中国新股发行定价市场的实证研究与分析

发布时间：2018-08-03 20:41

【摘要】：新股首日高涨幅与长期弱势现象在全球资本市场中普遍存在，在中国股票市场尤为严重。寻找中国新股首日抑价与长期弱势现象的原因与影响因素一方面可以检验西方新股抑价与长期弱势现象的理论依据是否能解释中国新股发行市场的非理性行为，，另一方面有助于提升新股定价环节效率、优化资本市场资源配置能力。本文在对现有新股抑价与长期弱势学术研究进行归纳分析与总结的基础之上，对中国新股发行监管机制与定价机制的发展历程进行梳理，以新股询价机制实施以来的沪深两市上市企业作为研究样本，寻找首日高抑价的影响因素并进行分析。同时在分析比较两种长期超额收益衡量方法的基础之上，选用BHAR模型作为中国新股长期超额收益的度量标准，对新股长期超额收益以及与新股首日抑价幅度的关系进行实证分析。实证结果显示：(1)新股询价机制实施以来，中国新股首日平均抑价幅度为60%，显著高于发达市场平均抑价程度。其中市场情绪、上市首日换手率、网下有效申购中签率、发行市盈率、按发行股本调整后上一年每股净资产、上市首日流通股占总股本比例以及发行数量是影响新股首日高抑价的显著因素。西方学术界针对新股抑价现象提出的信息不对称理论以及承销商声誉理论在中国新股发行市场并没有得到良好的验证，二级市场的投机情绪是新股首日高抑价的主要原因之一。(2)中国新股存在着长期弱势现象，长期超额收益与新股首日抑价程度负相关。对于新股长期弱势现象的分析还需归结到首日高抑价原因的分析；同时，新股一级市场的不合理定价以及二级市场的非理性炒作反作用也是中国新股长期弱势的主要原因。
[Abstract]:High first-day gains and long-term weakness are common in global capital markets, especially in China. On the one hand, looking for the reasons and influencing factors of the first day underpricing and long-term weakness of new shares in China can test whether the theoretical basis of western IPO underpricing and long-term weakness can explain the irrational behavior of China's IPO market. On the other hand, it can improve the efficiency of new stock pricing and optimize the resource allocation ability of capital market. Based on the summarization and analysis of the existing underpricing and long-term weak academic research, this paper combs the development of the regulatory and pricing mechanism of new stock issuance in China. Taking the listed companies in Shanghai and Shenzhen stock markets since the implementation of the new stock inquiry mechanism as the research samples, the factors affecting the high underpricing on the first day are found and analyzed. At the same time, on the basis of analyzing and comparing two methods of measuring long-term excess return, BHAR model is chosen as the measurement standard of Chinese new stock long-term excess return. This paper makes an empirical analysis on the relationship between the long-term excess return of new shares and the range of underpricing on the first day of new shares. The empirical results show that: (1) since the implementation of the IPO inquiry mechanism, the average underpricing range of the first day of the IPO in China is 60%, which is significantly higher than the average underpricing degree in the developed markets. Among them, the market sentiment, the turnover rate on the first day of listing, the successful purchase rate under the net, the price-earnings ratio of the issue, and the net assets per share of the previous year after the adjustment of the issuing share capital, The ratio of outstanding shares to total equity and the number of shares issued on the first day of IPO are the significant factors affecting the high underpricing on the first day of IPO. The information asymmetry theory and underwriter reputation theory put forward by western academic circles on the underpricing of new shares have not been well verified in China's new issue market. The speculative sentiment in the secondary market is one of the main reasons for the high underpricing of new shares on the first day. (2) there is a long-term weakness in Chinese new stocks, and the long-term excess returns are negatively correlated with the degree of underpricing on the first day of new shares. The analysis of the long-term weakness of new stock should be attributed to the reason of high underpricing on the first day, at the same time, the irrational pricing and irrational speculation in the secondary market are also the main reasons for the long-term weakness of new stock in China.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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