【摘要】：IPO抑價(jià)指的是新股首次公開發(fā)行的首日收盤價(jià)高于其發(fā)行價(jià)格的經(jīng)濟(jì)現(xiàn)象。IPO抑價(jià)現(xiàn)象是世界范圍內(nèi)的資本市場難題，國內(nèi)外學(xué)者已經(jīng)對(duì)其進(jìn)行了長期的探討和深入的研究。本文基于隨機(jī)邊界分析模型和多元線性回歸模型研究我國IPO抑價(jià)現(xiàn)象，目的在于解釋我國IPO抑價(jià)現(xiàn)象的原因。本文樣本數(shù)據(jù)選取的是1993年到2010年間在滬深主板公開發(fā)行，并且選取的樣本覆蓋了大部分行業(yè)板塊。 本文首先把影響IPO抑價(jià)的各個(gè)因素歸為公司業(yè)績因素、發(fā)行承銷政策因素、市場波動(dòng)與投資者群體心理因素和其他因素，分別就這些因素如何影響IPO抑價(jià)進(jìn)行了較為全面和深入的分析，并從理論上分析了這些因素與IPO抑價(jià)率的相關(guān)性。隨后，在接下來的章節(jié)中，引入了隨機(jī)邊界模型，對(duì)隨機(jī)邊界模型做了簡要的介紹和公式推導(dǎo)，，以及分析了隨機(jī)邊界模型在IPO定價(jià)效率研究中的適用性。接著，我們運(yùn)用隨機(jī)邊界模型和多元線性回歸模型進(jìn)行實(shí)證分析，判斷出樣本數(shù)據(jù)不存在明顯的上邊界，存在著明顯的隨機(jī)下邊界,這意味著,新股在一級(jí)發(fā)行市場上的定價(jià)是有效率的，導(dǎo)致新股首日上市交易價(jià)格畸高的原因來自二級(jí)市場的非理性因素，市場的過度需求和投機(jī)炒作導(dǎo)致高抑價(jià)率。為了進(jìn)一步驗(yàn)證各因素對(duì)IPO抑價(jià)的影響，本文又通過多元線性回歸模型進(jìn)行相關(guān)性檢驗(yàn)。論文最后針對(duì)這些因素和分析結(jié)果提出相應(yīng)政策上的建議。
[Abstract]:IPO underpricing refers to the economic phenomenon that the initial public offering price is higher than the initial public offering price. IPO underpricing is a difficult problem in the capital market in the world, which has been discussed and deeply studied by domestic and foreign scholars for a long time. This paper studies the phenomenon of IPO underpricing in China based on stochastic boundary analysis model and multivariate linear regression model in order to explain the causes of IPO underpricing in China. In this paper, the sample data is selected from 1993 to 2010 in Shanghai and Shenzhen main board public offering, and selected samples cover most of the industry plate. In this paper, the factors that affect IPO underpricing are classified as company performance factor, issue underwriting policy factor, market fluctuation, investor group psychological factor and other factors. How these factors affect IPO underpricing is analyzed comprehensively and deeply, and the correlation between these factors and IPO underpricing rate is analyzed theoretically. Then, in the following chapter, the stochastic boundary model is introduced, the stochastic boundary model is briefly introduced and derived, and the applicability of stochastic boundary model in the study of IPO pricing efficiency is analyzed. Then, we use stochastic boundary model and multivariate linear regression model for empirical analysis to determine that there is no obvious upper boundary in the sample data, and there is obvious stochastic lower boundary, which means that there is no obvious upper boundary in the sample data. The pricing of new shares in the primary issue market is efficient. The reason for the abnormal high price of new shares on the first day of trading comes from the irrational factors in the secondary market. The excessive demand and speculative speculation in the market lead to a high underpricing rate. In order to verify the influence of various factors on IPO underpricing, the correlation test is carried out by multi-variable linear regression model. Finally, according to these factors and the results of the analysis, the corresponding policy recommendations are put forward.
【學(xué)位授予單位】：哈爾濱工程大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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本文編號(hào)：2470166