我国创业板IPO抑价来源研究

发布时间：2018-06-08 22:20

本文选题：创业板 + IPO抑价　；参考：《东北财经大学》2013年硕士论文

【摘要】：2009年10月底我国成功推出创业板,这为我国证券市场注入了新鲜的血液,对推动我国资本市场的不断发展和完善也将起到举足轻重的作用。然而,刚刚起步的创业板也同样面临着各种问题。如上市企业资金超募现象、高管离职套现现象、散户不理性投资导致的套牢现象等等,这些现象无疑会影响到我国创业板的健康发展,那么产生这些问题的真正根源是什么——IPO抑价。创业板新股抑价幅度大且长期居高不下,发行价格和交易价格与股票内在价值的严重偏离对我国高新技术企业乃至资本市场的健康发展都将带来不利的影响：第一,一级市场上的稳赚不赔,极大提高了新股申购的无风险收益,致使大量本来可以用在生产流通领域的资金进入一级市场,助长投机泡沫的同时导致证券市场资金不能合理的配置,创业板的资源配置功能大大削弱。第二,一级市场上购买在二级市场上卖掉获利,这种短期套利行为吸引巨额资金短期内进出创业板,势必造成股市非正常的波动。本来创业板市场的投资风险大于主板市场,这样会进一步加大投资创业板的风险,既不利于投资者的投资,也不利于企业的长期发展。第三,创业板IPO高抑价现象是以过高的发行收益率泡沫为支撑的,随着时间的推移,股票价格终究是会向其内在价值回归的。当泡沫破裂的时候,创业板必定受到冲击,并且很可能会波及主板市场,对我国资本市场的发展造成致命的打击。 IPO抑价现象很复杂,市场有效假说和套利定价理论等这些传统的经济学理论已经不足以解释这一复杂的现象。虽然非对称信息理论模型一直在学术界盛行,但是所有关于IPO抑价理论都过分强调了自己的理论解释而忽视其他理论对IPO抑价的解释。同时,我国证券市场发展起步晚,大部分个人投资者的投资行为很不理性,造成股票二级市场不完全有效,这也就大大削弱了非对称理论对IPO的解释能力。行为金融学却能在市场不完全有效得情况下对IPO抑价做出解释,因此该理论也会在以后的研究中不断得到应用和发展。从现有的实证研究来看,主要使用OLS和主成分分析法来检验一级市场的抑价。这些回归使用的解释变量都是实际的发行价,因而,当一级市场存在人为折价发行时,这些回归方程就已经低估了IPO的真实价值,回归结果当然也就缺乏可信度。然而,随机前沿模型却能克服这些不足,为我们研究创业板IPO抑价现象开启了一扇新的大门本文在借鉴国内外学者研究成果的基础上,将创业板新股抑价在一二级市场上分开来研究。将检验生产过程中技术效率的随机前沿方法运用到新股定价中来,应用随机前沿分析软件Front4.1对IPO定价效率进行了实证研究,以验证一级市场是否存在人为压价发行新股的行为,将IPO抑价的主要原因定位到二级市场。同时,在对IPO抑价解释上,传统经济学显得越来越乏力,而行为金融学理论也越来越被人们接受。创业板新股”三高”现象与IPO高抑价现象并存,投资者的非理性情绪可能是重要的原因。一方面,我国创业板发行的新股都表现出“稀缺性”,大部分的投资者很难在一级市场上申购成功,这就把投资者对新股的盲目热情带到了二级市场,导致过度投机,进而推高了股票的首发价格。另一方面,我国证券市场起步较晚,国内投资者素质低,投资理论匮乏。这就导致对市场信息的反馈不理性,羊群效应明显。因此,本文首先寻找度量股票市场情绪的指标和代表个股情绪的指标,然后通过主成分分析法来构建投资者情绪综合指标,然后在加入一些控制变量的情况下对创业板IPO抑价率进行多元回归,进而来判断投资者情绪是否是创业板IPO抑价的真正来源。本文的主要结论如下：1.我国创业板IPO抑价不是来源于一级市场的抑价,更可能是源于创业板二级市场的溢价。2.投资者情绪是影响IPO抑价率的最主要的因素,我国创业板IPO抑价的真正原因是二级市场的溢价。3.我国创业板上市企业的数量和规模都偏小,股票供给不足,容易造成投资者通过投机炒作来提高二级市场的股票价格,从而导致新股的高抑价率。4.随着时间的推移,新股发行的抑价率越来越低。
[Abstract]:At the end of October 2009, China successfully launched the gem, which has injected fresh blood into China's securities market and plays an important role in promoting the continuous development and improvement of China's capital market. However, the startups that have just started also face various problems, such as the phenomenon of excessive fund raising of listed enterprises and the phenomenon of turnover of senior executives, These phenomena will undoubtedly affect the healthy development of the gem in China. What is the real root of these problems is the IPO underpricing, the large and long term underpricing of the gem IPOs, the serious deviation between the issue price and the transaction price and the intrinsic value of the stock to our country The healthy development of the high and new technology enterprises and even the capital market will bring adverse effects: the steady earnings in the first, first level market will greatly improve the risk-free income of the new share purchase, resulting in a large number of funds that could have been used in the field of production and circulation to enter the first level market, thus contributing to the speculative bubble and the lack of funds in the securities market. With reasonable allocation, the resource allocation function of the gem is greatly weakened. The purchase of the second, first level market is sold in the two level market, and the short-term arbitrage attracts a huge amount of money to enter the gem for a short time, which will cause the abnormal volatility of the stock market. The venture capital market will have more investment risk than the main board market, which will further add to the market. The risk of the big investment gem is neither beneficial to the investor's investment nor to the long-term development of the enterprise. Third, the high price underpricing of the gem is supported by the high issuance rate of return bubble, and the stock price will eventually return to its intrinsic value after the passage of time. When the bubble burst, the gem must be washed out. Hitting, and likely to affect the main board market, will cause a fatal blow to the development of China's capital market.
The phenomenon of IPO underpricing is very complicated. The traditional economic theories, such as the market effective hypothesis and the arbitrage pricing theory, have not been enough to explain this complex phenomenon. Although the asymmetric information theory model has been prevalent in the academic world, all the theories about IPO underpricing have overemphasized the theoretical explanation of its own and ignored the other theories to IPO At the same time, the development of the securities market in China started late, and the investment behavior of most individual investors was irrational, which resulted in the incomplete effectiveness of the two level stock market, which greatly weakened the interpretation ability of the asymmetric theory to the IPO. This theory will also be applied and developed continuously in future research.
From the existing empirical study, OLS and principal component analysis are used to test the underpricing of the first class market. These regression variables are all actual issuing prices. Therefore, these regression equations have underestimated the true value of IPO when the first level market exists, and the regression results are certainly lack of credibility. However, the stochastic frontier model can overcome these shortcomings, which opens a new door for us to study the IPO underpricing phenomenon of gem.
On the basis of the research results of domestic and foreign scholars, this paper studies the IPO underpricing in the one or two level market. The stochastic frontier method of testing the technological efficiency in the production process is applied to the IPO pricing, and the IPO pricing efficiency is empirically studied by the stochastic frontier analysis software Front4.1, in order to verify the first level market. Whether there is a behavior of issuing new shares artificially at a price, and locate the main reason of IPO underpricing to the two tier market.
At the same time, in the explanation of the IPO underpricing, the traditional economics is becoming more and more weak, and the behavioral finance theory is more and more accepted. The phenomenon of the "three high" of the gem new shares and the IPO high underpricing phenomenon coexist, the irrational emotion of the investors may be the important reason. On the one hand, the new shares issued by the gem in our country all show the "scarcity". "Most of the investors are difficult to succeed in the first level market, which brings the blind enthusiasm of the investors to the two level market, which leads to excessive speculation and higher initial price of the stock. On the other hand, China's securities market starts late, the quality of the domestic investors is low, and the investment theory is scarce. This leads to the market information. The feedback is irrational, the herd effect is obvious. Therefore, this paper first seeks to measure the index of the stock market sentiment and the index representing the sentiment of the stock, and then constructs the investor sentiment index by the principal component analysis method, and then multiple regression on the IPO underpricing rate of the venture board in the case of some control variables. Investor sentiment is the real source of gem IPO underpricing.
The main conclusions of this paper are as follows: 1. the IPO underpricing of China's gem is not from the underpricing of the first level market, but also the premium.2. investor sentiment derived from the gem of the gem is the most important factor affecting the IPO underpricing rate. The real reason for the IPO underpricing of the gem in China is the premium of the two level market.3. in China's GEM listed enterprises. The quantity and scale are small and the stock supply is insufficient, it is easy to cause the investors to raise the stock price of the two level market by speculation, which leads to the high underpricing rate.4. of new shares, and the rate of underpricing of new stock issue is getting lower and lower as time goes on.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

【参考文献】