發(fā)布時(shí)間：2018-08-28 19:28

【摘要】：自2005年1月1日起，我國(guó)新股發(fā)行正式實(shí)行詢價(jià)制度。在詢價(jià)制度推出的初期，股票上市首日仍然存在著較高的初始收益率，而2009年IPO重啟以來(lái)，新股上市首日又出現(xiàn)破發(fā)，因此，本文主要研究實(shí)行詢價(jià)制度以來(lái)新股IPO一二級(jí)市場(chǎng)的定價(jià)效率究竟如何。以2009年IPO重啟為分界點(diǎn)，將2006年9月19日至2011年9月20日分成舊詢價(jià)制度時(shí)期和新詢價(jià)制度時(shí)期，分別以各時(shí)期在上海和深圳證券交易所首次公開(kāi)發(fā)行和上市的A股為研究樣本。在每一時(shí)期，，選取全面反映公司內(nèi)在價(jià)值的20個(gè)財(cái)務(wù)指標(biāo)，運(yùn)用因子分析法提取出公因子，再與發(fā)行價(jià)和上市首日收盤價(jià)進(jìn)行逐步回歸，觀察公因子對(duì)發(fā)行價(jià)和上市首日收盤價(jià)的解釋能力，由此判斷一二級(jí)市場(chǎng)定價(jià)的合理性。然后在前一步回歸的基礎(chǔ)上，加入反映市場(chǎng)和發(fā)行情況的變量，分析定價(jià)的外在影響因素。最后，將兩個(gè)時(shí)期的實(shí)證結(jié)果進(jìn)行對(duì)比，分析詢價(jià)制度的改進(jìn)效果。在得出一二級(jí)市場(chǎng)定價(jià)效率的基礎(chǔ)上，探討二級(jí)市場(chǎng)上投資者行為對(duì)上市首日初始收益率的影響。得到結(jié)論：①在舊詢價(jià)制度時(shí)期，股票IPO發(fā)行價(jià)格沒(méi)能全面地反映公司內(nèi)在價(jià)值，影響上市首日收盤價(jià)的內(nèi)在價(jià)值因素更少，且明顯受到市場(chǎng)因素的影響。②在新詢價(jià)制度時(shí)期，IPO發(fā)行價(jià)全面地反映了公司的內(nèi)在價(jià)值，但受到了市場(chǎng)和發(fā)行情況的影響；上市首日收盤價(jià)反映的公司內(nèi)在價(jià)值因素減少了，同時(shí)也受到市場(chǎng)和發(fā)行情況的影響，且影響程度更大。③新詢價(jià)制度時(shí)期公司內(nèi)在價(jià)值對(duì)新股發(fā)行價(jià)和上市首日收盤價(jià)的解釋能力都比舊詢價(jià)制度時(shí)期有了較大提高，新詢價(jià)制度時(shí)期股票IPO定價(jià)效率更高，發(fā)行制度的改革有一定的成效，但還是存在一定的缺陷。④在新舊兩個(gè)時(shí)期，一級(jí)市場(chǎng)定價(jià)效率都比二級(jí)市場(chǎng)定價(jià)效率高，二級(jí)市場(chǎng)上投資者的行為都對(duì)上市首日初始收益率有顯著的影響。根據(jù)實(shí)證結(jié)果和實(shí)際情況，從規(guī)范發(fā)行人、保薦機(jī)構(gòu)、機(jī)構(gòu)投資者、中小投資者的行為，以及增加流通股數(shù)量等方面給出了建議。
[Abstract]:Since January 1, 2005, inquiry system has been put into practice in China. In the initial stage of the inquiry system, there is still a relatively high initial yield on the first day of the stock listing, and since the restart of IPO in 2009, the first day of new stock listing has broken, so, This paper mainly studies the pricing efficiency of the new IPO primary and secondary market since the implementation of inquiry system. With the IPO restart in 2009 as the demarcation point, the period from September 19, 2006 to September 20, 2011 is divided into the old inquiry system period and the new inquiry system period, The A shares listed on Shanghai Stock Exchange and Shenzhen Stock Exchange were used as the research samples. In each period, 20 financial indexes reflecting the internal value of the company are selected, and the common factors are extracted by factor analysis method, and then they are gradually regressed with the issue price and the closing price on the first day of listing. To judge the rationality of the pricing of the first secondary market, we observe the explanation ability of the public factor to the issue price and the closing price on the first day of the market. Then, on the basis of the former regression, the variables reflecting the market and the distribution are added to analyze the external influencing factors of pricing. Finally, the empirical results of the two periods are compared to analyze the improvement effect of inquiry system. On the basis of the pricing efficiency of the first secondary market, this paper discusses the influence of investor behavior on the initial return on the first day of listing in the secondary market. It is concluded that during the old inquiry system, the issue price of IPO did not fully reflect the internal value of the company, and the internal value factors affecting the closing price on the first day of listing were less. And obviously influenced by market factors. 2 during the period of the new inquiry system, the IPO price comprehensively reflected the intrinsic value of the company, but was influenced by the market and the issuing situation. The internal value factors of the company reflected by the closing price on the first day of listing decreased. At the same time, it is also influenced by the market and the issuing situation, and the degree of influence is greater. 3. During the period of the new inquiry system, the explanatory power of the company's intrinsic value to the IPO price and the closing price on the first day of listing has been greatly improved compared with the old inquiry system. The stock IPO pricing efficiency is higher in the new inquiry system, and the reform of the issuing system has some effect, but there are still some defects. 4 in the new and old two periods, the pricing efficiency of the primary market is higher than that of the secondary market, and the pricing efficiency of the primary market is higher than that of the secondary market. The behavior of investors in the secondary market has a significant impact on the initial return on the first day of the market. According to the empirical results and the actual situation, suggestions are given from the aspects of standardizing the behavior of issuers, sponsor institutions, institutional investors, and small and medium-sized investors, as well as increasing the number of outstanding shares.
【學(xué)位授予單位】：暨南大學(xué)
【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 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

2 徐龍炳;徐智斌;陸蓉;;IPO股票上市初期投資者交易行為研究[J];財(cái)經(jīng)研究;2008年03期

3 謝朝斌,孫慶,黃凌;我國(guó)上市公司首次公開(kāi)發(fā)行抑價(jià)實(shí)證研究[J];財(cái)經(jīng)理論與實(shí)踐;2005年04期

4 楊丹,王莉;中國(guó)新股發(fā)行抑價(jià):一個(gè)假說(shuō)的檢驗(yàn)[J];復(fù)旦學(xué)報(bào)(社會(huì)科學(xué)版);2001年05期

5 熊虎;孟衛(wèi)東;周孝華;;非理性投資者行為的IPO抑價(jià)理論分析[J];重慶大學(xué)學(xué)報(bào)(自然科學(xué)版);2007年10期

6 劉紅;;IPO定價(jià)合理性實(shí)證分析[J];貴州財(cái)經(jīng)學(xué)院學(xué)報(bào);2010年02期

7 蔣順才,蔣永明;我國(guó)新股發(fā)行制度變遷與IPO高抑價(jià)的實(shí)證研究[J];海南大學(xué)學(xué)報(bào)(人文社會(huì)科學(xué)版);2005年03期

8 劉春玲;;我國(guó)A股市場(chǎng)IPO定價(jià)影響因素的實(shí)證分析[J];海南金融;2009年03期

9 白仲光,張維;基于隨機(jī)邊界定價(jià)模型的新股短期收益研究[J];管理科學(xué)學(xué)報(bào);2003年01期

10 張濤;IPO折價(jià)現(xiàn)象的行為金融學(xué)解釋[J];華南金融研究;2004年03期

相關(guān)碩士學(xué)位論文 前1條

1 茍思;我國(guó)IPO發(fā)售機(jī)制研究[D];重慶大學(xué);2006年

本文編號(hào)：2210384