本文關(guān)鍵詞：第七次IPO重啟過程中IPO定價(jià)效率和新股破發(fā)根源的研究　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： IPO 定價(jià)效率 新股破發(fā) 隨機(jī)邊界模型 新股發(fā)行制度

【摘要】：首次公開發(fā)行(Initial Public Offerings,簡(jiǎn)稱IPO)是指公司股票首次在證券市場(chǎng)上向投資者公開發(fā)售的行為。世界各地的股票市場(chǎng)普通存在著這么一個(gè)現(xiàn)象：IPO股票在上市首日的收盤價(jià)格顯著大于其發(fā)行價(jià)格。我國A股市場(chǎng)這個(gè)現(xiàn)象也非常明顯。自從Ibbotson (1975)提出IPO抑價(jià)的概念并用這個(gè)概念來描述新股發(fā)行中長(zhǎng)期存在的“謎”之后,有關(guān)IPO抑價(jià)的研究層出不窮,相應(yīng)的解釋框架也有很多。主要可以劃分為兩大類：一類圍繞一級(jí)市場(chǎng)參與者之間信息不對(duì)稱展開分析,最終得到股票在一級(jí)市場(chǎng)有偏低的趨勢(shì),從而導(dǎo)致抑價(jià)現(xiàn)象；另一類研究通過分析二級(jí)市場(chǎng)投資者非理性和異質(zhì)預(yù)期等行為特征導(dǎo)致交易價(jià)格走高,從而導(dǎo)致抑價(jià)現(xiàn)象。前者主要用到微觀信息經(jīng)濟(jì)學(xué)理論,后者主要用到行為金融理論。 正當(dāng)抑價(jià)問題還尚未有定論之時(shí),中國的資本市場(chǎng)又為學(xué)者們提供了另一個(gè)研究課題——新股破發(fā),特別是中小板和創(chuàng)業(yè)板破發(fā)問題嚴(yán)重。為了明確研究問題的主題,明晰研究主體。筆者決定把研究的主體定位在“2009年6月至2011年12月31日期間中小板網(wǎng)下詢價(jià)的新股”。在這個(gè)研究范圍內(nèi)共有374只新股上市,其中49只新股破發(fā)。如此頻繁的破發(fā)引起了社會(huì)各界關(guān)于新股發(fā)行體制改革效果以及新股定價(jià)效率討論。筆者寫作本論文的初衷即為找到有實(shí)證支持的關(guān)于本輪發(fā)行改革的評(píng)價(jià)。 為了對(duì)本輪新股發(fā)行改革客觀給出評(píng)價(jià)。筆者提煉出四個(gè)問題以及與這四個(gè)問題相關(guān)的兩個(gè)主題作為研究?jī)?nèi)容。 四個(gè)問題即為： 第一、本輪新股定價(jià)效率研究中一級(jí)市場(chǎng)是否存在系統(tǒng)性定價(jià)偏高? 第二、定價(jià)偏高是否是由新股發(fā)行改革這一外部因素的影響導(dǎo)致? 第三、本輪新股發(fā)行經(jīng)歷的兩階段在改革效果上是否有所不同? 第四、破發(fā)主要源于一級(jí)市場(chǎng)還是二級(jí)市場(chǎng)或是兼而有之? 兩個(gè)主題即為：IPO定價(jià)效率和破發(fā)根源。前三個(gè)問題圍繞第一個(gè)主題,最后一個(gè)問題圍繞第二個(gè)主題。 不論是抑價(jià)還是破發(fā)都不符合有效市場(chǎng)的假定,所以有必要研究當(dāng)這些現(xiàn)象存在時(shí)的市場(chǎng)效率即IPO定價(jià)效率,通過這個(gè)效率來評(píng)價(jià)市場(chǎng)配置資源的能力。要研究IPO定價(jià)效率這一問題需要分兩步走：①選擇合適的效率衡量標(biāo)準(zhǔn)；②建立合適模型進(jìn)行量化研究。 現(xiàn)有評(píng)價(jià)IPO定價(jià)效率的標(biāo)準(zhǔn)有兩種：相對(duì)標(biāo)準(zhǔn)和絕對(duì)標(biāo)準(zhǔn)。本文中筆者首先依據(jù)經(jīng)濟(jì)學(xué)和金融經(jīng)濟(jì)學(xué)中提出的效率概念來評(píng)析這兩種標(biāo)準(zhǔn)的合理性,同時(shí)也指出這兩種IPO定價(jià)效率標(biāo)準(zhǔn)在研究A股第七次IPO重啟以來的定價(jià)效率時(shí)就存在缺陷。在此分析基礎(chǔ)上筆者提出適合衡量本輪IPO定價(jià)效率研究的標(biāo)準(zhǔn)。筆者認(rèn)為在任何發(fā)行制度下不可控的服從正態(tài)分布的隨機(jī)因素vi都會(huì)不可避免地存在,所以vi不應(yīng)視為導(dǎo)致定價(jià)無效率的因素。本文用(p*+vi)代表發(fā)行定價(jià)的有效率價(jià)格,其中p*代表股票內(nèi)在價(jià)值,在本文中筆者將用隨機(jī)邊界模型估計(jì)的確定邊界值代表股票內(nèi)在價(jià)值。因?yàn)镋(vi)=0,所以E(p*+vi)=E(p*),(其中p0代表新股發(fā)行定價(jià))是正值還是負(fù)值都是缺乏效率的表現(xiàn),所以用其絕對(duì)值代表一級(jí)市場(chǎng)定價(jià)的偏離有效率價(jià)格的程度,記為U1當(dāng)U1=0時(shí),發(fā)行定價(jià)則符合有效市場(chǎng)中關(guān)于效率的定義,即發(fā)行定價(jià)充分反映了所有與股票內(nèi)在價(jià)值有關(guān)的信息。U1越小,IPO定價(jià)效率越高。 如果將新股定價(jià)過程看作“產(chǎn)品生產(chǎn)”過程來看,那么投入代表公司價(jià)值的各項(xiàng)要素,最終“生產(chǎn)”出具有價(jià)值的股票。但是由于新股發(fā)行制度和市場(chǎng)的不完善,導(dǎo)致這個(gè)產(chǎn)品制造過程效率達(dá)不到100%,生產(chǎn)的產(chǎn)品不能完全合乎規(guī)格。也就是說股票“生產(chǎn)”過程都會(huì)受到單邊誤差的影響,這種情況下生產(chǎn)過程中的擾動(dòng)項(xiàng)就不滿足OLS的假定,實(shí)際上這是擾動(dòng)項(xiàng)可以分解為雙殘差形式,而這種情況下生產(chǎn)理論中誕生的隨機(jī)邊界分析方法就很適合了。所以本文采用隨機(jī)邊界模型研究本輪新股IPO定價(jià)效率和破發(fā)問題。 筆者提出的四個(gè)問題具有層進(jìn)關(guān)系。首先在不考慮具體外部因素來源的情況下,筆者考慮定價(jià)系統(tǒng)性偏離有效率價(jià)格是否由單邊誤差導(dǎo)致的,這一點(diǎn)可以通過模型中的單邊誤差項(xiàng)是否統(tǒng)計(jì)顯著來證實(shí)。在研究后發(fā)現(xiàn)本輪定價(jià)存在向上的單邊誤差項(xiàng)后,具體考慮這個(gè)偏離是否由發(fā)行制度缺陷導(dǎo)致,同時(shí)考慮本輪改革分為兩個(gè)階段的特征,加入虛擬變量分析兩階段單邊誤差是否有統(tǒng)計(jì)顯著的差異。最后針對(duì)48只破發(fā)股分別從一級(jí)市場(chǎng)和二級(jí)市場(chǎng)分析是否它們存在單邊誤差來判斷破發(fā)的根源。 根據(jù)實(shí)證結(jié)果的分析本文對(duì)上述四個(gè)問題給出如下的回答,即為本文的結(jié)論： 一、本輪新股發(fā)行中一級(jí)市場(chǎng)存在向上的系統(tǒng)性偏離。 二、新股發(fā)行制度改革的確導(dǎo)致了定價(jià)偏高,同時(shí)新股改革第二階段造成無效率的單邊誤差項(xiàng)較之第一階段要小。根據(jù)筆者給出的IPO定價(jià)效率的界定和衡量指標(biāo),筆者認(rèn)為第二階段改革在提高IPO定價(jià)效率上的舉措是有效的。 三、新股破發(fā)既源于一級(jí)市場(chǎng)定價(jià)過高,也源于二級(jí)市場(chǎng)低迷帶來的交易價(jià)格偏低。 本文的特色主要體現(xiàn)在以下三點(diǎn)： (1)根據(jù)實(shí)際背景修正已有IPO定價(jià)效率衡量標(biāo)準(zhǔn)。本文中筆者在對(duì)已有文獻(xiàn)中關(guān)于效率的兩種標(biāo)準(zhǔn)進(jìn)行分析的基礎(chǔ)上,指出其在研究本輪新股發(fā)行效率時(shí)均存在局限性,批判繼承已有文獻(xiàn)關(guān)于IPO定價(jià)效率的定義,提出適合本文研究對(duì)象的IPO定價(jià)效率定義。 (2)量化了新股發(fā)行制度對(duì)新股定價(jià)的影響程度。本文通過實(shí)證分析研究新股發(fā)行制度改革對(duì)新股定價(jià)影響方向和程度,并通過在模型中加入反映改革階段的變量,研究得到本輪新股發(fā)行改革不同階段的舉措對(duì)新股定價(jià)的影響,據(jù)此對(duì)新股第二階段改革效果給予客觀評(píng)價(jià)。 (3)通過實(shí)證分析對(duì)破發(fā)根源給出解釋。利用SFA模型分別分析一級(jí)市場(chǎng)發(fā)行定價(jià)偏離情況和二級(jí)市場(chǎng)交易價(jià)格偏離情況,找到破發(fā)是由哪個(gè)市場(chǎng)無效率導(dǎo)致的。
[Abstract]:The initial public offering (Initial Public Offerings, referred to as IPO) refers to the shares in the stock market public offering to investors on the stock markets around the world. There's a phenomenon: IPO shares listed on the first day of the closing price is significantly greater than the issue price. This phenomenon in China A stock market is also very obvious since Ibbotson (1975) after the concept of IPO Underpricing and used this concept to describe the long-standing issue of new shares "mystery", the study of the underpricing of IPO also has a lot of explanatory framework emerge in an endless stream, corresponding mainly can be divided into two categories: one around the information asymmetry between the level of market participants started the analysis, finally get a low trend in the stock market level, leading to underpricing; another kind of research through the analysis of two level of market investors irrational and heterogeneous expectations etc. Behavioral characteristics lead to higher transaction prices, which leads to underpricing. The former mainly uses micro information economics theory, the latter mainly uses behavioral finance theory.
While underpricing also has not yet been finalized at the time, provides another research subject of the capital market and the new break China for scholars, especially the small board and gem break serious problem. In order to clear the research topics, the research subject. The author decided to clear the positioning of the main research in the "new" small and medium-sized board of inquiry under the net during the period from June 2009 to December 31, 2011. In this study, within the scope of a total of 374 IPOs, of which 49 shares break. So the frequent break caused by the community about the IPO reform and IPO pricing efficiency are discussed. The author's original writing intention is to find empirical support for the the issue of the reform of the evaluation.
In order to objectively evaluate the reform of the new issue of new shares, the author refines four questions and two topics related to the four issues as the research content.
The four question is:
First, is there a systematic pricing in the first class of new stock pricing efficiency?
Second, is the price bias high due to the influence of the external factors of the IPO reform?
Third, is the two stage of the current issue of new shares different in the effect of the reform?
Fourth, the breakout mainly comes from the first - level market or the two - level market or is it concurrently?
The two topics are: IPO pricing efficiency and the root of the break. The first three issues around the first theme, and the last one around second topics.
Whether or not the underpricing break with efficient market hypothesis, it is necessary to study the phenomenon of the market efficiency that IPO pricing efficiency, the ability to evaluate the market allocation of resources through the efficiency. To study the IPO pricing efficiency needs to be divided into two steps: choosing the appropriate measure of efficiency; to establish the appropriate model for quantitative research.
The existing evaluation standards of IPO pricing efficiency has two kinds: the relative standard and absolute standard. This paper first puts forward the concept of efficiency on the basis of the rationality of economics and financial economics to analyze the two kinds of standards, it is pointed out that the two kinds of IPO pricing efficiency standards exist defects in the Research of A shares seventh times since the resumption of IPO pricing efficiency. On the basis of this analysis the author put forward the measure for research on IPO pricing efficiency standards. The author considers that obey not controllable in any issue system of random factors VI normal distribution is inevitable, so VI should not be considered as factors that lead to inefficient pricing. This paper use (p*+vi) issued on behalf of the pricing efficiency of the price, in which p* represents the intrinsic value of the stock, in this paper the author will use the stochastic frontier model to estimate the boundary value represents the intrinsic value of the stock. Because E (VI) =0, E (p*+vi) =E (p*), (wherein P0 represents the IPO pricing) is positive or negative is lack of efficiency, so the absolute value represents a market pricing efficiency from the price level, denoted as U1 when U1=0, IPO pricing is in accordance with the definition of effective market on efficiency that is the issue of pricing, fully reflect all relevant information and the intrinsic value of the stock of.U1 is small, IPO pricing efficiency is higher.
If the IPO pricing process as the "production" process, then put all the elements representing the value of the company, the final production of valuable stock. But because the shares are not perfect the issuing system and the market, resulting in the product manufacturing process efficiency up to 100%, the production of products that can not fully meet the specifications. Influence of stock "production process" will be one-sided error, in this case the disturbance in the process of production does not meet the OLS assumption, in fact, this disturbance can be decomposed into double residual form, and this kind of production in the context of stochastic frontier analysis theory is very suitable for birth. So this study on the model of stochastic frontier IPO IPO pricing efficiency and break.
The author puts forward four problems with progressive relationship. First, without considering the specific sources of external factors under the condition of considering pricing system deviation is whether the efficiency of price caused by unilateral error, this can be done by model of unilateral error is statistically significant to confirm. The study found that in the current round of pricing to exist the unilateral error, specifically considering the deviation caused by the issue of whether the defects in the system, considering the current round of reform is divided into two stages of feature, add a dummy variable to analysis whether there are differences in a statistically significant two phase error. Finally, 48 unilateral break shares respectively from the market level and two level market analysis whether they exist to break the unilateral error judgment source.
According to the analysis of the empirical results, this paper gives the following answers to the above four questions, that is, the conclusion of this article:
First, there is an upward systematic deviation from the first level market in the new issue of new shares.
Two, the IPO reform does lead to a high price at the same time, the reform of new second stage caused by inefficient unilateral error is smaller than that in the first stage. According to the definition and measure of the given IPO pricing efficiency, the author thinks that the second stages of reform initiatives in improving the IPO pricing efficiency is effective.
Three, the breakout of the new shares is not only due to the high price of the first level market, but also the low price of the transaction caused by the two market downturn.
The characteristics of this article are mainly reflected in the following three points:
(1) according to the actual background of the amendment of existing IPO pricing efficiency measure. This paper is based on two kinds of efficiency standard in the literature on the analysis, points out the limitations in the study of the current round of IPO efficiency exist, criticism and inheritance of the literature on the IPO pricing efficiency definition, defined the IPO pricing efficiency for the object of this study.
(2) the degree of impact on IPO pricing to quantify the IPO system. This paper studies the IPO reform of IPO pricing influence direction and degree through the empirical study, and reflect the reform stage by adding variables in the model, study the influence the current round of IPO reform is not the same stage of IPO pricing, which gives the objective evaluation of the effect of new second stage of reform.
(3) through empirical analysis, we explain the causes of breakage. We use SFA model to analyze the deviation of first tier market pricing and the two market trading price deviation, and find out which market failure rate is caused by the breakage.

【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)】：F830.91;F224

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