本文選題：IPO高初始收益　切入點(diǎn)：股票市場(chǎng)　出處：《首都經(jīng)濟(jì)貿(mào)易大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：IPO高初始收益是資本市場(chǎng)三大異象之一，它抑制著股票市場(chǎng)的健康發(fā)展，影響市場(chǎng)資源的配置。在相對(duì)新興的中國(guó)股票市場(chǎng)上，IPO高初始收益程度長(zhǎng)期處于高位，對(duì)于創(chuàng)業(yè)板市場(chǎng)而言，情況則更加嚴(yán)重。從2009年10月30日創(chuàng)業(yè)板首輪28家公司登陸，一直到今天，統(tǒng)共發(fā)行355只股票，收益率（抑價(jià)率）最高曾達(dá)到210%，平均值為34%，遠(yuǎn)遠(yuǎn)超過(guò)了成熟市場(chǎng)的收益率水平。而細(xì)分下來(lái)，不同階段的創(chuàng)業(yè)板市場(chǎng)IPO高初始收益情況也不盡相同，開(kāi)閘之初的2009年平均收益率高達(dá)93%，2010年降至38%，2011年和2012年降至22%左右，從時(shí)間角度來(lái)看，IPO高初始收益率呈下降趨勢(shì)，但相比于成熟市場(chǎng)而言，中國(guó)創(chuàng)業(yè)板市場(chǎng)的抑價(jià)水平仍然較高。因此，本文通過(guò)理論研究和實(shí)證研究，定性分析和定量分析從多個(gè)角度深入研究中國(guó)創(chuàng)業(yè)板市場(chǎng)IPO高初始收益的內(nèi)在關(guān)鍵影響因素。 本文首先對(duì)于國(guó)外研究學(xué)者關(guān)于IPO高初始收益率的理論進(jìn)行研究，主要分為非對(duì)稱信息理論、制度原因理論和行為金融學(xué)理論三個(gè)方向進(jìn)行解釋，并按照此思路方向?qū)?guó)內(nèi)學(xué)者的研究進(jìn)行總結(jié)。在此基礎(chǔ)上，作者剔除了不符合中國(guó)創(chuàng)業(yè)板市場(chǎng)條件的理論依據(jù)和無(wú)法度量的理論依據(jù)，據(jù)此提出14個(gè)可能對(duì)IPO高初始收益問(wèn)題造成影響的變量。本文對(duì)2009年10月30日至2012年10月9日期間正收益率的303只上市公司數(shù)據(jù)按照總樣本和按時(shí)間分類的4個(gè)子樣本進(jìn)行統(tǒng)計(jì)性描述，后根據(jù)14個(gè)自變量對(duì)初始收益率進(jìn)行回歸分析，通過(guò)單因素回歸確認(rèn)自變量形式和各樣本下自變量的偏相關(guān)系數(shù)，最后進(jìn)行逐步回歸確認(rèn)不同樣本下的影響因素和回歸方程。通過(guò)研究發(fā)現(xiàn)各時(shí)間段影響因素稍有不同，主要的共同影響因素為首日換手率、網(wǎng)上中簽率、上市前市場(chǎng)收益率，其他影響因素還有發(fā)行-上市時(shí)間間隔、營(yíng)業(yè)收入增長(zhǎng)率以及企業(yè)員工素質(zhì)等�？梢钥吹街饕绊懸蛩卦从谛袨榻鹑趯W(xué)范疇，來(lái)自投資者和承銷商的不理性行為，同時(shí)伴有制度性原因和非對(duì)稱信息帶來(lái)的影響。通過(guò)分析，發(fā)現(xiàn)首日換手率、市場(chǎng)周期性趨勢(shì)、網(wǎng)上中簽率、上市當(dāng)周市場(chǎng)收益率和發(fā)行價(jià)格為解釋力度最強(qiáng)的5個(gè)變量，所以中國(guó)創(chuàng)業(yè)板市場(chǎng)的IPO高初始收益主要來(lái)自投資者的不理性行為，而投資者和發(fā)行商之間的非對(duì)稱信息也對(duì)IPO高初始收益有一定影響。
[Abstract]:The high initial income of IPO is one of the three major anomalies in the capital market, which inhibits the healthy development of the stock market and affects the allocation of market resources. For the gem market, the situation is even more serious. From October 30th 2009, the first round of 28 companies on the gem landed, up to today, a total of 355 stocks were issued. The highest rate of return (underpricing) has reached 210, with an average of 34, which far exceeds the level of return in mature markets. When broken down, the high initial income of IPO in different stages of the gem market also varies. At the beginning of the opening, the average yield on 2009 was as high as 93%, and on 2010 it dropped to 38. In 2011 and 2011, it fell to about 22%. From the point of view of time, the high initial yield of IPO showed a downward trend, but compared with the mature market, The underpricing level of China's gem market is still relatively high. Therefore, through theoretical and empirical studies, this paper makes a qualitative and quantitative analysis of the key factors affecting the high initial IPO return in China's gem market from several angles. This paper firstly studies the theories of foreign researchers on the high initial yield of IPO, which are mainly divided into three directions: asymmetric information theory, institutional cause theory and behavioral finance theory. On the basis of this, the author has eliminated the theoretical basis which does not accord with the market conditions of China's gem and the theoretical basis which can not be measured. On this basis, 14 variables that may have an impact on the high initial return of IPO are proposed. The data of 303 listed companies with positive returns from October 30th 2009 to October 9th 2012 are classified according to the total sample and 4 by time. Subsamples are statistically described, Based on the regression analysis of 14 independent variables, the form of independent variables and the partial correlation coefficient of independent variables under each sample are confirmed by single factor regression. Finally, the influence factors and regression equations of different samples are confirmed by stepwise regression. It is found that the influencing factors are slightly different in each time period, the main common influencing factors are the turnover rate of the first day, the rate of success on the net, the market return rate before listing, Other influencing factors are the issue-listing interval, the growth rate of operating income and the quality of employees. We can see that the main influencing factors are behavioral finance, irrational behavior by investors and underwriters. At the same time, there are institutional reasons and the influence of asymmetric information. Through the analysis, we find that the first day turnover rate, the market cyclical trend, the net success rate, the market return rate and the issue price during the week of listing are the five variables with the strongest explanatory force. Therefore, the high initial return of IPO in China's gem market mainly comes from the irrational behavior of investors, and the asymmetric information between investors and issuers also has a certain impact on the high initial return of IPO.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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