網(wǎng)下機構(gòu)投資者申購和IPO抑價關(guān)系的實證研究
發(fā)布時間：2018-08-01 08:29
【摘要】：統(tǒng)計結(jié)果顯示全球資本市場新股上市絕大多數(shù)都是呈現(xiàn)抑價現(xiàn)象,即上市后收盤價高于首發(fā)價。我國資本市場自1990年成立以來也幾乎是這種情況,然而自2010年開始,我國IPO越來越多地出現(xiàn)三個月破發(fā)情況。國內(nèi)外少有專家學(xué)者就導(dǎo)致這一現(xiàn)象的原因做系統(tǒng)的分析。本文重點就我國A股市場IPO企業(yè)上市三個月絕對表現(xiàn)、上市三個月剔除市場因素的相對表現(xiàn)及對應(yīng)時間窗口的抑價程度為被解釋變量,選取2010年1月5日至2011年12月5日上市的601家公司數(shù)據(jù)為樣本,以首發(fā)市盈率、超募資金比例、換手率、發(fā)行規(guī)模、中簽率發(fā)行費用與募集資金比例為控制變量,首先分析機構(gòu)投資者配售股份比例對新股上市表現(xiàn)的影響,然后在區(qū)分機構(gòu)投資者類型基礎(chǔ)上研究不同的機構(gòu)投資者配售股份比例對新股上市后表現(xiàn)的影響,最后分析機構(gòu)投資者配售股份比例對新股上市抑價程度的影響作為補充研究。 結(jié)果顯示,機構(gòu)配售股份比例大小對新股上市三個月后的絕對及相對表現(xiàn)有顯著的正相關(guān)關(guān)系；細(xì)分機構(gòu)投資者類型后二元因變量回歸發(fā)現(xiàn)證券公司自營部及陽光私募配售股份比例大小對新股上市三個月的絕對表現(xiàn)有顯著的正相關(guān)關(guān)系,并且證券公司自營部持股比例越高的公司三個月表現(xiàn)優(yōu)于市場的概率越大,陽光私募影響也類似；在對機構(gòu)投資者配售股份比例對新股上市抑價程度研究發(fā)現(xiàn)機構(gòu)投資者持股比例大小與新股上市三個月及剔除市場收益后的抑價程度有顯著正相關(guān)關(guān)系。 之所以出現(xiàn)這種結(jié)果是因為在我國資本市場還存在著嚴(yán)重的信息不對稱問題。機構(gòu)投資者尤其是證券公司自營部在新股上市前能夠通過其它機構(gòu)或者法人難以介入的渠道獲得上市公司質(zhì)量信息,那么它們就能根據(jù)內(nèi)部信息對上市公司做出優(yōu)劣判斷,最終反映到網(wǎng)下配售股份比例的大小上。這種行為也較大地?fù)p害了其它處于信息劣勢的投資者利益。若要資本市場有序、公平地發(fā)展就要盡可能地削弱信息不對稱,主要可以通過加強上市公司信息披露和監(jiān)管方面入手。這樣才有可能讓所有投資者同等地獲取信息建立更有效的資本市場。
[Abstract]:The statistical results show that the majority of the global capital market IPO is a phenomenon of underpricing, that is, the closing price after listing is higher than the initial price. This is almost the case since the establishment of China's capital market in 1990. However, since 2010, China's IPO has been breaking for more and more three months. Few experts and scholars at home and abroad make systematic analysis on the causes of this phenomenon. This paper focuses on the absolute performance of IPO enterprises listed in China's A-share market for three months. The relative performance of excluding market factors and the degree of underpricing in the corresponding time window are explained variables. The data of 601 companies listed from January 5, 2010 to December 5, 2011 are selected as the samples. The control variables are the IPO price / earnings ratio, the proportion of overraised funds, the turnover rate, the size of the issue, the ratio of the issuing fee and the proportion of the funds raised. First of all, it analyzes the influence of the proportion of allotment shares of institutional investors on the performance of new stock listing, and then studies the effect of different proportions of allotment shares of institutional investors on the performance of new shares after listing on the basis of distinguishing the types of institutional investors. Finally, the effect of the proportion of institutional investors placing shares on the underpricing degree of IPO is analyzed as a supplementary study. The results show that the ratio of institutional allotment shares has a significant positive correlation with the absolute and relative performance of the new shares three months after listing. After subdivision of institutional investors, the binary dependent variable regression found that the proportion of proprietary and private placement shares of securities companies had a significant positive correlation with the absolute performance of three months' listing of new shares. And the higher the proportion of securities companies' proprietary ownership is, the greater the probability that the company outperforms the market in three months, and the influence of sunshine private equity is similar; In the study of the degree of underpricing of IPOs, it is found that there is a significant positive correlation between the proportion of institutional investors' shares and the degree of underpricing after three months' listing of new shares and excluding market returns. The reason for this result is that there is a serious problem of information asymmetry in China's capital market. Institutional investors, especially securities companies' proprietary departments, can obtain quality information of listed companies through channels that are difficult for other institutions or legal persons to intervene in before the new shares are listed, so they can judge the merits and demerits of listed companies according to internal information. The final reflection of the net distribution of shares in the proportion of the size. This behavior also greatly damaged the interests of other investors in the information disadvantage. If the capital market is to be orderly, the fair development should weaken the information asymmetry as far as possible, mainly through strengthening the information disclosure and supervision of listed companies. This makes it possible for all investors to have equal access to information to establish more efficient capital markets.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51
本文編號：2156983
[Abstract]:The statistical results show that the majority of the global capital market IPO is a phenomenon of underpricing, that is, the closing price after listing is higher than the initial price. This is almost the case since the establishment of China's capital market in 1990. However, since 2010, China's IPO has been breaking for more and more three months. Few experts and scholars at home and abroad make systematic analysis on the causes of this phenomenon. This paper focuses on the absolute performance of IPO enterprises listed in China's A-share market for three months. The relative performance of excluding market factors and the degree of underpricing in the corresponding time window are explained variables. The data of 601 companies listed from January 5, 2010 to December 5, 2011 are selected as the samples. The control variables are the IPO price / earnings ratio, the proportion of overraised funds, the turnover rate, the size of the issue, the ratio of the issuing fee and the proportion of the funds raised. First of all, it analyzes the influence of the proportion of allotment shares of institutional investors on the performance of new stock listing, and then studies the effect of different proportions of allotment shares of institutional investors on the performance of new shares after listing on the basis of distinguishing the types of institutional investors. Finally, the effect of the proportion of institutional investors placing shares on the underpricing degree of IPO is analyzed as a supplementary study. The results show that the ratio of institutional allotment shares has a significant positive correlation with the absolute and relative performance of the new shares three months after listing. After subdivision of institutional investors, the binary dependent variable regression found that the proportion of proprietary and private placement shares of securities companies had a significant positive correlation with the absolute performance of three months' listing of new shares. And the higher the proportion of securities companies' proprietary ownership is, the greater the probability that the company outperforms the market in three months, and the influence of sunshine private equity is similar; In the study of the degree of underpricing of IPOs, it is found that there is a significant positive correlation between the proportion of institutional investors' shares and the degree of underpricing after three months' listing of new shares and excluding market returns. The reason for this result is that there is a serious problem of information asymmetry in China's capital market. Institutional investors, especially securities companies' proprietary departments, can obtain quality information of listed companies through channels that are difficult for other institutions or legal persons to intervene in before the new shares are listed, so they can judge the merits and demerits of listed companies according to internal information. The final reflection of the net distribution of shares in the proportion of the size. This behavior also greatly damaged the interests of other investors in the information disadvantage. If the capital market is to be orderly, the fair development should weaken the information asymmetry as far as possible, mainly through strengthening the information disclosure and supervision of listed companies. This makes it possible for all investors to have equal access to information to establish more efficient capital markets.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51
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