【摘要】：創(chuàng)業(yè)板在我國推出已經(jīng)兩年多了,如今已成為我國資本市場重要的組成部分。然而自推出之日起,創(chuàng)業(yè)板就一直受到高發(fā)行市盈率和高IPO抑價(jià)率的困擾,創(chuàng)業(yè)板IPO的定價(jià)效率究竟如何,成為了理論界關(guān)注的焦點(diǎn)。 本文運(yùn)用金融學(xué)、計(jì)量經(jīng)濟(jì)學(xué)的相關(guān)理論,以創(chuàng)業(yè)板IPO定價(jià)效率中短期多時(shí)段比較為主線,對我國創(chuàng)業(yè)板IPO定價(jià)效率按不同分類進(jìn)行比較分析,并試圖找出我國創(chuàng)業(yè)板IPO定價(jià)效率在不同時(shí)段按不同分類產(chǎn)生差異的原因,最后對我國創(chuàng)業(yè)板IPO定價(jià)效率的影響因素進(jìn)行多元線性回歸分析,并對如何提高我國創(chuàng)業(yè)板IPO定價(jià)效率給出政策建議。 本文首先對IPO定價(jià)效率做出界定,接著從回顧創(chuàng)業(yè)板的發(fā)展歷程,引出了我國創(chuàng)業(yè)板當(dāng)前面臨的突出矛盾,即高發(fā)行市盈率和高IPO抑價(jià)率,對這兩個(gè)問題分別進(jìn)行統(tǒng)計(jì)分析,找出其異象的原因,即我國創(chuàng)業(yè)板一級和二級市場都存在供求失衡引起的。接著選取我國創(chuàng)業(yè)板IPO定價(jià)效率的衡量指標(biāo),使用新股IPO上市后一段時(shí)間的收盤價(jià)均價(jià)來代替首發(fā)上市日收盤價(jià)。然后本文就我國創(chuàng)業(yè)板IPO定價(jià)效率中短期四個(gè)時(shí)段分別從行業(yè),承銷商聲譽(yù),首發(fā)上市日的不同分類進(jìn)行比較分析,發(fā)現(xiàn)成長性高的行業(yè)IPO定價(jià)效率比較低；承銷商聲譽(yù)高的IPO定價(jià)效率比較高；冷市場時(shí)的IPO定價(jià)效率要高于熱市場時(shí)的定價(jià)效率。筆者通過對中短期不同時(shí)段之間IPO定價(jià)效率的互相比較得出：IPO短期定價(jià)效率高并不表明IPO中期定價(jià)效率就高；總體上我國創(chuàng)業(yè)板IPO一年定價(jià)效率最高,IPO中期定價(jià)效率要比IPO短期定價(jià)效率更合理些。 通過對我國創(chuàng)業(yè)板IPO一年定價(jià)效率的影響因素進(jìn)行多元線性回歸分析,發(fā)現(xiàn)對我國創(chuàng)業(yè)板IPO一年定價(jià)效率的主要影響因素有市場指數(shù),抑價(jià)率和凈資產(chǎn)收益率增長率 最后,本文從提高我國創(chuàng)業(yè)板IPO定價(jià)效率的角度提出政策建議,認(rèn)為應(yīng)當(dāng)逐步推進(jìn)發(fā)行審批核準(zhǔn)制向注冊制的轉(zhuǎn)變,并同步完善信息披露制度、保薦人制度,增加流通股比率,IPO發(fā)行時(shí)引入綠鞋機(jī)制等。
[Abstract]:Gem has been launched in China for more than two years, now it has become an important part of our capital market. However, since the launch of gem, gem has been troubled by high price-earnings ratio and high IPO underpricing rate. The efficiency of gem IPO pricing has become the focus of the theoretical circle. Based on the related theories of finance and econometrics, this paper makes a comparative analysis of the pricing efficiency of gem IPO according to different classifications, taking the comparison of the pricing efficiency of gem IPO in the short and medium term as the main line. It also tries to find out the reasons why the pricing efficiency of gem IPO varies according to different classification in different periods. Finally, the factors affecting the pricing efficiency of gem IPO are analyzed by multivariate linear regression analysis. And how to improve the efficiency of gem IPO pricing policy recommendations. This paper first defines the efficiency of IPO pricing, then from the review of the gem development process, leads to the current gem facing prominent contradictions, that is, high issue price-earnings ratio and high IPO underpricing rate, the two issues are analyzed statistically. Find out the reason of its anomaly, that is, there is imbalance between supply and demand in the growth enterprise market of our country. Then we select the index of IPO pricing efficiency in China's gem and use the average closing price of the new IPO to replace the closing price of the IPO day. Then this paper compares and analyzes the four periods of IPO pricing efficiency in China's gem from industry, underwriter reputation and IPO date, and finds that the IPO pricing efficiency of the industry with high growth is relatively low. The pricing efficiency of IPO with high underwriter reputation is higher than that of IPO in cold market than in hot market. By comparing the pricing efficiency of IPO between different periods of time, the author concludes that the high short-term pricing efficiency of IPO does not mean that the medium-term pricing efficiency of IPO is high; In general, the IPO pricing efficiency of gem is the highest in one year, and the medium-term pricing efficiency of IPO is more reasonable than that of IPO. Through the multivariate linear regression analysis on the influencing factors of the one-year pricing efficiency of IPO in China's gem, it is found that the main influencing factors on the one-year pricing efficiency of the gem are the market index. Finally, from the point of view of improving the efficiency of IPO pricing in China's gem, this paper puts forward some policy suggestions, and holds that the system of issuing, approving and approving should be gradually transformed into the registration system. And improve the information disclosure system, sponsor system, increase the ratio of circulating shares, the introduction of green shoes mechanism when IPO issue.
【學(xué)位授予單位】：東華大學(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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