發(fā)布時間：2018-06-02 02:39

  本文選題：IPO抑價 + 制度改革��； 參考：《浙江大學(xué)》2012年碩士論文

【摘要】：我國股票市場上新股的高抑價現(xiàn)象長期存在,新股普遍受到極其強(qiáng)烈的追捧。2009年6月,證監(jiān)會出臺了《關(guān)于進(jìn)一步改革和完善新股發(fā)行體制的指導(dǎo)意見》,開始新股發(fā)行制度第一階段的市場化改革,旨在完善發(fā)行機(jī)制,促進(jìn)新股定價的市場化。2010年10月,證監(jiān)會公布了《關(guān)于深化新股發(fā)行體制改革的指導(dǎo)意見》,開啟了第二階段改革。在此背景下來研究我國IPO抑價的原因以及新股發(fā)行制度改革對IPO抑價情況的影響,具有很強(qiáng)的時效性,有助于判斷IPO發(fā)行制度的改革的效果,有助于指出下一步改革的方向,具有較強(qiáng)的實際意義。 本文首先研究我國現(xiàn)有市場環(huán)境下IPO抑價的原因,通過隨機(jī)前沿方法,檢驗?zāi)壳耙患壥袌錾鲜欠翊嬖诎l(fā)行人和承銷商故意降低發(fā)行價格的現(xiàn)象。數(shù)據(jù)實證結(jié)果表明,我國新股發(fā)行市場上并不存在發(fā)行人故意折價的行為,因此高抑價的原因可能完全來源于二級市場投資者樂觀情緒。本文進(jìn)一步對比較符合我國市場情況的且從投資者情緒角度研究IPO抑價的相關(guān)文獻(xiàn)作以回顧,并嘗試分析我國市場上投資者情緒產(chǎn)生的原因和對IPO抑價的影響。同時,本文梳理了我國IPO發(fā)行制度的演變歷程,對各個階段的改革作以評述。最后,本文將2005年以來IPO數(shù)據(jù)分為三個樣本進(jìn)行實證研究,一方面檢驗投資者情緒的變量對IPO抑價的影響,同時比較各個階段的回歸結(jié)果,研究發(fā)行制度改革的效果和不同階段投資者情緒對IPO抑價影響的變化。 本文研究結(jié)果表明,我國一級市場上并不存在故意定價偏低現(xiàn)象,IPO抑價的原因主要來自于二級市場；投資者情緒變量對IPO抑價有顯著影響,隨著市場化改革的推進(jìn),一方面IPO抑價現(xiàn)象有所改善,投資者情緒對IPO抑價影響有所緩解,另一方面,投資者情緒對IPO抑價影響依然嚴(yán)重,尤其是IPO上市首日二級市場投資者對IPO股票的熱情不減。綜上,我國IPO發(fā)行制度改革雖然取得一定成績,但是在完善發(fā)行機(jī)制、增加新股供給及增強(qiáng)信息披露和投資者教育上依然任重道遠(yuǎn)。
[Abstract]:The phenomenon of high underpricing of new shares in the stock market of our country has existed for a long time, and the new shares are generally highly sought after. The Securities Regulatory Commission issued the "guidance on further Reform and improvement of the New issue system" and began the first stage of the market-oriented reform of the new issue system, with the aim of perfecting the issuing mechanism and promoting the marketization of new stock pricing. Securities Regulatory Commission issued the "guidance on deepening the reform of the new issue system", opened the second stage of reform. Under this background, the research on the reasons of IPO underpricing and the influence of the new issue system reform on the underpricing of IPO has a strong time-effect, which is helpful to judge the effect of the reform of the IPO issuing system, and to point out the direction of the next reform. It has strong practical significance. This paper first studies the causes of IPO underpricing in the current market environment in China, and by means of the stochastic frontier method, tests whether there is a phenomenon that issuers and underwriters deliberately reduce the issuing price in the primary market. The empirical results show that there is no deliberate discount by issuers in China's IPO market, so the reason for the high underpricing may be entirely due to the optimism of investors in the secondary market. This paper makes a further review of the relevant literatures which are in line with the market situation in China and studies the underpricing of IPO from the perspective of investor sentiment, and tries to analyze the causes of investor sentiment and its influence on the underpricing of IPO in China's market. At the same time, this paper reviews the evolution of China's IPO issuing system and comments on the reform of each stage. Finally, this paper divides the IPO data into three samples for empirical study. On the one hand, we test the influence of investor sentiment variables on IPO underpricing, and compare the regression results of each stage. This paper studies the effect of issue system reform and the influence of investor sentiment on IPO underpricing in different stages. The results of this study show that there is no deliberate underpricing in the primary market in China. The main reasons for underpricing come from the secondary market, and investors' emotional variables have a significant impact on IPO underpricing, and with the promotion of market-oriented reform, investors' emotional variables have a significant impact on the underpricing of IPOs. On the one hand, the phenomenon of IPO underpricing has been improved, and the influence of investor sentiment on IPO underpricing has been alleviated. On the other hand, the influence of investor sentiment on IPO underpricing is still serious, especially on the first day of IPO listing. In summary, although the reform of IPO issuing system has made some achievements, there is still a long way to go in perfecting the issuing mechanism, increasing the supply of new shares and enhancing information disclosure and investor education.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 楊記軍;趙昌文;;中國IPO市場存在承銷商托市嗎[J];財經(jīng)科學(xué);2006年06期

2 楊丹,王莉;中國新股發(fā)行抑價:一個假說的檢驗[J];復(fù)旦學(xué)報(社會科學(xué)版);2001年05期

3 汪宜霞;夏新平;;噪聲交易者與IPO溢價[J];管理科學(xué);2007年03期

4 劉曉明;胡文偉;李湛;;中國股票市場IPO折價實證研究[J];管理科學(xué);2009年04期

5 莊學(xué)敏;;我國中小板IPO抑價原因研究[J];經(jīng)濟(jì)與管理研究;2009年11期

6 雒慶舉;呂鵬博;;基于投資者情緒的IPO首日收益研究[J];經(jīng)濟(jì)與管理研究;2010年05期

7 王晉斌;新股申購預(yù)期超額報酬率的測度及其可能原因的解釋[J];經(jīng)濟(jì)研究;1997年12期

8 陳工孟,高寧;中國股票一級市場發(fā)行抑價的程度與原因[J];金融研究;2000年08期

9 宋逢明,梁洪昀;發(fā)行市盈率放開后的A股市場初始回報研究[J];金融研究;2001年02期

10 劉時陽;;我國新股發(fā)行定價機(jī)制對IPO抑價的影響[J];生產(chǎn)力研究;2010年03期

，

本文編號：1966968