【摘要】：IPO定價問題及隨后長期表現，是首次公開發(fā)行研究領域的兩大熱點問題。這兩方面的問題極大的激發(fā)了金融理論界和實務界的興趣，越來越多的學者投入到對其理論和實證研究之中。確定新股的發(fā)行價格是新股發(fā)行中最重要最基本的環(huán)節(jié)，關系到各參與主體的根本利益，合理的發(fā)行定價，不僅影響新股上市后的長期表現，，而且直接影響股票市場的資源配置效率。 泰國股票市場是新興市場，發(fā)展不成熟，規(guī)范性較發(fā)達國家資本市場要遠為遜色。多年來，泰國資本市場有很多變化，例如國家動亂、自然災害、政治經濟、資本市場體制改革、投資者行為、美國危機等，這些內外部因素都影響泰國資本市場，尤其影響泰國IPO發(fā)行定價和IPO上市后的長期表現。研究泰國IPO定價影響因素及長期表現研究有利于提高泰國IPO股票發(fā)行定價效率、對投資者感興趣非常有好處、完善證券市場功能等都十分有益。 首先，本文介紹泰國資本市場的歷史以及解釋泰國IPO抑價現象的原因及政策建議。泰國市場IPO抑價是指新股發(fā)行定價存在低估現象，新股上市首日平均漲幅達30%。本文繼續(xù)考慮到CAPM模型的泰國市場定價因素分析，分析發(fā)現CAPM模型對泰國市場不完全適用，因為泰國資本市場是新興股票市場不成熟，市場制度的不完善欠缺成熟穩(wěn)定的市場環(huán)境及嚴格規(guī)范的法律法規(guī)。 其次，本文對泰國IPO定價影響因素進行實證研究，通過泰國IPO的數據回歸來尋找泰國IPO定價的影響因素。實證模型表明，每股收益和凈資產收益兩個因素顯著影響泰國股票市場IPO定價。每股收益反映了公司的盈利能力，如果一家公司的每股收益高，它可以導致更高的發(fā)行價。因此，每股收益和凈資產收益是發(fā)行人，承銷的公司確定新股發(fā)行價格時不能忽視的兩個因素。 最后，本文運用Excel和Eviews5.0兩種軟件處理數據，通過計算和統計參數檢驗研究IPO上市后三年內的長期表現。采用的方法有：IPO超額收益率（AR）、累積異常收益率法（CAR）、購買并持有異常收益率法（BHAR）、財富相對數（WRs）及三因素模型(Fama-French3-factor model)。本文研究發(fā)現泰國IPO存在顯著的長期弱勢，其長期績效表現顯著弱于市場表現，表明泰國的IPO股票不適合長期持有，資源沒有得到合理的分配。 本文的創(chuàng)新之處主要體現在以下三點： 1)由于在中國一直沒有研究過泰國IPO定價影響因素及長期表現研究方面，所以本文以通過研究泰國IPO定價影響因素及長期表現方面，可以更加理解泰國宏觀經濟、資本市場的發(fā)展情況、泰國證券交易所收益率、證券交易委員會規(guī)則、風險投資等。 2)本文把影響IPO定價的8個基本因素，即股市開盤指數(Stock Market IndexOpen)、市盈率（Price Earning Ration，簡稱P/E）、每股收益（Earnings Per Shares，簡稱EPS）、資產收益率(Return OnAssets，簡稱ROA)、凈資產收益率（Return OnEquity，簡稱ROE）、負債權益比率(Debt to Equity，簡稱DE)、流動資產比率(Current Ratio，簡稱CA)及股票發(fā)行規(guī)模(Issue Size，簡稱SIZE)，引入到IPO定價的研究中，綜合考慮了影響新股定價的因素并進行了分析，將IPO定價影響因素中表現出來，對于科學、公正、合理的新股定價又提供了一種切實可行的方法。 3)據本人查過很多泰文的資料，發(fā)現還沒有學者使用三因素模型(Fama-French3-factor model)進行研究泰國IPO長期表現研究。以前研究者對IPO長期表現的實證研究一般只使用單一的衡量指標不是完美解釋泰國IPO長期表現，本文在計算IPO長期超額收益時使用了多種衡量指標并分別進行了統計檢驗，這有助于保證計算結果的正確性。由于泰國二級市場缺乏對IPO長期表現的數據研究，本文主要采用超額收益率（AR）、累積異常收益率法（CAR）、購買并持有異常收益率法（BHAR）、財富相對數（WRs）及三因素模型(Fama-French3-factor model)對IPO長期表現進行研究并提出相應的建議。
[Abstract]:IPO pricing and its subsequent long-term performance are two hot issues in the research field of first public issue. These two aspects have greatly stimulated the interest of the financial theorists and the practical circles, and more and more scholars have invested in their theoretical and empirical studies. The determination of the issuing price of new shares is the most important and basic of the new issue. The link, which is related to the fundamental interests of the participants and the rational distribution pricing, not only affects the long-term performance of the new shares after the IPO, but also directly affects the efficiency of the allocation of resources in the stock market.
The Thailand stock market is a new market. The development is not mature and the capital market of the more developed countries is far inferior. For years, there have been many changes in the capital market of Thailand, such as state turmoil, natural disasters, political and economic, capital market system reform, investor behavior, the crisis of the United States and so on. These internal and external factors all affect the capital market of Thailand, In particular, it affects the long-term performance of the Thailand IPO issuance pricing and the IPO listing. The study of the influencing factors and long-term performance of the Thailand IPO pricing is beneficial to the improvement of the pricing efficiency of the Thailand IPO stock issuance, which is very beneficial to the interest of the investors and the improvement of the securities market function.
First, this paper introduces the history of Thailand capital market and the reasons and policy suggestions to explain the phenomenon of IPO underpricing in Thailand. The IPO underpricing in Thailand market refers to the undervaluation of IPO pricing, and the average increase of the first day of IPO is 30%.. This article continues to consider the analysis of the pricing factors of the Thailand market in the CAPM model and the analysis of the CAPM model to Thailand. The national market is not fully applicable, because the Thailand capital market is the immature stock market, the imperfect market system lacks the mature and stable market environment and the strict standard laws and regulations.
Secondly, this paper makes an empirical study on the factors affecting the pricing of IPO in Thailand. Through the return of the data of Thailand IPO to find the influencing factors of Thailand's IPO pricing, the empirical model shows that the two factors of earnings per share and net asset income significantly affect the IPO pricing in Thailand stock market. Earnings per share reflect the profitability of the company, if a company is High earnings per share can lead to a higher issue price. Thus, earnings per share and net asset earnings are two factors that can not be ignored by issuers and underwriting companies to determine the price of new shares.
Finally, this paper uses two kinds of software Excel and Eviews5.0 to deal with the data and study the long-term performance of IPO after three years by the calculation and statistical parameter test. The methods are: IPO excess rate of return (AR), cumulative abnormal return rate (CAR), purchase and possession of abnormal return rate (BHAR), wealth relative number (WRs) and three factor model (Fama-Fren) Ch3-factor model). This study found that Thailand IPO has a significant long-term weakness, its long-term performance is significantly weaker than the market performance, indicating that Thailand's IPO stocks are not suitable for long-term holdings, and the resources have not been properly allocated.
The innovations of this paper are mainly embodied in the following three points:
1) since there has been no research on the influencing factors and long-term performance of Thailand's IPO pricing in China, this article can understand the macroeconomic conditions of Thailand, the development of the capital market, the rate of the stock exchange, the securities and Exchange Commission rules, and the risk of the long-term performance of the Thailand's pricing factors and the long-term performance of Thailand. Investment and so on.
2) this paper deals with 8 basic factors affecting the pricing of IPO, namely the Stock Market IndexOpen, the Price Earning Ration (P/E), the earnings per share (Earnings Per Shares, EPS), the rate of return on assets, the rate of return on net assets, and the ratio of equity to equity. Y, DE), Current Ratio (CA) and stock issue scale (Issue Size, referred to as SIZE), introduced into the study of IPO pricing, comprehensively consider the factors affecting the pricing of new shares and carry out analysis, and show the factors affecting the pricing of IPO, and provide a practical option for scientific, fair and reasonable IPO pricing. The way to do it.
3) according to the data of a lot of Thai, we found that no scholars have used the three factor model (Fama-French3-factor model) to study the long-term performance of Thailand's IPO. The previous empirical research on the long-term performance of IPO generally only used a single measure index not to explain the long-term performance of the IPO in Thailand, and this article is to calculate the long term overload of IPO. It is helpful to ensure the correctness of the calculation results. Because of the lack of data research on the long-term performance of IPO in the two level market in Thailand, this paper mainly adopts the excess return rate (AR), the cumulative abnormal return method (CAR), the purchase and possession of the abnormal return rate (BHAR), and the relative wealth. The WRs (Fama-French3-factor) and the three factor (model) model are used to study the long-term performance of IPO.
【學位授予單位】：重慶大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F831.51;F224

【引證文獻】

相關博士學位論文 前1條

1 劉昱劭;亞洲國家和地區(qū)股票與外匯市場變動研究[D];廈門大學;2014年

本文編號：2141014