發(fā)布時間：2018-03-18 06:21

  本文選題：IPO高初始收益　切入點：股票市場　出處：《首都經(jīng)濟貿(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三大異象之一，它抑制著股票市場的健康發(fā)展，影響市場資源的配置。在相對新興的中國股票市場上，IPO高初始收益程度長期處于高位，對于創(chuàng)業(yè)板市場而言，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（抑價率）最高曾達到210%，平均值為34%，遠遠超過了成熟市場的收益率水平。而細(xì)分下來，不同階段的創(chuàng)業(yè)板市場IPO高初始收益情況也不盡相同，開閘之初的2009年平均收益率高達93%，2010年降至38%，2011年和2012年降至22%左右，從時間角度來看，IPO高初始收益率呈下降趨勢，但相比于成熟市場而言，中國創(chuàng)業(yè)板市場的抑價水平仍然較高。因此，本文通過理論研究和實證研究，定性分析和定量分析從多個角度深入研究中國創(chuàng)業(yè)板市場IPO高初始收益的內(nèi)在關(guān)鍵影響因素。 本文首先對于國外研究學(xué)者關(guān)于IPO高初始收益率的理論進行研究，主要分為非對稱信息理論、制度原因理論和行為金融學(xué)理論三個方向進行解釋，并按照此思路方向?qū)鴥?nèi)學(xué)者的研究進行總結(jié)。在此基礎(chǔ)上，作者剔除了不符合中國創(chuàng)業(yè)板市場條件的理論依據(jù)和無法度量的理論依據(jù)，據(jù)此提出14個可能對IPO高初始收益問題造成影響的變量。本文對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)按照總樣本和按時間分類的4個子樣本進行統(tǒng)計性描述，后根據(jù)14個自變量對初始收益率進行回歸分析，通過單因素回歸確認(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。通過研究發(fā)現(xiàn)各時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、上市前市場收益率，其他影響因素還有發(fā)行-上市時間間隔、營業(yè)收入增長率以及企業(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，來自投資者和承銷商的不理性行為，同時伴有制度性原因和非對稱信息帶來的影響。通過分析，發(fā)現(xiàn)首日換手率、市場周期性趨勢、網(wǎng)上中簽率、上市當(dāng)周市場收益率和發(fā)行價格為解釋力度最強的5個變量，所以中國創(chuàng)業(yè)板市場的IPO高初始收益主要來自投資者的不理性行為，而投資者和發(fā)行商之間的非對稱信息也對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)濟貿(mào)易大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

【參考文獻】

相關(guān)期刊論文 前10條

1 張濟建;陸燕華;;我國創(chuàng)業(yè)板市場IPO抑價現(xiàn)象研究[J];商業(yè)會計;2010年22期

2 羅嬋;;創(chuàng)業(yè)板市場的發(fā)展現(xiàn)狀及風(fēng)險分析[J];當(dāng)代經(jīng)濟;2010年11期

3 王林波;陳倩;薛亞楠;;創(chuàng)業(yè)板與主板IPO抑價水平比較研究[J];中南財經(jīng)政法大學(xué)研究生學(xué)報;2010年02期

4 梁志隆;;以市場氣氛假說檢驗全流通時期A股IPO抑價現(xiàn)象的實證分析[J];內(nèi)蒙古大學(xué)學(xué)報(哲學(xué)社會科學(xué)版);2010年01期

5 池麗旭;莊新田;;投資者情緒與股票收益波動溢出效應(yīng)[J];系統(tǒng)管理學(xué)報;2009年04期

6 楊盛昌;;我國A股市場IPO抑價問題探析[J];商場現(xiàn)代化;2009年21期

7 吳占宇;汪成豪;董紀(jì)昌;;中小企業(yè)板IPO抑價現(xiàn)象及緣由實證研究[J];數(shù)學(xué)的實踐與認(rèn)識;2009年09期

8 王升;;滬、深兩市A股市場新股抑價程度的實證分析[J];現(xiàn)代管理科學(xué);2007年04期

9 李雙杰;王林;范超;;統(tǒng)一分布假設(shè)的隨機前沿分析模型[J];數(shù)量經(jīng)濟技術(shù)經(jīng)濟研究;2007年04期

10 韓立巖;伍燕然;;投資者情緒與IPOs之謎——抑價或者溢價[J];管理世界;2007年03期

相關(guān)碩士學(xué)位論文 前2條

1 陸燕華;中國創(chuàng)業(yè)板市場抑價現(xiàn)象研究[D];江蘇大學(xué);2010年

2 邵才捷;公司高管團隊質(zhì)量與IPO抑價關(guān)系[D];復(fù)旦大學(xué);2010年

，

本文編號：1628347