本文選題：創(chuàng)業(yè)板　切入點(diǎn)：新股發(fā)行體制改革　出處：《中國礦業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：市場期盼十年的創(chuàng)業(yè)板2009年10月30日在深圳證券交易所開市，機(jī)遇與挑戰(zhàn)并存。開市以來，創(chuàng)業(yè)板一方面表現(xiàn)出上市首日整體抑價的情況，另一方面卻在后市表現(xiàn)出長期弱勢甚至普遍破發(fā)的現(xiàn)象。為解決這種異象，促進(jìn)新股發(fā)行定價市場化，遏制新股炒作，監(jiān)管層進(jìn)行了四次新股發(fā)行體制改革。下一階段改革取得突破的關(guān)鍵，在于評價歷次改革的成效，找到影響中國新股高抑價率產(chǎn)生的真實(shí)原因：首日抑價究竟是源于一級市場折價發(fā)行，還是源于二級市場熱捧，抑或是兩種因素共同作用的結(jié)果，這是事關(guān)改革路徑設(shè)計的方向性問題；理清一級市場發(fā)行價格、二級市場首日超額收益率與影響因素之間的相關(guān)關(guān)系與作用機(jī)制，又事關(guān)改革戰(zhàn)術(shù)的具體選擇。因而本研究對于評價新股發(fā)行體制改革成效、完善制度技術(shù)細(xì)節(jié)具有重要意義。 本文首先對國內(nèi)外研究現(xiàn)狀和理論基礎(chǔ)做了詳盡綜述，發(fā)現(xiàn)我國新股發(fā)行制度、投資者情緒是引起抑價形成的主要因素，確立了對發(fā)行與上市兩個市場分別研究的視角。進(jìn)而對我國新股發(fā)行定價與配售機(jī)制安排進(jìn)行了回顧，梳理了新股發(fā)行體制改革對創(chuàng)業(yè)板新股發(fā)行價格形成的影響，以及創(chuàng)業(yè)板首日交易制度的改變。這些為后文的實(shí)證研究提供了理論和現(xiàn)實(shí)基礎(chǔ)。 在實(shí)證部分，選取了創(chuàng)業(yè)板開市以來的379家IPO公司為樣本，以四次新股發(fā)行體制改革為標(biāo)志對樣本分段。基于Cobb-Douglas生產(chǎn)函數(shù)形式構(gòu)建零無效隨機(jī)前沿模型，以MCMC方法進(jìn)行參數(shù)估計，發(fā)現(xiàn)我國創(chuàng)業(yè)板一級市場存在著平均12.73%的發(fā)行抑價，第四次股改階段擴(kuò)大到18.26%，統(tǒng)計意義上總體有效發(fā)行的概率為51.4%。進(jìn)而對一級市場定價技術(shù)效率和二級市場上市首日超額收益率進(jìn)行回歸，0.73%的擬合優(yōu)度說明二級市場高溢價的來源于一級市場抑價的部分非常有限，，主要源于自身。進(jìn)一步地，基于投資者情緒、異質(zhì)信念、公司特質(zhì)三個方面的代表變量構(gòu)建分位數(shù)回歸模型，考察各變量在各股改階段與不同分位水平下的首日超額收益率的相關(guān)關(guān)系。結(jié)果顯示，樂觀的投資者情緒與較高的異質(zhì)信念水平推高了追漲情緒，提高了首日超額收益率，并發(fā)現(xiàn)，由于首日臨時停牌制度的改革，第四次股改階段的首日投資者由異質(zhì)信念、急于獲利轉(zhuǎn)變?yōu)橐恢骂A(yù)期、惜售心理。對其他變量的作用機(jī)制與變化趨勢也有諸多發(fā)現(xiàn)。 最后，對全文進(jìn)行總結(jié)。提出盡快建立對主承銷商自主配售權(quán)的監(jiān)管制度，加強(qiáng)投資者教育，推進(jìn)向注冊制過渡，加強(qiáng)初期交易監(jiān)管等四個方面的對策建議。
[Abstract]:The market looks forward to the opening of the 10-year gem on the Shenzhen Stock Exchange on October 30th 2009, with both opportunities and challenges. Since the opening of the market, the gem on the one hand has shown the overall underpricing on the first day of the market. On the other hand, on the other hand, it shows a long-term weakness and even a widespread break in the aftermarket. In order to solve this problem, to promote the marketization of new issue pricing and to curb new stock speculation, The regulatory level has carried out four new share issuance system reforms. The key to achieving a breakthrough in the next stage of reform lies in evaluating the effectiveness of previous reforms. Find out the real reasons that affect the high underpricing rate of new shares in China: whether the first day underpricing comes from the discount issue in the primary market, the popularity in the secondary market, or the combined effect of the two factors. This is related to the direction of the reform path design, to clarify the relationship and mechanism between the issuing price of the primary market, the first-day excess return rate of the secondary market and the influencing factors. Therefore, this study is of great significance for evaluating the reform effect of new issue system and perfecting the technical details of the system. First of all, this paper makes a detailed review of the current research situation and theoretical basis at home and abroad, and finds out that investor sentiment is the main factor leading to the formation of underpricing in China. From the perspective of research on the two markets, this paper reviews the pricing and placing mechanism of new shares in China, and analyzes the influence of the reform of the new issue system on the price formation of new shares on the gem. And the change of the trading system on the first day of gem, which provides the theoretical and practical basis for the later empirical research. In the empirical part, 379 IPO companies since the opening of the gem are selected as samples, and four new share issuance system reforms are taken as the symbol of the sample segmentation. Based on the Cobb-Douglas production function, the zero invalid stochastic frontier model is constructed. Using the MCMC method to estimate the parameters, it is found that there is an average underpricing of 12.73% in the gem primary market in China. The stage of 4th share reform is expanded to 18.26, and the probability of overall effective issuance is 51.4 in the statistical sense. Furthermore, the regression of the technical efficiency of pricing in the primary market and the excess return rate on the first day of listing in the secondary market shows that the secondary market has a good fitting degree of 0.73%. The part of the high premium that comes from primary market underpricing is very limited. Further, based on the representative variables of investor sentiment, heterogeneous belief and company trait, the quantile regression model is constructed. The results show that the optimistic investor sentiment and the higher heterogeneous belief level push up the chase up sentiment and increase the first day excess return, and the relationship between the variables and the first day excess rate of return at different quantile levels is also studied, and the results show that the positive investor sentiment and the higher heterogeneity belief level push up the chase up sentiment and increase the first day excess return rate. It is also found that due to the reform of the system of temporary suspension of trading on the first day, investors in the first day of the 4th stage of stock reform have changed from heterogeneity belief, eager to profit to consensus expectation, and the psychology of resale. There are also many findings on the mechanism and changing trend of other variables. Finally, the paper summarizes the full text and puts forward four countermeasures and suggestions, such as establishing the supervision system of the principal underwriter's autonomous placing right as soon as possible, strengthening the investor education, promoting the transition to the registration system, and strengthening the supervision of the initial transaction.
【學(xué)位授予單位】：中國礦業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F224

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