本文關(guān)鍵詞： IPO抑價(jià) 投資者情緒 指標(biāo)構(gòu)建　出處：《安徽財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：在我國股票市場發(fā)展的二十余年中,對(duì)于新股發(fā)行制度改革的探索一直沒有間斷,IPO抑價(jià)情況雖然隨著新股發(fā)行市場化程度加強(qiáng)得到了部分降低,但投資者對(duì)新股的投機(jī)熱并未得到根本性的緩解,高抑價(jià)的存在嚴(yán)重影響了市場的融資功能和資源配置效率。當(dāng)前,我國IPO市場處在第八次暫停后即將開閘的關(guān)鍵時(shí)期,在此背景下,本文從投資者情緒角度出發(fā),探討我國IPO抑價(jià)問題的產(chǎn)生原因并根據(jù)研究結(jié)論提出相關(guān)政策建議,具有一定的理論和現(xiàn)實(shí)意義。 文首先從IPO抑價(jià)現(xiàn)象的發(fā)現(xiàn)、基于一級(jí)市場和二級(jí)市場的IPO抑價(jià)理論及結(jié)合我國制度特點(diǎn)的IPO抑價(jià)分析這四個(gè)角度對(duì)關(guān)于首發(fā)市場抑價(jià)現(xiàn)象的研究進(jìn)行文獻(xiàn)回顧,發(fā)現(xiàn)隨著各地證券市場首發(fā)高額收益率的持續(xù)出現(xiàn),學(xué)者們關(guān)注的重點(diǎn)開始由一級(jí)市場轉(zhuǎn)向二級(jí)市場；其次,通過歸納投資者情緒的不同測量方法,發(fā)現(xiàn)作為綜合指標(biāo)的投資者情緒指數(shù)能夠更為全面得反映市場情況,同時(shí),結(jié)合miller模型、DSSW模型、DHS模型分析投資者情緒對(duì)IPO抑價(jià)產(chǎn)生影響的作用機(jī)理；再次,結(jié)合我國IPO市場的特點(diǎn),從一級(jí)市場和二級(jí)市場兩個(gè)角度歸納了IPO高抑價(jià)的影響指標(biāo)；最后,本文以2006年6月至2012年10月在A股市場的IPO股票為樣本進(jìn)行實(shí)證研究,在運(yùn)用SPSS主成分分析法構(gòu)建復(fù)合投資者情緒指標(biāo)(ISCI)的基礎(chǔ)上,引入發(fā)行規(guī)模及企業(yè)主要財(cái)務(wù)指標(biāo)進(jìn)行逐步回歸分析,研究不同時(shí)期的投資者情緒對(duì)IPO抑價(jià)影響的變化。 研究結(jié)果表明,我國新股抑價(jià)率長期處在較高水平且波動(dòng)幅度較大；影響發(fā)行抑價(jià)的主要因素為各期復(fù)合投資者情緒指數(shù)、發(fā)行規(guī)模、市盈率、凈資產(chǎn)收益率、每股凈利潤；提前一期、提前兩期的復(fù)合投資者情緒指標(biāo)ISCIt-1、ISCIt-2正相關(guān),說明投資者情緒是我國股市IPO高抑價(jià)現(xiàn)象的重要原因且投資者情緒波動(dòng)領(lǐng)先于市場反應(yīng)。因此,為了IPO市場的進(jìn)一步發(fā)展完善,我們?nèi)孕鑿募訌?qiáng)投資者教育、完善信息披露、推行發(fā)行制度改革等幾個(gè)方面做出持續(xù)努力。
[Abstract]:In the more than 20 years of the development of the stock market in our country, the exploration of the reform of the new issue system has been uninterrupted although the IPO underpricing has been reduced partly with the increase of the marketization of the new issue. However, the speculative enthusiasm of investors on new shares has not been fundamentally alleviated. The existence of high underpricing has seriously affected the financing function of the market and the efficiency of resource allocation. China's IPO market is in the critical period of opening after 8th pauses. Under this background, this paper starts from the perspective of investor sentiment. It is of theoretical and practical significance to probe into the causes of IPO underpricing in China and to put forward relevant policy suggestions according to the conclusions of the research. First of all, we find the phenomenon of IPO underpricing. Based on the IPO underpricing theory of primary market and secondary market and the analysis of IPO underpricing combined with the characteristics of China's system, the literature review of the underpricing phenomenon in the first-round market is carried out. It is found that with the continuous emergence of the initial high yield rate in the local securities markets, the focus of scholars' attention has begun to shift from the primary market to the secondary market; Secondly, through the induction of different measurement methods of investor sentiment, it is found that investor sentiment index, as a comprehensive index, can more comprehensively reflect the market situation, at the same time, combined with the miller model. The DSSW model and the DHS model are used to analyze the effect of investor sentiment on IPO underpricing. Thirdly, according to the characteristics of IPO market in our country, the influence index of high underpricing of IPO is concluded from two aspects of primary market and secondary market. Finally, this paper takes the IPO stock in A share market from June 2006 to October 2012 as the sample to carry on the empirical research. On the basis of using SPSS principal component analysis method to construct complex investor sentiment index (ISCI), this paper introduces the issuing scale and the main financial index of enterprises to carry on stepwise regression analysis. To study the effect of investor sentiment on IPO underpricing in different periods. The results show that the underpricing rate of new shares in China is in a high level for a long time and fluctuates greatly. The main factors affecting the underpricing are the composite investor sentiment index, the size of the issue, the price-earnings ratio, the rate of return on net assets and the net profit per share. ISCIt-1 / ISCIt-2, a composite investor sentiment index in one and two phases, was positively correlated. It shows that investor sentiment is an important reason for the high IPO underpricing phenomenon in China's stock market and the fluctuation of investor sentiment is ahead of the market response. Therefore, for the further development of the IPO market, it is necessary to perfect it. We still need to make continuous efforts in several aspects, such as strengthening investor education, perfecting information disclosure and carrying out the reform of issuing system.
【學(xué)位授予單位】：安徽財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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