本文選題：首次公開發(fā)行 + 超額收益�。� 參考：《山東大學(xué)》2011年碩士論文

【摘要】：IPO首日超額收益現(xiàn)象在各國新股發(fā)行市場中普遍存在,不論是新興的證券市場,還是發(fā)達(dá)國家成熟的證券市場。中國證券市場自成立以來一直具有較高的新股發(fā)行初始收益率,該現(xiàn)象在增加了一級市場二級市場價格震蕩的同時,也阻礙了資本市場資金融通和資源配置功能的發(fā)揮,因此對于IPO首日超額收益現(xiàn)象,國內(nèi)外諸多學(xué)者根據(jù)各國市場進(jìn)行了大量理論與實(shí)證研究,早期的研究主要傾向于依據(jù)固典經(jīng)濟(jì)金融理論從一級市場抑價的角度對其進(jìn)行解釋,而后行為金融理論的發(fā)展為從二級市場溢價的角度進(jìn)行研究提供了新的依據(jù),以上研究得出了許多有重要意義的結(jié)論。 鑒于此,文章首先以現(xiàn)有的有關(guān)IPO首日超額收益的研究回顧為起點(diǎn),對國內(nèi)外學(xué)者的研究成果與結(jié)論進(jìn)行梳理,在對已有研究進(jìn)行分析歸納和總結(jié)后,概述了IPO一級市場抑價和二級市場溢價的形成機(jī)理。在實(shí)證研究方面,本文以1998年至2009年上市的908支股票為研究樣本進(jìn)行實(shí)證分析,以可比公司法確定IPO新股的合理價格,并在此基礎(chǔ)上進(jìn)行一級市場抑價和二級市場溢價的分離和回歸分析,實(shí)證研究結(jié)果表明,中簽率、首發(fā)市盈率、市盈率管制和發(fā)行制度對一級市場抑價存在顯著影響,而上市首日換手率、IPO前一季度歷史首日超額收益率的平均值、股本規(guī)模以及市場狀況對二級市場溢價有顯著影響,因此我國新股發(fā)行超高的初始收益率可以概括為風(fēng)險性因素、制度性因素以及非理性投資行為下綜合作用的結(jié)果。 通過分析實(shí)證研究結(jié)果,本文認(rèn)為要使IPO首日超額收益合理化,需要發(fā)行人、承銷商、監(jiān)管部門和投資者的共同努力：逐步推進(jìn)定價機(jī)制的市場化進(jìn)程；注重發(fā)行制度的建設(shè),推進(jìn)核準(zhǔn)制向注冊制的過渡；充分發(fā)揮政府在股票市場中的監(jiān)管作用；促進(jìn)金融市場多元化健康發(fā)展,培育投資者進(jìn)行理性投資。
[Abstract]:The phenomenon of excess return on the first day of IPO exists generally in the new stock market of various countries, whether it is the emerging stock market or the mature securities market in developed countries. Since its establishment, China's securities market has always had a relatively high initial return rate of new stock issuance, which not only increases the price volatility in the secondary market of the primary market, but also hinders the capital market capital financing and the function of resource allocation. Therefore, many scholars at home and abroad have carried out a lot of theoretical and empirical research according to the market of various countries for the phenomenon of excess return on the first day of IPO. The early studies mainly tend to explain it from the perspective of underpricing in the primary market according to the theory of solid economy and finance. Then the development of behavioral finance theory provides a new basis for the study from the perspective of secondary market premium. Based on the review of the existing research on IPO's first day excess return, this paper combs the research results and conclusions of domestic and foreign scholars, after analyzing and summing up the existing research, The formation mechanism of underpricing and premium in IPO primary market is summarized. In empirical research, this paper takes 908 stocks listed from 1998 to 2009 as a sample for empirical analysis to determine the reasonable price of IPOs in comparable company law. On this basis, the separation and regression analysis of the primary market underpricing and the secondary market premium are carried out. The empirical results show that the success ratio, the IPO price-earnings ratio, the price-earnings ratio control and the issuing system have significant effects on the first-level market underpricing. However, the turnover rate on the first day of IPO and the average of the first day excess yield in the first quarter before IPO, the scale of equity and the market condition have significant influence on the premium of secondary market. Therefore, the high initial yield of new stock issuance in China can be summarized as risk factor. By analyzing the results of empirical research, this paper argues that in order to rationalize the IPO's first day excess return, issuers and underwriters are needed. The joint efforts of regulators and investors include: gradually promoting the marketization process of pricing mechanism; paying attention to the construction of issuing system, promoting the transition from approval system to registration system; giving full play to the role of the government in the supervision of the stock market; Promote diversified and healthy development of financial markets and foster rational investment by investors.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2011
【分類號】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 朱南,卓賢;對我國股票首次公開發(fā)行抑價的實(shí)證分析[J];財(cái)經(jīng)科學(xué);2004年02期

2 曹鳳岐;董秀良;;我國IPO定價合理性的實(shí)證分析[J];財(cái)經(jīng)研究;2006年06期

3 杜莘,梁洪昀,宋逢明;中國A股市場初始回報(bào)率研究[J];管理科學(xué)學(xué)報(bào);2001年04期

4 李翔,陰永晟;發(fā)行管制變遷下的中國股市IPO首日回報(bào)率研究[J];經(jīng)濟(jì)科學(xué);2004年03期

5 張人驥,朱海平,王懷芳,韓星;上海股票市場新股發(fā)行價格過程分析[J];經(jīng)濟(jì)科學(xué);1999年04期

6 李康,楊興君,楊雄;配股和增發(fā)的相關(guān)者利益分析和政策研究[J];經(jīng)濟(jì)研究;2003年03期

7 王晉斌;新股申購預(yù)期超額報(bào)酬率的測度及其可能原因的解釋[J];經(jīng)濟(jì)研究;1997年12期

8 陳工孟,高寧;中國股票一級市場發(fā)行抑價的程度與原因[J];金融研究;2000年08期

9 宋逢明,梁洪昀;發(fā)行市盈率放開后的A股市場初始回報(bào)研究[J];金融研究;2001年02期

10 段進(jìn)東,陳海明;我國新股發(fā)行定價的信息效率實(shí)證研究[J];金融研究;2004年02期

相關(guān)博士學(xué)位論文 前2條

1 汪宜霞;基于抑價和溢價的中國IPO首日超額收益研究[D];華中科技大學(xué);2005年

2 武龍;噪聲交易者與中國IPO真實(shí)首日收益研究[D];華中科技大學(xué);2009年

相關(guān)碩士學(xué)位論文 前7條

1 張健;我國累計(jì)投標(biāo)詢價機(jī)制理論及實(shí)證研究[D];重慶大學(xué);2007年

2 喬玉婷;我國A股市場IPO抑價現(xiàn)象實(shí)證研究[D];首都經(jīng)濟(jì)貿(mào)易大學(xué);2008年

3 劉路;中國IPO首日超額收益理論與實(shí)證分析[D];復(fù)旦大學(xué);2008年

4 玄春姬;我國股票市場IPO上市日異�；貓�(bào)現(xiàn)象的實(shí)證研究[D];吉林大學(xué);2009年

5 張錦莉;滬深股市IPO溢價現(xiàn)象的研究[D];暨南大學(xué);2008年

6 楊飛雨;中國股票市場IPO抑價原因研究[D];青島大學(xué);2009年

7 朱菁;我國新股發(fā)行制度與IPO抑價關(guān)系實(shí)證研究[D];復(fù)旦大學(xué);2009年

，

本文編號：1987771