本文選題：IPO折價 + 首日超額收益��； 參考：《復旦大學》2013年碩士論文

【摘要】：IPO折價是全世界股票市場普遍存在的一個現象,但在各國的折價程度有所不同,同時,各國主板市場和創(chuàng)業(yè)板市場的IPO折價程度也有所不同。本文主要研究的是我國主板、中小板和創(chuàng)業(yè)板IPO折價的影響因素。 本文首先梳理并分析了我國新股發(fā)行體制、發(fā)行方式及定價方式的改革歷程,然后分別從一級市場、二級市場及不同板塊的差異三個角度來分析造成IPO折價的因素。 實證部分選取了三個板塊2004年以來共1248家公司的IPO數據,對不同時期的各板塊首日超額收益率進行了統(tǒng)計描述和分析,并選取了IPO融資規(guī)模、發(fā)行費用、主承銷商聲譽、ROE、ROA、EPS、上市首日換手率、中簽率、市盈率和上市等待期等十個變量,采用逐步回歸的方法,建立了三個板塊的多元回歸模型。其中募集費用、ROE、換手率、募集金額入選主板模型；EPS、募集費用、市盈率和換手率入選中小板模型；上市等待期、中簽率、換手率入選創(chuàng)業(yè)板模型。此后本文分別采用最小二乘法和分位數法對三個模型進行了回歸和對比分析,通過分位數回歸發(fā)現,各變量在不同分位上對于首日超額收益率的影響程度并不是確定不變的,而是存在上升或下降的趨勢。 最后,對于本文的研究結果進行了總結,并從定價機制、詢價機構范圍、信息披露制度和對投資者的投資教育等方面提出了一些建議。
[Abstract]:IPO discount is a common phenomenon in the stock market all over the world, but the discount degree is different in different countries. At the same time, the discount degree of IPO in main board market and gem market is also different. In this paper, the main research is the main board, small and medium board and gem IPO discount factors. This paper first combs and analyzes the reform course of the new issue system, issuing method and pricing mode in China, and then analyzes the factors that cause the IPO discount from the three angles of the difference of the primary market, the secondary market and the different plates. The empirical part selects the IPO data of 1248 companies from three plates since 2004, describes and analyzes the first day excess return of each plate in different periods, and selects the scale of IPO financing, the issue cost, and so on. The principal underwriter's reputation is ROEO / OAA EPS.Ten variables, such as turnover ratio, winning ratio, price-earnings ratio and waiting period, are used to establish a multivariate regression model for three plates by using the method of stepwise regression. Among them, the collection fee ROE, the turnover rate, the amount of money is selected into the main board model EPS, the raising fee, the price-earnings ratio and the turnover rate are selected into the small and medium-sized board model; the waiting period for listing, the winning rate and the turnover rate are selected into the gem model. Then we use least square method and quantile method to regression and contrast the three models. Through quantile regression, we find that the influence of each variable on the first day excess rate of return is not fixed in different quantiles. But there is an upward or downward trend. Finally, the research results of this paper are summarized, and some suggestions are put forward from the aspects of pricing mechanism, inquiry organization scope, information disclosure system and investment education for investors.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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本文編號：1897363