本文關(guān)鍵詞： IPO時機(jī) 臨界利潤 發(fā)行比例 抑價程度 熱發(fā)行　出處：《寧波大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：本文以實物期權(quán)理論、投資決策理論和博弈論為基礎(chǔ)，借助隨機(jī)控制、動態(tài)優(yōu)化方法、最優(yōu)停時理論、偏微分方程和Ito引理等數(shù)學(xué)工具，將企業(yè)微觀結(jié)構(gòu)和不同博弈信息結(jié)構(gòu)相結(jié)合，逐步引入流動性沖擊和投資項目壟斷權(quán)喪失的假設(shè)條件，構(gòu)建了IPO時機(jī)選擇模型。通過比較靜態(tài)分析和數(shù)值分析，得到了模型在新股抑價、長期弱勢和上市時間選擇方面的涵義；并利用創(chuàng)業(yè)板344家上市公司數(shù)據(jù)檢驗了模型在抑價方面的解釋力，將冷、熱發(fā)行市場與抑價關(guān)系聯(lián)系起來，并給出了進(jìn)一步發(fā)展和完善創(chuàng)業(yè)板的啟示。 論文首先分析了研究的背景及意義，介紹了研究目的、方法、研究思路和主要內(nèi)容，指出了研究可能的創(chuàng)新點及存在的不足；其次，對三大異象的相關(guān)研究做了歸納總結(jié)，較為詳細(xì)地綜述了國內(nèi)外IPO市場時機(jī)研究理論，并明確了研究現(xiàn)狀；再次，從投資視角采用標(biāo)準(zhǔn)的未定權(quán)益分析法，構(gòu)建了企業(yè)IPO時機(jī)選擇模型，求出了均衡時的顯性解或者隱性解；然后，借助函數(shù)求導(dǎo)和數(shù)值分析兩種方法，分析了各變量對企業(yè)IPO時機(jī)的影響；隨后，，基于創(chuàng)業(yè)板數(shù)據(jù)的實證，檢驗了模型在抑價方面的解釋力，得到冷、熱市場下抑價的成因；最后，歸納了論文結(jié)論，并結(jié)合實證提出了發(fā)展和完善創(chuàng)業(yè)板市場的啟示，點出了值得進(jìn)一步研究的內(nèi)容與方向。 研究得到的主要結(jié)論是：企業(yè)越早上市，愿意出售的股份比例也越大，股份的發(fā)行比例與IPO臨界利潤值成反向關(guān)系；企業(yè)IPO臨界利潤值隨著企業(yè)利潤的增長率變小、流動性沖擊給企業(yè)帶來的損失變低和預(yù)期未來失去某投資項目的可能性降低而變大，隨著無風(fēng)險利率升高、企業(yè)利潤的波動性變大、IPO固定成本增加和高質(zhì)量企業(yè)的比例上升而變小；抑價程度隨著流動性沖擊給企業(yè)帶來的損失增加、預(yù)期失去某投資項目的可能性升高、企業(yè)利潤的增長率變大及波動性的增加而變大，隨著無風(fēng)險利率增大和IPO固定成本的提高而變�。粍�(chuàng)業(yè)板冷、熱發(fā)行市場中新股抑價成因并不完全相同，投資者情緒、申購熱情和上市初期市場狀況顯著影響著新股的抑價程度。
[Abstract]:This paper is based on real option theory, investment decision theory and game theory, with the help of stochastic control, dynamic optimization method, optimal stopping time theory, partial differential equation and Ito Lemma, etc. Combining the micro structure of enterprise with different information structure of game, the paper introduces the hypothesis of liquidity shock and monopoly right loss of investment project step by step, and constructs the IPO timing model. The implications of the model in the aspects of underpricing, long-term weakness and timing of IPO are obtained, and the explanatory power of the model in underpricing is tested by using the data of 344 listed companies on the gem, and the relationship between cold and hot issuing markets and underpricing is connected. The enlightenment of further development and perfection of gem is also given. Firstly, the paper analyzes the background and significance of the research, introduces the purpose, methods, ideas and main contents of the research, points out the possible innovations and shortcomings of the research; secondly, summarizes the related studies of the three major anomalies. This paper summarizes the research theory of IPO market opportunity at home and abroad in detail, and clarifies the status quo of the research. Thirdly, from the perspective of investment, the paper constructs the IPO timing choice model of enterprise by using the standard undetermined equity analysis method from the perspective of investment. The explicit solution or implicit solution in equilibrium is obtained. Then, by means of function derivation and numerical analysis, the influence of each variable on the timing of enterprise IPO is analyzed. Then, based on the empirical analysis of gem data, This paper tests the explanatory power of the model in underpricing, and obtains the causes of underpricing in cold and hot markets. Finally, it summarizes the conclusions of the paper, and puts forward the enlightenment of developing and perfecting gem market. The content and direction of further study are pointed out. The main conclusions of the study are as follows: the earlier the enterprise goes public, the larger the proportion of shares it is willing to sell, and the reverse relationship between the issuing proportion of shares and the critical profit value of IPO, the critical profit value of enterprise IPO decreases with the growth rate of enterprise profit. The risk of a business losing less of a liquidity shock and the prospect of losing an investment project in the future are reduced and increased, as risk-free interest rates rise, The volatility of enterprise profits becomes larger, the fixed cost of IPO increases and the proportion of high-quality enterprises increases and decreases; the degree of underpricing increases with the loss of enterprises due to the impact of liquidity, and the possibility of losing an investment project is expected to increase. With the increase of risk-free interest rate and the increase of fixed cost of IPO, the growth rate of enterprise profits and the increase of volatility become smaller, and the causes of underpricing of new shares in the cold and hot issuance market of gem are not exactly the same. Purchase enthusiasm and initial market conditions significantly affect the underpricing of new shares.
【學(xué)位授予單位】：寧波大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.91;F224

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