我国创业板市场IPO初始收益研究

发布时间：2018-11-03 10:24

【摘要】：我国的创业板市场于2009年10月在深圳交易所开板,在不到四年的时间里,创业板一直都是股民们关注的焦点。主板市场的异常现象在创业板市场更加凸显,高超募、高市盈率、高收盘价愈演愈烈,同时,我国股票市场一直以来就存在着较高的IPO初始收益,尤其是创业板市场更为严重,远远超过世界平均水平。目前,学者们对这些现象的研究大多集中在主板市场,对创业板市场的研究还比较少。本文以创业板为研究对象,重点对创业板IPO(新股首次公开募股发行)存在的高初始收益问题进行研究。影响IPO初始收益的原因概括起来有两个：一是发行价过低,即从理性的角度解释为抑价(Underpricing);二是新股上市首日过度反应,即从非理性的角度解释为溢价(overpricing)。陇国证券市场历史较短,与发达国家成熟市场相比具有自己的特殊性。如我国股票发行实行审批制而国外大多是注册制,二级市场存在卖空限制等,这些因素的存在必然对IPO初始收益产生影响,进而从一级市场和二级市场的层面产生三点疑问。一级市场的发行定价能否充分反映新股的内在价值,是否存在IPO定价过低,并成为导致IPO高初始收益的主要因素?二级市场存在卖空限制,投资者的行为如何推高首日股价,使股票交易价格偏离其内在价值?投资者的非理性行为是否导致二级市场的无效,成为IPO初始收益存在的根本原因?沿着这一思路,从一级市场和二级市场两个层面展开对IPO初始收益进行了分析研究。以创业板355家上市公司为样本,通过剩余收益估值模型计算股票的内在价值,并与新股发行价格进行比较检验IPO一级市场是否存在抑价。以新股IPO二级市场溢价形成机理的理论分析为出发点,实证分析和检验了IPO二级市场溢价的影响因素。本文的结论是,造成我国股市IPO初始收益的原因并不是来自于一级市场,也就是说,我国IPO高初始收益的原因主要是二级市场溢价造成的。并且新股IPO高初始收益主要来自于投资者自身,由投资者的非理性行为和情绪造成。无论是正反馈交易者,还是狂热投资者,又或者是意见分歧都对IPO溢价产生显著影响。上市首日市盈率和公司年龄与IPO溢价程度呈正相关,但公司成长性、中签率、公司规模、行业类别与IPO溢价程度不相关。研究结果表明,我国的新股IPO定价机制通过几次改革,已经取得了实质性的进展,基本上实现了市场化。鉴于投资者非理性行为对IPO溢价的显著影响,本文提出了以下建议:第一,尽快取消我国股票市场的卖空限制。第二,施行更加严格的信息披露制度。第三，，建立严格的退市机制。第四,加强对投资者的教育,鼓励机构投资者的发展。本文研究意义在于,在目前我国创业板市场不够完善的背景下,通过对创业板市场IPO初始收益的研究,.将行为金融与信息不对称理论相结合、抑价和溢价的不同角度以及噪声交易者的引人,为全面解释我国IPO初始收益提供新的视点,有助于丰富我国IPO领域的相关研究,对于进一步完善我国股票市场,制定更加合理的投资政策,维护中国证券市场及社会的稳定都具有极其重要的意义。
[Abstract]:China's GEM market opened the board in Shenzhen Stock Exchange in October 2009. In less than four years, GEM has always been the focus of people's attention. The abnormal phenomenon of the main board market is more prominent in the GEM market, the high-rise, the high P/ E ratio and the high price-earnings ratio. At the same time, China's stock market has always existed a high initial income of the IPO, especially the GEM market, which is far more serious than the world average. At present, the research of these phenomena is mostly concentrated in the main board market, and the research on the GEM market is relatively small. This paper takes GEM as the research object, and focuses on the research on the high initial income of the IPO (IPO) of the GEM. The reason for the initial earnings of the IPO is summarized as follows: one is that the issue price is too low, that is, from the rational point of view to the restraint price; the second is the over-reaction of the first day of the listing of new shares, that is, from the irrational angle to the premium (overprintin). g) The history of the securities market of the developed countries is relatively short, and it has its own special characteristics in comparison with the mature market of developed countries. The existence of these factors will have an impact on the initial income of the IPO, and then produce three points from the level of the primary and secondary markets. Doubts. Whether IPO pricing of primary market fully reflects the intrinsic value of new shares, whether IPO pricing is too low, and becomes the main result of IPO high initial income. What's the factor? The second-tier market has short selling limits, and investors' behavior pushes high day stock prices so that the price of the stock exchange deviates from its inside. The value of the investor's irrational behavior leads to the invalidation of the secondary market, and becomes the fundamental of the initial income of the IPO The reason? Along this way, the initial proceeds from the first-class market and the secondary market are analyzed. Research. Based on GEM 355 listed companies as samples, calculate the intrinsic value of stock through the residual income valuation model, and compare with the issue price of new shares to check whether the IPO level market exists The paper analyzes and examines the effect of IPO secondary market premium on the basis of the theoretical analysis of the formation mechanism of IPO secondary market premium. The conclusion of this paper is that the reason why the initial income of IPO in our country is not from the first-level market, that is to say, the high initial income of IPO in China is mainly the second-level market premium. The initial proceeds of IPO are mainly from investors themselves, irrational behavior and emotion of investors Whether it is a positive feedback trader or a fanatical investor, or a difference of opinion, has a significant premium on the IPO premium Impact. The IPO price/ earnings ratio and the company's age are positively related to the IPO premium, but the company's long-term, medium-signed rate, company size, industry category and IPO premium level do not The research results show that China's IPO pricing mechanism has made substantial progress through several reforms, basically In view of the remarkable influence of irrational behavior of investors on IPO premium, this paper puts forward the following suggestions: First, cancel our stock market as soon as possible Short sale restrictions. Second, more stringent letters Interest rate disclosure system. Third, set up strict 4. Strengthening the education of investors and encouraging institutions to vote The purpose of this paper is to study the IPO market in the background of China's GEM market not perfect. The research of initial income, combining behavioral finance with information asymmetry theory, the different angles of price and premium as well as the leading person of noise traders, provides a new viewpoint for the comprehensive explanation of IPO initial income, which is helpful to enrich the relevant research in the IPO field of our country, and further Perfect the stock market of our country, make more reasonable investment policy, safeguard the stability of China's securities market and society
【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】：F832.51;F224

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