多重主体视角下新股定价调整行为测度研究

发布时间：2018-06-22 00:54

本文选题：IPO + 新股定价　；参考：《哈尔滨工业大学》2013年硕士论文

【摘要】：2009年我国新股发行市场开始第七次重启。但是，发行商、承销商和投资者之间的复杂关系使我国股市出现了新的问题。本文梳理了影响新股定价的各方面要素，总结出参与主体对新股定价调整的行为是对新股定价影响较为重要的环节。因此，本文提出了有关参与主体对新股定价调整行为的相关理论，通过分析我国主板市场的特点和实际状况，从参与主体（承销商、发行商、投资者）的多重角度，分析三者相互传导的机制和复杂关系如何影响了新股定价调整行为，进而影响发行价格变化的。本文界定了新股定价调整行为幅度和波动的概念，选取2009年6月至2012年4月我国主板市场上的460只新股数据对新股定价调整行为幅度和波动进行分析，发现我国新股发行价格调整幅度较大，但波动相对较稳定，尤其是不同时间、不同行业和不同承销商之间存在较为明显的差异。本文更进一步的对影响新股定价调整行为的因素进行了详细的描述并进行了分析，最后确定了11个变量对新股定价调整行为幅度的影响因素进行了实证分析。其中，本文创新性地提出了机构投资者信息提取程度和个人投资者信息提取程度两个变量，界定并分析了其对新股定价调整行为的影响程度。本文综合了参与主体的复杂关系对新股定价调整行为的影响，提出了投资者信息提取程度指标与其他影响股市变化的指标共同作用下，进行了新股定价调整行为幅度的实证研究分析。由实证结果可知，建立完善的承销商声誉机制有助于新股质量的提高，也有助于我国股票市场的稳定和增加我国股票市场的信心。同时，应该加强信息披露制度对信息的真实性和全面性的完善，，使参与主体可以更充分的进行理性决策，而不会盲目的使用主观情绪决定股市的参与行为。另外，股票市场化的改革，应该更多赋予投资者新股定价调整的参与过程中的权利和自由，逐步放松管制，实行引导管理。
[Abstract]:In 2009, China's new issue market began the seventh restart. However, the complex relationship between issuers, underwriters and investors causes new problems in China's stock market. In this paper, the factors affecting the pricing of new shares are reviewed, and it is concluded that the behavior of the participants in the adjustment of the pricing of new shares is a more important part of the impact on the pricing of new shares. Therefore, this paper puts forward the relevant theories about the behavior of the participants in adjusting the pricing of new shares. By analyzing the characteristics and the actual situation of the main board market in China, this paper analyzes the multi-point of view of the participants (underwriters, issuers, investors). This paper analyzes how the mechanism and complex relationship of the three factors affect the behavior of new stock pricing adjustment, and then affect the price change of the new issue. This paper defines the new stock pricing adjustment behavior range and fluctuation concept, selects 460 new stock data from June 2009 to April 2012 to analyze the range and fluctuation of new stock pricing adjustment behavior. It is found that the adjustment range of IPO price in China is large, but the fluctuation is relatively stable, especially there are obvious differences between different industries and different underwriters at different times. This paper further describes and analyzes the factors that affect the behavior of new stock pricing adjustment, and finally determines 11 variables to analyze the influencing factors of the behavior of new stock pricing adjustment. Among them, this paper innovatively puts forward two variables: the degree of information extraction of institutional investors and the degree of information extraction of individual investors, and defines and analyzes its influence on the behavior of new stock pricing adjustment. This paper synthesizes the influence of the complex relationship of the participants on the behavior of the new stock pricing adjustment, and puts forward that the index of investor information extraction and other indexes that affect the stock market change together. This paper makes an empirical study on the range of new stock pricing adjustment behavior. The empirical results show that the establishment of a sound underwriter reputation mechanism is conducive to the improvement of the quality of new shares, to the stability of the stock market in China and to the confidence of the stock market in China. At the same time, we should strengthen the information disclosure system to improve the authenticity and comprehensiveness of information, so that the participants can make rational decisions more fully, and not blindly use subjective emotions to determine the participation of the stock market. In addition, the reform of stock marketization should give investors more rights and freedom in the process of new stock pricing adjustment, gradually deregulate and guide management.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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