發(fā)布時(shí)間：2018-01-10 03:23

  本文關(guān)鍵詞：我國(guó)創(chuàng)業(yè)板新股破發(fā)原因探究　出處：《西南財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 破發(fā) 創(chuàng)業(yè)板 利益分配 IPO

【摘要】：長(zhǎng)期以來(lái),關(guān)于新股首日收益率的研究,一直是資本市場(chǎng)領(lǐng)域的熱門話題。過(guò)去股票市場(chǎng)長(zhǎng)期存在的新股首日收益率過(guò)高現(xiàn)象導(dǎo)致以往研究集中于對(duì)首日收益率為正現(xiàn)象的解釋,而對(duì)首日收益率為負(fù)(即新股上市首日跌破其發(fā)行價(jià)格)的現(xiàn)象關(guān)注比較少。自2010年以來(lái),我國(guó)股票市場(chǎng)運(yùn)行的一個(gè)重要特征是新股破發(fā)成為一種常態(tài)’。我國(guó)創(chuàng)業(yè)板處于發(fā)展初期,對(duì)于建立資本市場(chǎng)的多層次結(jié)構(gòu)起著至關(guān)重要的作用,其發(fā)展過(guò)程中產(chǎn)生的問(wèn)題非常值得關(guān)注。因此,本文選擇創(chuàng)業(yè)板破發(fā)的新股進(jìn)行研究。 創(chuàng)業(yè)板新股破發(fā)具有一定的積極意義,破發(fā)現(xiàn)象的出現(xiàn)說(shuō)明了股市風(fēng)險(xiǎn)的存在,使投資者從理念上改變“打新股”必定賺錢的預(yù)期,有助于遏制創(chuàng)業(yè)板自開(kāi)板以來(lái)大量新股上市首日遭遇爆炒以及巨額資金囤積一級(jí)市場(chǎng)獲取無(wú)風(fēng)險(xiǎn)收益等不合理現(xiàn)象。但大量新股成批地破發(fā)導(dǎo)致了大批申購(gòu)到新股的投資者利益受損等問(wèn)題的產(chǎn)生,如果長(zhǎng)此下去,定會(huì)影響我國(guó)創(chuàng)業(yè)板市場(chǎng)的和諧發(fā)展。因此,非常有必要找出新股破發(fā)現(xiàn)象背后的原因,并針對(duì)性的采取一些措施以保證我國(guó)創(chuàng)業(yè)板市場(chǎng)健康發(fā)展。 對(duì)于新股的發(fā)行價(jià)格與其上市首日交易價(jià)格(通常是收盤價(jià))之間差異產(chǎn)生的原因,國(guó)內(nèi)外學(xué)者做了大量的研究。國(guó)外經(jīng)典的研究理論對(duì)我國(guó)IPO定價(jià)研究有很大的啟示,但是并不能有效的解釋我國(guó)IPO市場(chǎng)的價(jià)格問(wèn)題(特別是最近出現(xiàn)的大量新股上市首日破發(fā)的問(wèn)題),這是因?yàn)閲?guó)外的經(jīng)典假說(shuō)基本上是以有效市場(chǎng)為前提條件的。而目前我國(guó)股票市場(chǎng)的有效性偏弱,一級(jí)市場(chǎng)新股發(fā)行定價(jià)制度還有待完善,二級(jí)市場(chǎng)價(jià)值發(fā)現(xiàn)功能還有待提高,投資者結(jié)構(gòu)中中小投資者占據(jù)主體,市場(chǎng)存在大量的投機(jī)行為。此外,我國(guó)股票市場(chǎng)還具有一些其他方面的特殊性(如：政府在股票市場(chǎng)的發(fā)展過(guò)程中扮演著極為關(guān)鍵的角色),而創(chuàng)業(yè)板更是一個(gè)新開(kāi)啟的極不成熟的市場(chǎng)。因此,國(guó)外經(jīng)典理論對(duì)我國(guó)創(chuàng)業(yè)板新股破發(fā)現(xiàn)象的解釋力度有限。 國(guó)內(nèi)學(xué)者對(duì)新股破發(fā)原因的分析主要集中在三個(gè)方面：其一是新股的高價(jià)、高市盈率發(fā)行；其二是相關(guān)投資者的行為;其三是低迷的市場(chǎng)環(huán)境。這些分析存在兩個(gè)問(wèn)題：一是沒(méi)有對(duì)高價(jià)、高市盈率發(fā)行這種現(xiàn)象背后的深層次原因進(jìn)行研究；二是新股破發(fā)現(xiàn)象背后的原因是復(fù)雜的,既有宏觀面的因素,也有中觀和微觀面的原因,如果將新股破發(fā)單純歸結(jié)為某一方面的原因,顯然不能對(duì)我國(guó)創(chuàng)業(yè)板市場(chǎng)大量持續(xù)的破發(fā)現(xiàn)象進(jìn)行很好的解釋。 本文的研究目的是以創(chuàng)業(yè)板上市首日破發(fā)的新股為樣本,分析影響創(chuàng)業(yè)板破發(fā)新股首日收益率的因素,這些因素能夠部分說(shuō)明創(chuàng)業(yè)板新股上市首日遭遇破發(fā)的原因。通過(guò)回歸分析,發(fā)現(xiàn)發(fā)行價(jià)格、發(fā)行規(guī)模、上市首日換手率這三個(gè)因素對(duì)創(chuàng)業(yè)板破發(fā)新股的首日收益率有顯著影響,這與影響主板新股破發(fā)的因素有所不同3。深入分析創(chuàng)業(yè)板新股破發(fā)現(xiàn)象背后的原因,對(duì)完善創(chuàng)業(yè)板新股發(fā)行制度,保護(hù)相關(guān)投資者利益,推動(dòng)創(chuàng)業(yè)板以及整個(gè)資本市場(chǎng)的健康發(fā)展具有十分重要的理論和現(xiàn)實(shí)意義。 本文的研究思路為：首先,對(duì)國(guó)內(nèi)外研究新股首日收益率影響因素的成果進(jìn)行一個(gè)回顧和梳理；其次,結(jié)合我國(guó)創(chuàng)業(yè)板的特點(diǎn)深入分析這些因素對(duì)創(chuàng)業(yè)板新股首日收益率可能的影響(即進(jìn)行理論上的分析),然后進(jìn)行實(shí)證檢驗(yàn);最后在研究結(jié)論的基礎(chǔ)上提出相應(yīng)的政策建議。 基于以上研究思路,本文將研究?jī)?nèi)容分為五個(gè)部分： 緒論部分首先闡述本文的研究背景和研究意義,提出本文的研究思路和邏輯結(jié)構(gòu),明確選用的研究方法,最后在章末說(shuō)明本文的創(chuàng)新和不足; 文獻(xiàn)回顧部分對(duì)研究新股首日收益率影響因素的國(guó)內(nèi)外文獻(xiàn)進(jìn)行了歸納和總結(jié),這些研究包括兩個(gè)方面,一是對(duì)新股正的首日收益率(即IPO抑價(jià))的研究,二是對(duì)新股負(fù)的首日收益率(即IPO破發(fā))的研究,對(duì)于新股的發(fā)行價(jià)格與其上市首日收盤價(jià)格差異產(chǎn)生的原因,大部分學(xué)者是圍繞一級(jí)市場(chǎng)發(fā)行定價(jià)或二級(jí)市場(chǎng)首日交易價(jià)格的合理性進(jìn)行研究： 理論分析部分借鑒文獻(xiàn)回顧部分國(guó)內(nèi)外關(guān)于新股首日收益率影響因素的研究成果,結(jié)合創(chuàng)業(yè)板的特點(diǎn)和我國(guó)股票市場(chǎng)的一些特點(diǎn)從理論上分析相關(guān)因素對(duì)創(chuàng)業(yè)板新股破發(fā)(即新股首日收益率為負(fù))可能的影響; 實(shí)證分析部分以2009年10月30日——2011年10月31日期間,在創(chuàng)業(yè)板上市首日跌破其發(fā)行價(jià)格的公司為樣本,以上市時(shí)公司公布的相關(guān)數(shù)據(jù)和上市時(shí)股票市場(chǎng)的基本情況為數(shù)據(jù)來(lái)源,采用多元線性回歸模型為工具,對(duì)理論分析部分提出的可能影響創(chuàng)業(yè)板新股破發(fā)的因素進(jìn)行實(shí)證分析,結(jié)果表明：我國(guó)創(chuàng)業(yè)板破發(fā)新股上市首日收益率主要與發(fā)行價(jià)格、發(fā)行規(guī)模、上市首日換手率有關(guān),與凈資產(chǎn)收益率、凈利潤(rùn)增長(zhǎng)率、市盈率、發(fā)行上市間隔時(shí)間、中簽率、上市當(dāng)日大盤收益率、破發(fā)頻率等無(wú)太大關(guān)系； 以實(shí)證研究的結(jié)果為基礎(chǔ),結(jié)論部分對(duì)我國(guó)創(chuàng)業(yè)板破發(fā)新股首日收益率的影響因素做了總結(jié)：發(fā)行價(jià)格與創(chuàng)業(yè)板破發(fā)新股的首日收益率之間存在著顯著的負(fù)相關(guān)關(guān)系,發(fā)行規(guī)模、上市首日換手率與創(chuàng)業(yè)板破發(fā)新股的首日收益率之間存在著顯著的正相關(guān)關(guān)系：在結(jié)論的基礎(chǔ)上：本文提出了下述建議：嚴(yán)格落實(shí)創(chuàng)業(yè)板新股定價(jià)過(guò)程中各方責(zé)任,在創(chuàng)業(yè)板新股發(fā)行定價(jià)過(guò)程中進(jìn)行窗口指導(dǎo),強(qiáng)化創(chuàng)業(yè)板信息披露、使價(jià)格真實(shí)反映公司價(jià)值,加強(qiáng)對(duì)創(chuàng)業(yè)板相關(guān)投資者的風(fēng)險(xiǎn)教育。 本文的創(chuàng)新之處與貢獻(xiàn)主要體現(xiàn)在以下三個(gè)方面：其一,本文的研究視角較新,以往關(guān)于IPO價(jià)格的研究集中在對(duì)新股首日收益率為正現(xiàn)象的解釋且研究的對(duì)象通常是主板或中小板,而本文關(guān)注的是新股首日收益率為負(fù)的現(xiàn)象且針對(duì)的是創(chuàng)業(yè)板；其二,以往國(guó)內(nèi)外大量學(xué)者的研究表明新股在一級(jí)市場(chǎng)的定價(jià)偏低導(dǎo)致了IPO抑價(jià)現(xiàn)象的存在,本文發(fā)現(xiàn)我國(guó)創(chuàng)業(yè)板新股的高價(jià)發(fā)行是影響其IPO破發(fā)的重要因素；其三,本文深入分析了創(chuàng)業(yè)板新股高價(jià)發(fā)行現(xiàn)象背后的新股利益相關(guān)者行為對(duì)新股破發(fā)可能的影響,這對(duì)研究主板和中小板的破發(fā)現(xiàn)象有一定的啟示。 本文的不足主要體現(xiàn)在以下兩個(gè)方面：其一,本文選取創(chuàng)業(yè)板上市首日破發(fā)的新股為樣本進(jìn)行研究,由于我國(guó)創(chuàng)業(yè)板開(kāi)啟時(shí)間還較短,時(shí)間跨度和樣本容量都比較有限,回歸結(jié)論受隨機(jī)因素的影響也比較大,故其對(duì)新股破發(fā)現(xiàn)象的解釋力還需在更長(zhǎng)時(shí)期內(nèi)用更多的樣本進(jìn)行檢驗(yàn);其二,本文主要結(jié)合創(chuàng)業(yè)板的特點(diǎn)從新股利益相關(guān)者的角度對(duì)創(chuàng)業(yè)板新股破發(fā)現(xiàn)象進(jìn)行研究,而新股破發(fā)現(xiàn)象背后的原因可能涉及到很多方面,如宏觀經(jīng)濟(jì)情況、甚至某些市場(chǎng)傳聞等等,這需要在今后的研究中進(jìn)一步的展開(kāi)。
[Abstract]:For a long time, the research on IPO returns, has been a hot topic in the field of capital market. In the past, the stock market long-term existence of the high rate of return on the first day led to the phenomenon of previous researches focused on the first day return is to explain the phenomenon, and on the first day return is negative (i.e., the first day of IPO fell below the issue price) the phenomenon of less concern. Since 2010, an important feature of China's stock market is to break new shares become the norm ". China's gem in the early stages of development, for the establishment of the capital market multi-layer structure plays a vital role in the course of the development of the problem therefore is very worthy of attention. In this paper, the choice of the gem break new shares were studied.
The significance of the gem shares break, appear to break the stock market risk, investors from the concept of "new" change will make money expected to help curb the gem since since the opening of a large number of new shares listed on the first day, a huge amount of money hoarding suffered stir the secondary market to obtain risk-free return etc. reasonable. But a large number of new shares to break led to a large number of new shares to purchase to damage the interests of investors and other problems, if things go on like this, will affect the harmonious development of the GEM market in China. Therefore, it is necessary to find out the reason behind the new break phenomenon, and take specific measures to ensure the healthy development of our the gem in China.
For the price of new shares listed on the first day of its trading price (closing price) the causes of the differences between the domestic and foreign scholars have done a lot of research. The theory of foreign classic has great inspiration for the study of IPO pricing in China, but it can't effectively explain China's IPO Market prices (especially a large number of the first day of IPO break recent problems), this is because the foreign classic hypotheses are basically based on the effective market as a prerequisite. At present, the effectiveness of the Chinese stock market is weak, the level of market IPO pricing system should be improved, two market value functions are to be improved, the medium and small investors the structure of investors in the market occupy the main body, there are a lot of speculation. In addition, China's stock market also has some other specialty (such as: the government in the stock market development process China plays a key role in the market, and the gem is a newly opened and immature market. Therefore, the interpretation of foreign classical theories is limited for the breakup of new stocks in China's gem.
Analysis of the causes of the new break of domestic scholars mainly focus on three aspects: one is the high price of new shares, high earnings release; second is related to the behavior of investors; the third is the downturn in the market environment. The analysis has two problems: one is not high, to study the deep-seated reasons behind the issue of the Gao Shiying rate the two is the reason behind the phenomenon; the new break phenomenon is complex, both macroeconomic factors, there are also reasons of meso and micro surface, if the shares break comes down to a simple reason, good interpretation is clearly not on the GEM market in China a large number of continuous break phenomenon.
The purpose of this study is to break new shares listed on the first day of the gem as the sample, analysis of influence factors of gem break IPO returns, these factors can explain the GEM listed shares on the first day of break encounter. By regression analysis, found that the issue price, issue size, listed on the first day turnover rate of these three factors is significant the impact on GEM break initial returns, the causes and influencing factors of different motherboard shares break behind the 3. in-depth analysis of the gem shares break phenomenon, to improve the gem IPO system, protect the interests of investors, it has very important theoretical and practical significance to promote the healthy development of the gem and the capital market.
The idea of this study is as follows: firstly, the domestic and foreign research results to the influencing factor of IPO returns a review; secondly, combining the characteristics of China's gem and in-depth analysis of these factors on the gem IPO yields may influence (i.e. analysis theory), and empirical test; based on the conclusions of the study and put forward the corresponding policy recommendations.
Based on the above research ideas, this paper divides the research into five parts:
The introduction part first describes the background and significance of the research, puts forward the research ideas and logical structure, and makes clear the selected research methods. Finally, it explains the innovation and deficiency of this article at the end of the chapter.
The part of literature review on the domestic and foreign literature on Influence Factors of IPO returns are summarized, the research includes two aspects, one is the new positive return on the first day (IPO underpricing) research, two of the shares of a negative return on the first day (i.e. IPO research, to break) the IPO price and the closing price listed on the first day of the reason of difference, most scholars study the rationality of the primary market around the issue of pricing or market two of the first day of trading:
The part of theoretical analysis from the literature review on the domestic and foreign research results of influence factors of IPO returns, combined with some characteristics of the gem and China's stock market analysis of related factors of the gem shares break in theory (i.e. the IPO yield is negative) may affect;
The part of empirical analysis in October 30, 2009 -- October 31, 2011, in the first day of the gem listing below the issue price of the company as the sample, based on the data of listed companies released and listed the basic situation of the stock market as a source of data, using linear regression model as a tool, on the part of theoretical analysis may propose empirical analysis, influence the factors of gem shares break shows that China's GEM listed shares on the first day of the main break rate of return and the issue price, issue size, listed on the first day turnover rate, and net assets yield, net profit growth rate, price earnings ratio, listing time interval, the success rate, the market rate of return on the day of listing, without too much the relationship between the break frequency;
Through an empirical study based on the results, the conclusion part summarizes the influencing factors of China's gem break IPO returns: the issue between price and gem break initial returns are negative correlation, significant issue size, listed on the first day turnover rate and there is a significant positive correlation between entrepreneurship break in initial returns: on the basis of the conclusion, the thesis proposes the following suggestions: to strictly implement the responsibility of the parties to the gem IPO pricing process, window guidance on the gem IPO pricing process, strengthen the information disclosure of gem, so that prices reflect the true value of the company, strengthen risk education for the GEM investors.
The innovation and contribution of this paper is mainly reflected in the following three aspects: first, the research perspective is relatively new, the past research on the price of IPO shares on the first day of focus on the rate of return is the explanation and research object is usually the motherboard or small plates, and this paper is concerned with a negative rate of return on the first day the phenomenon and for the gem; second, the previous research on a large number of domestic and foreign scholars show that IPO leads to IPO underpricing phenomenon exists in the low level of market pricing, this paper found that the important factors of high price of China's gem IPO is affected IPO broken hair; thirdly, this paper analyzes deeply behind entrepreneurship issuance of new shares at high prices of new shares in the phenomenon of stakeholders may affect the behavior of the new break, which is on board and small board break phenomenon has certain enlightenment.
This issue is mainly reflected in the following two aspects: first, this paper selects the GEM listed on the first day of break new shares as a sample for research, because of China's gem opening time is shorter, the time span and the sample capacity is relatively limited, the regression results by random factors is relatively large, so the new shares break phenomena are needed to test for longer periods of time with more samples; second, to study the gem shares break phenomenon in this paper combined with the characteristics of the gem IPO from the perspective of stakeholders, and find the reason behind the image shares break may be involved in many aspects, such as macro economic situation, and even some market rumors, the need for further research in the future.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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