承销商行为及声誉对IPO抑价影响的研究

发布时间：2018-07-06 15:20

本文选题：IPO抑价 + 承销商行为　；参考：《大连理工大学》2013年硕士论文

【摘要】：本文基于中国发行市场背景,从承销商行为与声誉的角度研究了中国新股发行市场长期存在的IPO抑价现象。通过研究我国询价配售制度下的承销商行为,发现目前询价配售机制容易使得承销商与机构投资者因利益捆绑而达成“询价配售联盟”以获取溢价收益,使其有比较强烈的抑价动机。用演化博弈模型分析了“询价配售联盟”影响力对新股抑价的影响,以及这种影响随市场形势的变化所出现的变化。还对承销商和机构投资者利用中小投资者情绪的现象进行了理论分析,发现在我国中小投资者缺乏理性的情况下,承销商和机构投资者会利用中小投资者情绪炒高新股上市后价格,以获取溢价收益。考虑了我国发行背景下承销商声誉的特殊性,建立了承销商声誉影响抑价的模型,研究的结论表明高声誉承销商能够加重抑价。这使得高声誉承销商因为能够影响抑价而拥有部分市场势力,从而成为行业寡头。因此我国新股承销的市场类型应该是寡头与中小承销商共存。发行人因为非常在乎承销商声誉而接受高声誉承销商的高抑价,这也就是我国承销商声誉机制低效甚至失效的机理所在。实证检验发现,“询价配售联盟”影响力越大,则新股抑价程度越高。并且发现投资者情绪能够显著影响抑价,即投资者情绪高涨程度越大,则新股溢价越高。但长期的高溢价是不可能的,随着我国资本市场投融资渠道的增多,市场理性的增加,抑价程度逐渐降低,并且在长期趋近于某个大于零的值。对声誉影响抑价的检验结果表明,高声誉承销商能够在一定程度上加重抑价,这说明我国承销商声誉机制是失效的。
[Abstract]:Based on the background of China's IPO market, this paper studies the long-existing IPO underpricing phenomenon in China's IPO market from the perspective of underwriter's behavior and reputation. By studying the underwriters' behavior under the inquiry placing system in China, it is found that the current inquiry placing mechanism makes the underwriters and institutional investors reach an "inquiry placement alliance" to gain premium income because of the interests of the underwriters and institutional investors. Make it have stronger underpricing motive. By using evolutionary game model, this paper analyzes the influence of "inquiry placing alliance" on the underpricing of new shares and the changes of this influence with the change of market situation. It also analyzes the phenomenon that underwriters and institutional investors make use of the emotion of small and medium-sized investors, and finds out that in our country, the small and medium investors lack rationality. Underwriters and institutional investors will use the sentiment of small and medium investors to raise the price of new shares after listing, in order to earn premium income. Considering the particularity of underwriter reputation in our country, the underwriter reputation influence underpricing model is established. The conclusion of the study shows that high reputation underwriter can aggravate underpricing. This makes high-reputation underwriters have some market power because of their ability to influence underpricing and thus become industry oligarchs. Therefore, the market type of underwriting of new shares in China should be oligopoly and small and medium-sized underwriters. The issuer accepts the high underpricing of the high reputation underwriter because he cares very much about the underwriter's reputation, which is the reason why the underwriter's reputation mechanism is inefficient or even ineffective in our country. The empirical results show that the greater the influence of inquiry alliance, the higher the underpricing degree of new shares. It is also found that investor sentiment can significantly affect underpricing, that is, the higher the level of investor sentiment, the higher the premium of new shares. But the long-term high premium is impossible. With the increase of investment and financing channels in our capital market and the increase of market rationality, the degree of underpricing decreases gradually, and in the long run it approaches to a value greater than zero. The test results of reputation influence underpricing show that high reputation underwriters can increase underpricing to a certain extent, which indicates that our underwriters' reputation mechanism is invalid.
【学位授予单位】：大连理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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