本文關鍵詞：IPO抑價與后市流動性關系研究　出處：《南京航空航天大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： IPO抑價 后市流動性 股權結構 信息不對稱

【摘要】：IPO抑價是全球資本市場上的一個普遍現(xiàn)象，無論是發(fā)展中國家新興的證券市場，還是發(fā)達國家接近有效的成熟的證券市場。中國證券市場自成立以來一直具有較高的新股發(fā)行抑價率。過高的IPO抑價不僅會造成二級市場的震蕩，帶來巨額資金無序流動、激化市場參與者矛盾，使市場充斥著投機氛圍等種種現(xiàn)實問題，更從根本上妨礙資本市場資源配置功能的發(fā)揮。國外關于新股發(fā)行抑價的理論和實證研究己經(jīng)比較成熟，很多學者從多個角度探索了新股抑價的原因并提出了相應的對策，但都是以成熟市場為基礎。而我國作為典型的新興資本市場，市場機制還不完善，機構投資者發(fā)展還不成熟，資本市場流動性也存在很多限制，因此能否適用國外這些理論還有待考證。 Booth和Chua（1996）提出的“流動性促進假說”與Ellul和Pagano（2006）的“非流動性補償假說”從兩個對立的角度解釋了IPO抑價。前者認為IPO抑價導致的股權分散促進了后市流動性，，IPO抑價是因，后市流動性是果；而后者認為IPO抑價是對信息不對稱帶來的后市非流動性和流動性風險的補償，后市非流動性是因，IPO抑價是果。隨后國外很多學者都選取不同的樣本對這兩個假設進行了檢驗，但沒有得出統(tǒng)一的結論。這兩種截然不同的研究結論給人們帶來了困惑，也值得我們再次不斷的深入探討。 本文在總結國內(nèi)外研究現(xiàn)狀的基礎上，首先分析了這兩個假說的理論機理，然后選取2006到2011年中國滬深交易所上市的IPO公司的分筆高頻交易數(shù)據(jù)，運用橫截面多元回歸方法，對這兩個假說在中國的適用性進行了實證檢驗，并試圖尋找我國IPO高抑價的真正原因。本文得到的主要研究結論有以下三點： （1）“流動性促進假說”在中國市場并不成立。IPO抑價并不會促進股權分散，但分散的股權會帶來后市流動性水平的提高；另外在控制股權結構的前提下，IPO抑價對后市流動性沒有促進作用，相反，IPO抑價程度越大，后市流動性水平反而越低。 （2）“非流動性補償假說”在中國市場部分適用。國外廣泛流行的“信息不對稱理論”并不能解釋我國的IPO高抑價現(xiàn)象，在我國，IPO抑價其實是對后市非流動性和流動性風險的補償，但這種非流動性并不是由信息不對稱引起的。 （3）股票價格、交易量、市場價值、收益波動率都是影響流動性的重要因素；公司規(guī)模與股權分散度正相關，但公司成立年限對股權結構沒有顯著的影響；公司規(guī)模、公司成立年限、IPO時流通股比例都與抑價率顯著正相關，中簽率與IPO抑價顯著負相關，承銷商聲譽與IPO抑價之間的關系不太顯著。
[Abstract]:IPO underpricing is a common phenomenon in global capital markets, whether it is emerging securities markets in developing countries. Since the establishment of the Chinese securities market, the IPO underpricing rate has been high. Too high IPO underpricing will not only cause the secondary market shock. Bring huge amount of capital disorderly flow, intensify the contradictions of market participants, so that the market is full of speculative atmosphere and other practical problems. Foreign theoretical and empirical research on IPO underpricing has been more mature. Many scholars have explored the reasons of IPO underpricing from many angles and put forward corresponding countermeasures, but all of them are based on the mature market. However, as a typical emerging capital market, the market mechanism is not perfect in China. Institutional investors are not mature and there are many restrictions on capital market liquidity, so whether these theories can be applied to foreign countries remains to be verified. "liquidity Promotion hypothesis" proposed by Booth and Chuawei (1996) and Ellul and Paganoy 2006). The "non-liquidity compensation hypothesis" explains the IPO underpricing from two opposite angles. The former believes that the dispersion of shares caused by IPO underpricing promotes liquidity in the future. IPO underpricing is due to the future liquidity is the result; The latter believes that the IPO underpricing is the compensation for the future market illiquidity and liquidity risk brought by asymmetric information, and the aftermarket illiquidity is the reason. IPO underpricing is the result. Subsequently, many foreign scholars selected different samples to test the two hypotheses, but did not come to a unified conclusion. Also worth us to continue to explore in depth again. On the basis of summing up the current research situation at home and abroad, this paper first analyzes the theoretical mechanism of these two hypotheses. Then selected from 2006 to 2011 IPO listed in the Shanghai and Shenzhen Stock Exchange of China's high-frequency trading data, using cross-sectional multivariate regression method. This paper empirically tests the applicability of these two hypotheses in China and tries to find out the real reasons for the high underpricing of IPO in China. I.P.O. underpricing will not promote the dispersion of shares, but the dispersed equity will bring about a higher level of liquidity in the future; In addition, under the premise of controlling the ownership structure, IPO underpricing does not promote the liquidity, on the contrary, the greater the degree of IPO underpricing, the lower the liquidity level. The "non-liquidity compensation hypothesis" is partly applicable in the Chinese market. The widely used "information asymmetry theory" abroad can not explain the phenomenon of high IPO underpricing in China. IPO underpricing is actually compensation for future market illiquidity and liquidity risk, but this illiquidity is not caused by asymmetric information. 3) Stock price, trading volume, market value and return volatility are all important factors affecting liquidity; The size of the company is positively correlated with the degree of equity dispersion, but the company's founding years have no significant impact on the ownership structure; The size of the company, the proportion of outstanding shares and the underpricing rate are all positively correlated with the underpricing rate, the success rate is negatively correlated with the IPO underpricing, and the relationship between underwriter reputation and IPO underpricing is not significant.
【學位授予單位】：南京航空航天大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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