本文關鍵詞： IPO 多因素模型 因子分析 逐步回歸法　出處：《長春工業(yè)大學》2012年碩士論文　論文類型：學位論文

【摘要】：上市公司首次公開發(fā)行股票(IPO)是指準備公開上市的股份有限公司通過社會融資擴大股東股權(quán)范圍和增加社會公眾持股比例。新股發(fā)行定價的合理與否關系到發(fā)行人、投資者和承銷商切身利益,一級發(fā)行市場和二級流通市場之間的轉(zhuǎn)換影響,而且也直接影響到一國資本市場的資源配置效率。而上市公司IPO溢價則是指上市公司發(fā)行的新股在公開發(fā)行定價的過程中存在一定的價值低估問題,顯著表現(xiàn)為首次發(fā)行新股的發(fā)行價格明顯低于新股上市二級市場流通時首日的收盤價,鑒于這樣的現(xiàn)象存在,理性投資者只需在一級市場上認購新股,然后在新股上市首日的二級市場拋出就能夠獲得一定的超額報酬率,實踐中的這種現(xiàn)象和理論界的有效市場假說存在一定的沖突,金融界將其稱之為“IPO之謎”。 國外發(fā)達國家對IPO定價的基本理論和實踐研究起步比較早,在實際的運用過程中也產(chǎn)生了較好的效果。我國的諸多研究學者曾經(jīng)嘗試將國外已經(jīng)成熟的金融理論運用于我國證券市場的發(fā)行定價過程,但由于我國證券市場發(fā)展過程中的特殊背景和資本市場發(fā)展過程中的特殊時期,使得IPO定價理論在我國股票實踐中并未取得預期的效果。2009年10月30日創(chuàng)業(yè)板在深圳證券交易所正式開盤交易,在經(jīng)歷的兩年多的時間里,創(chuàng)業(yè)板上市公司IPO溢價問題因企業(yè)特有的上市機制和風險運行機制而變的十分突出。 本文的研究對象是創(chuàng)業(yè)板上市公司,選取從2009年10月到2011年5月在創(chuàng)業(yè)板上市的218只股票為分析樣本。以國外相對比較成熟的IPO定價相關理論為基礎,首先采用定性分析的方法找出影響新股定價的內(nèi)外部影響因素,并搜集企業(yè)發(fā)行上市前披露的公開信息等有關資料。然后在選用因子分析方法處理變量數(shù)據(jù)的基礎上提取主要影響因素,再運用逐步回歸方法對新股發(fā)行上市首日收盤價進行線性回歸,擬建立IPO定價多因素定價模型以對創(chuàng)業(yè)板上市股票進行定價規(guī)范。 為了使新建模型更好的得到運用,本文在創(chuàng)建模型的基礎上,挑選9月份以后上市的幾只股票進行實證檢驗。
[Abstract]:IPO (initial public offering of shares by a listed company) refers to a joint stock limited company that is preparing to go public through social financing to expand the scope of shareholders' equity and increase the proportion of public shares held by the public. Whether the pricing of new shares is reasonable or not is related to the issuer. The immediate interests of investors and underwriters, the impact of the conversion between the primary issue market and the secondary circulation market, And it also directly affects the resource allocation efficiency of a country's capital market, and the IPO premium of listed companies refers to the undervaluation of the new shares issued by listed companies in the process of IPO pricing. The obvious manifestation is that the initial issue price of new shares is significantly lower than the closing price of the first day of circulation in the secondary market. In view of this phenomenon, rational investors only need to subscribe for new shares in the primary market. Then we can get a certain excess rate of return by selling in the secondary market on the first day of IPO. This phenomenon in practice conflicts with the efficient market hypothesis of the theoretical circle, which is called "the mystery of IPO" by the financial circles. The basic theoretical and practical research on IPO pricing in developed countries started early. Many scholars in our country have tried to apply the foreign mature financial theory to the issuing and pricing process of China's securities market. However, due to the special background in the development of the securities market in China and the special period in the development of the capital market, The IPO pricing theory has not achieved the expected results in China's stock practice. In October 30th 2009, the gem was officially opened on the Shenzhen Stock Exchange, and in the course of more than two years, The problem of IPO premium of gem listed companies is very prominent due to the unique listing mechanism and risk operation mechanism. The research object of this paper is the gem listed companies. From October 2009 to May 2011, 218 stocks listed on the gem are selected as the analysis samples. Based on the relatively mature IPO pricing theory abroad, First of all, the qualitative analysis method is used to find out the internal and external factors that affect the pricing of new shares. And collect the relevant information such as the public information disclosed before the enterprises go public. Then, on the basis of selecting the factor analysis method to deal with the variable data, the main influencing factors are extracted. Then we use the stepwise regression method to carry on linear regression to the closing price on the first day of IPO, and we propose to establish the multi-factor pricing model of IPO to standardize the pricing of gem listed stocks. In order to make the new model better to be used, this paper selects several stocks listed after September to carry out empirical test on the basis of creating the model.
【學位授予單位】：長春工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1526350