本文關(guān)鍵詞：基于承銷商與發(fā)行商博弈行為視角的IPO發(fā)行與抑價(jià)研究　出處：《哈爾濱工業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： IPO抑價(jià) 承銷商 發(fā)行商 博弈行為

【摘要】：2005年1月我國(guó)開(kāi)始實(shí)施新股詢價(jià)制，但運(yùn)行效果一直不太理想，主要是IPO市場(chǎng)高抑價(jià)率現(xiàn)象。2009年6月推行了新股發(fā)行體制改革，，出現(xiàn)了“高市盈率、高發(fā)行價(jià)、高募資額”的“三高”現(xiàn)象，“破發(fā)”現(xiàn)象隨之涌現(xiàn)。這些現(xiàn)象反映了股票市場(chǎng)參與主體將新股定價(jià)及其分配過(guò)程看作一次巨大的利益分享或博弈的過(guò)程。新股發(fā)行體制改革后，發(fā)行商和承銷商的行為得到了釋放，發(fā)行商和承銷商對(duì)發(fā)行價(jià)格調(diào)整的自主性增加，成為新的利益博弈主體�；诔袖N商和發(fā)行商博弈行為的角度，對(duì)我國(guó)股票市場(chǎng)上的IPO抑價(jià)現(xiàn)象進(jìn)行研究，具有重要的理論和現(xiàn)實(shí)意義。 本文首先對(duì)承銷商及發(fā)行商的行為與IPO抑價(jià)的關(guān)系進(jìn)行了理論上的分析，承銷商的行為體現(xiàn)了矛盾定價(jià)的心理，既有高定價(jià)的動(dòng)機(jī)，又有低定價(jià)的考慮。發(fā)行商追求的是募集資金總額的最大化，發(fā)行價(jià)越高越好，具有低抑價(jià)的動(dòng)機(jī)。在理論分析的基礎(chǔ)上，建立了承銷商與發(fā)行商之間的非對(duì)稱演化博弈模型，進(jìn)一步分析得出了模型的演化穩(wěn)定策略和演化穩(wěn)定狀態(tài)，并對(duì)演化穩(wěn)定狀態(tài)進(jìn)行了討論。通過(guò)對(duì)演化穩(wěn)定狀態(tài)的討論，認(rèn)為新舊詢價(jià)制下的IPO抑價(jià)率存在差異，并提出了發(fā)行商質(zhì)量與IPO抑價(jià)率負(fù)相關(guān)、承銷商聲譽(yù)與IPO抑價(jià)率正相關(guān)的假設(shè)。 在實(shí)證研究部分，本文主要從發(fā)行商與承銷商的角度選取了變量，除此之外還包括一些對(duì)IPO抑價(jià)率產(chǎn)生影響的因素，這些指標(biāo)共同作為解釋變量構(gòu)建了回歸模型。首先根據(jù)不同的分組標(biāo)準(zhǔn)，對(duì)樣本進(jìn)行描述性統(tǒng)計(jì)分析，分析結(jié)果顯示新舊詢價(jià)制下的IPO呈現(xiàn)出不同的特征，一些指標(biāo)變量發(fā)生明顯變化，而這些變化正體現(xiàn)出了新股發(fā)行體制改革的一些效果。根據(jù)回歸分析的結(jié)果，“發(fā)行商質(zhì)量與IPO抑價(jià)率負(fù)相關(guān)的假設(shè)”并不完全成立，博弈模型的假設(shè)沒(méi)有被很好地驗(yàn)證；“承銷商聲譽(yù)與IPO抑價(jià)率正相關(guān)的假設(shè)”顯著成立，與演化博弈模型的假設(shè)一致；其余解釋變量除了上市等待期，原假設(shè)均顯著成立。
[Abstract]:In January 2005, China began to implement the new inquiry system, but the result has been less than ideal, mainly is the IPO market high underpricing phenomenon in June.2009 launched the IPO reform, the emergence of the "high price earnings ratio, high issue price, high volumes" and "three high" phenomenon, the "broken" phenomenon emerged these phenomena reflect the stock market participants will process the pricing and allocation of new shares as a great profit sharing or the game. After the IPO reform, the issuer and underwriter's behavior has been released, the issuer and underwriter autonomy on the issue of price adjustment increase, become the new subject of interest game the Underwriters and issuers. Game behavior based on the perspective of underpricing of Chinese stock market IPO, has important theoretical and practical significance.
Firstly, relationship between behavior and IPO of the Underwriters and the issuer of the underpricing of theoretical analysis, the underwriter's behavior reflects the contradiction of pricing psychology, has not only high pricing motives, and low pricing considerations. The publisher is the pursuit of the maximization of the total funds raised, the issue price is higher well, with low underpricing motivation. On the basis of theoretical analysis, established asymmetric evolutionary game model between the Underwriters and issuers, further analysis of the model of evolutionary stable strategy and evolutionary stable state and evolutionary stable state is discussed. Through the discussion on the evolution of the steady state, that the old and new the inquiry system under the IPO underpricing rate differences, and puts forward the issuer quality and IPO underpricing rate is negatively related, underwriter reputation and IPO underpricing rate is positively related to the hypothesis.
In the part of empirical research, this article mainly from the issuer and underwriter of selected variables, in addition to some of the factors affect the rate of IPO under price, these common indicators as explanatory variables to construct the regression model. According to the grouping of different standards, analysis of the sample descriptive statistics, analysis results show the old and new inquiry system IPO presents different characteristics, some indexes changed significantly, and these changes are reflected in some of the effects of the IPO reform. According to the results of the regression analysis, the issuer quality and IPO underpricing rate is negatively related to the hypothesis "is not fully established, the game model of the hypothesis has not been good verification;" underwriter reputation and IPO underpricing rate is positively related to the hypothesis is evident, consistent with the evolutionary game model hypothesis; other explanatory variables listed in addition to the waiting period, the original The hypothesis is significant.

【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224.32;F832.51

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