本文選題：定價效率 + IPO抑價率　； 參考：《杭州電子科技大學》2013年碩士論文

【摘要】：IPO作為公司首次公開招股募資并在證券交易所掛牌交易的行為，在新股發(fā)行市場經(jīng)常出現(xiàn)高抑價現(xiàn)象，這種現(xiàn)象引起學術界的極大關注，很多學者對此己經(jīng)進行了深入系統(tǒng)的研究。創(chuàng)業(yè)板推出三年多來，已成為我國多層次資本市場重要的組成部分，為中小高新技術企業(yè)提供了新的融資平臺，也為投資者提供了新的投資渠道，具有許多積極的影響。但是，創(chuàng)業(yè)板IPO高抑價現(xiàn)象十分嚴重，遠遠高于主板市場、中小板市場，產(chǎn)生超額收益，創(chuàng)業(yè)板IPO的定價效率究竟如何，成為理論研究的熱點話題。因此，本文通過理論分析與實證研究，希望對我國創(chuàng)業(yè)板IPO市場定價效率問題進行深入研究，對提高資本市場融資效率和投資環(huán)境具有十分重要的理論和現(xiàn)實意義。 本文首先對IPO抑價理論進行了綜述，引出我國創(chuàng)業(yè)板市場現(xiàn)狀及存在的問題，即高發(fā)行市盈率和高IPO抑價率，本文認為投資者情緒以及IPO股票供求關系的不均衡可能是造成問題的原因。接著本文對影響IPO抑價率的因素進行理論分析并且在參考前人文獻的基礎上，，對選擇的解釋變量提出假設。 實證部分，本文首先進行描述性統(tǒng)計分析，然后通過絕對效率標準分析創(chuàng)業(yè)板IPO定價效率。本文發(fā)現(xiàn)，投資者情緒因素對IPO抑價率具有顯著影響，對抑價率解釋力最高的是首日換手率，表示了二級市場投資者的投資熱情。由于抑價率受到二級市場因素的影響，因此，本文認為不能利用抑價率作為衡量定價效率的唯一標準。在相對效率分析中，通過回歸模型，本文比較了創(chuàng)業(yè)板IPO發(fā)行價格和市場價格對公司價值信息的反映程度，然后將創(chuàng)業(yè)板回歸結果與主板樣本回歸結果進行比較，本文認為相對于主板市場我國創(chuàng)業(yè)板市場IPO定價效率較低，導致高抑價的主要原因不在于IPO發(fā)行價格過低，而在于二級市場股票交易價格偏高。本文還發(fā)現(xiàn)，二級市場價格無法反映公司內在價值的情況，因此，當市場價格受到二級市場情緒的重大影響，使得二級市場的價格無法有效地向價值回歸，當通過市場化的定價機制用于IPO發(fā)行價格的制定時，二級市場的影響又會在很大程度上進一步推高IPO發(fā)行價格。 最后，本文根據(jù)研究內容和結論，提出應當推進我國IPO發(fā)行審核制度的市場化改革以及定價制度的市場化革新，完善信息披露制度，加強對機構投資者的培育等政策建議。
[Abstract]:As an act of raising funds for initial public offering and trading on the stock exchange, IPO often appears high underpricing phenomenon in the new issue market, which has aroused great concern of the academic community. Many scholars have done in-depth and systematic research on this issue. Over the past three years, the gem has become an important part of the multi-level capital market in China. It has provided a new financing platform for small and medium-sized high-tech enterprises and a new investment channel for investors, which has a lot of positive effects. However, the phenomenon of high underpricing in gem IPO is very serious, which is far higher than that in the main board market, small and medium-sized board market, producing excess returns, and the pricing efficiency of gem IPO has become a hot topic in theoretical research. Therefore, through theoretical analysis and empirical research, this paper hopes to make a deep study on the pricing efficiency of IPO market in China, which is of great theoretical and practical significance to improving the efficiency of capital market financing and investment environment. This paper firstly summarizes the theory of IPO underpricing, and leads to the current situation and existing problems of gem market in China, that is, high issue price-earnings ratio and high IPO underpricing rate. This paper argues that investor sentiment and the imbalance of IPO stock supply and demand may be the causes of the problem. Then this paper makes a theoretical analysis of the factors that affect the IPO underpricing and puts forward the hypothesis of the selected explanatory variables on the basis of referring to the previous literatures. In the empirical part, this paper first carries on the descriptive statistical analysis, then analyzes the gem IPO pricing efficiency through the absolute efficiency standard. It is found that investor sentiment has a significant influence on IPO underpricing, and the best explanation for underpricing is the first-day turnover rate, which indicates the investment enthusiasm of investors in the secondary market. Because underpricing is influenced by secondary market factors, this paper argues that underpricing can not be used as the sole criterion to measure pricing efficiency. In the analysis of relative efficiency, through the regression model, this paper compares the extent of IPO issue price and market price to the company value information, and then compares the gem regression result with the main board sample regression result. This paper argues that the low efficiency of IPO pricing in China's gem market compared with the main market, the main reason for the high underpricing is not the low issue price of IPO, but the high stock exchange price in the secondary market. This paper also finds that the secondary market price can not reflect the internal value of the company, therefore, when the market price is greatly affected by the secondary market sentiment, the secondary market price can not return to the value effectively. When the market pricing mechanism is used to establish the IPO issue price, the influence of the secondary market will further push up the IPO issue price to a great extent. Finally, according to the research contents and conclusions, this paper puts forward some policy suggestions, such as promoting the marketization reform of IPO issuance and auditing system and pricing system, perfecting the information disclosure system, and strengthening the cultivation of institutional investors.
【學位授予單位】：杭州電子科技大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F275

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