本文選題：發(fā)行抑價(jià)　切入點(diǎn)：發(fā)行定價(jià)　出處：《廣東商學(xué)院》2012年碩士論文

【摘要】：本文通過(guò)經(jīng)典文獻(xiàn)的回顧，，運(yùn)用相關(guān)理論檢驗(yàn)了Ａ股初始發(fā)行高抑價(jià)率和Ａ、Ｈ股發(fā)行價(jià)差的存在事實(shí)，證明了Ａ股IPO定價(jià)效率的偏低，并分離了影響Ａ股IPO定價(jià)效率的兩大路徑，即投資者的反應(yīng)和發(fā)行人的定價(jià)。在此基礎(chǔ)上，本文主要研究通過(guò)影響發(fā)行人的發(fā)行定價(jià)進(jìn)而影響Ａ股IPO定價(jià)效率的因素有市場(chǎng)風(fēng)險(xiǎn)、流動(dòng)性差異、需求彈性差異、信息不對(duì)稱性、主承銷商的聲譽(yù)、個(gè)股的風(fēng)險(xiǎn)差異以及投資者的經(jīng)驗(yàn)預(yù)期等方面�；诖�，本文為了改進(jìn)在既定影響因素下Ａ股的定價(jià)效率，著重研究了Ａ股的IPO定價(jià)，通過(guò)推導(dǎo)Ａ股的短期股價(jià)分布函數(shù)來(lái)構(gòu)建Ａ股的IPO定價(jià)模型，并對(duì)模型的有效性進(jìn)行實(shí)證檢驗(yàn)，結(jié)果表明模型對(duì)中小板與創(chuàng)業(yè)板股票的發(fā)行定價(jià)效果較好。最后，本文為Ａ股市場(chǎng)的發(fā)展完善以及為加快內(nèi)地與香港資本市場(chǎng)的融合提出政策與建議。
[Abstract]:Based on the review of classical literature, this paper examines the existence of high underpricing rate of A-share initial issue and the price difference between A and H shares, proves that the pricing efficiency of A-share IPO is on the low side, and separates the two major ways that affect the pricing efficiency of A-share IPO.That is, the reaction of investors and the pricing of issuers.On this basis, this paper mainly studies the factors that affect the pricing efficiency of A-share IPO by influencing the issuer's issue pricing, such as market risk, liquidity difference, demand elasticity difference, information asymmetry, the reputation of the lead underwriter.The risk difference of individual stock and investor's experience expectation and so on.Based on this, in order to improve the pricing efficiency of A shares under certain influence factors, this paper focuses on the IPO pricing of A shares, and constructs the IPO pricing model of A shares by deducing the short term price distribution function of A shares.The validity of the model is tested and the results show that the model has a better pricing effect on the small and medium-sized board and the gem stock.Finally, this paper puts forward policies and suggestions for the development and perfection of A share market and for speeding up the integration of mainland and Hong Kong capital markets.
【學(xué)位授予單位】：廣東商學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 嚴(yán)小洋;;IPO中的價(jià)格管制及其后果[J];北京大學(xué)學(xué)報(bào)(哲學(xué)社會(huì)科學(xué)版);2008年06期

2 程均麗;孫會(huì)兵;;H股回歸對(duì)A股市場(chǎng)收益率影響的實(shí)證研究[J];財(cái)經(jīng)科學(xué);2008年12期

3 李慶峰;;二元結(jié)構(gòu)環(huán)境下的IPO定價(jià)模型研究[J];財(cái)經(jīng)問(wèn)題研究;2006年03期

4 曹鳳岐;董秀良;;我國(guó)IPO定價(jià)合理性的實(shí)證分析[J];財(cái)經(jīng)研究;2006年06期

5 田華,宋耀;新股上網(wǎng)定價(jià)發(fā)行模型的建立和檢驗(yàn)[J];財(cái)經(jīng)理論與實(shí)踐;2002年S1期

6 巴曙松;朱元倩;顧Z

本文編號(hào)：1701401