机制的市场化以及建立成熟的监管机制等等。
[Abstract]:Since Ritter (1991) put forward a complete and comprehensive IPO weakness in his classic paper, the long-term disadvantaged problem of IPO has attracted the attention of the theorists, and has become one of the most active fields in the research on the issue of the first public issue of stock in 1990s. The point of view is to analyze the long-term weakness of IPO, so as to explain the phenomenon reasonably, including the empirical study from the perspective of the underwriter's reputation.
Underwriters' reputation plays an important role in the initial public offering of stocks. Underwriters' basic guarantee of "information disclosure" and "intermediary certification" is their own reputation. As an important intangible asset, the underwriter's reputation is a symbol of the recognition of the long-term performance of the issuer and the investor. The underwriter's reputation cannot be acquired through the transaction between the short-term economic entities, and its formation is a long-term process and has its inherent vulnerability. The underwriter often avoids underwriting the higher risk IPO issues in order to maintain its reputation capital and increase its future income. High reputable underwriters often choose companies that have good future benefits and have potential for development. That is, the underwriter's reputation and the long-term weakness of IPO should be a negative correlation.
In this paper, 175 A shares stock data listed in the Shanghai Stock Exchange in 2008 and 2009 are selected as samples, and the relationship between the underwriter's reputation and the long-term weakness of the A share enterprise IPO is revealed by studying the market performance of the 20082009 years' stock market in three years. This paper uses the purchase holding period (buy and holdperiod) to calculate the IPO enterprise. In the long term return rate, the market share is adopted to rank the underwriter's reputation, at the same time, the initial return rate of the first day of the new issue is introduced, the first day after the stock exchange and the logarithm of the initial raise of the fund are the three control variables. Then the model is built, and the explanatory variable and the explanatory variable are in phase. After the test, multiple linear regression analysis was carried out.
It is found that the underwriter's reputation mechanism is not fully displayed in the stock market, especially in the stock market of 20082009 years, that is, the role of the underwriter's reputation has not been fully played in our financial market. This may be related to the low effectiveness of our securities market and the unsound supervision system. The negative correlation between the reputation of the salesman and the long-term weakness of IPO has not been particularly evident in our country. Therefore, the policy suggestions are put forward in the end. For example, the marketization of the IPO enterprise screening mechanism and the establishment of a mature regulatory mechanism, etc.
【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】：F832.5

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