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  本文選題：新股發(fā)行制度改革　切入點：定價效率　出處：《新疆財經(jīng)大學》2014年碩士論文　論文類型：學位論文

【摘要】：新股發(fā)行定價效率一直是我國證券市場中研究的焦點問題，隨著上市公司業(yè)績變臉、新股破發(fā)、高市盈率、新股首日遭爆炒等等問題出現(xiàn)，暴露出新股發(fā)行定價鏈條上的種種弊端，是當前中國證券市場上最受關(guān)注和討論的焦點之一，也是監(jiān)管層近20年來幾經(jīng)改革我國新股發(fā)行制度的重要因素。有效市場理論認為，判斷證券價格的有效性依據(jù)是：信息是影響證券價格唯一因素，信息能在各個時期各個時間點準確無誤反映證券的內(nèi)在價值，且影響證券價格變化的信息能自由進入市場,也就是說,證券定價是否有效主要體現(xiàn)在價格能夠?qū)π畔⑦M行有效反應(yīng)。 本文研究背景正處于我國即將啟動新一輪的新股發(fā)行制度改革窗口期，此時對我國二十多年以來的歷次改革情況和改革效果進行回顧和總結(jié)具有重要的現(xiàn)實意義。 通過分析研究歷次新股發(fā)行制度改革在定價機制上的變革路徑，我們發(fā)現(xiàn)，我國新股定價呈市場化發(fā)展趨勢，，雖然定價效率期間有所反復(fù)，但整體上看出現(xiàn)本質(zhì)上改觀。從2001年3月證監(jiān)會正式取消了股票發(fā)行審批制到2005年初開始實施詢價制，我國新股發(fā)行的定價方式在詢價制下不斷完善。從2009年啟動的新一輪兩個階段新股發(fā)行制度改革，使得我國新股發(fā)行定價機制趨于成熟，通過不斷擴大詢價對象的范圍，提高主承銷商配售自主權(quán)，加強信息披露與監(jiān)督機制，細化市場主體權(quán)利與責任，很大程度上提高了新股定價效率。為量化這幾次改革實施的實際效果，我們以股價對信息反映程度為標準衡量新股定價效率，應(yīng)用Roll股價波動非同步性測度模型對新股發(fā)行首日收益率進行實證檢驗，結(jié)果顯示我國新股發(fā)行市場化改革的確取得一定的成果，我國新股定價機制在不斷完善過程中，實證結(jié)果也證明新股定價只有走市場化改革的道路，充分發(fā)揮市場主體在定價過程中的主體作用，減少行政的人為干預(yù)，才能提升股價信息含量，提高我國新股定價效率，促進資本市場優(yōu)化配置。
[Abstract]:The efficiency of IPO pricing has always been the focus of research in China's securities market. With the performance change of listed companies, the breaking of new shares, the high price-earnings ratio, the explosion of new shares on the first day, and so on, It is one of the most concerned and discussed focuses in China's securities market at present. It is also an important factor for the regulatory layer to reform the new issue system of our country several times in the past 20 years. The basis for judging the validity of securities price is that information is the only factor affecting the price of securities, information can accurately reflect the intrinsic value of securities at every time point in each period, and the information that affects the change of security price can enter the market freely. That is to say, whether the securities pricing is effective or not is mainly reflected in the effective response of the price to the information. The research background of this paper is in the window period of the new round of new issue system reform in our country. It is of great practical significance to review and summarize the history and effect of the reform in our country for more than 20 years. Through the analysis and study of the reform of the IPO system in the reform of the pricing mechanism, we find that the pricing of new shares in China shows a trend of market-oriented development, although the pricing efficiency has been repeated during the period. On the whole, however, there has been a fundamental change. From March 2001, when the Securities Regulatory Commission formally abolished the stock issuance approval system, it began to implement the inquiry system in early 2005. Since 2009, the new round of two stages of new stock issue system reform has made the pricing mechanism of new issue of new stock in our country tend to mature, by expanding the range of the target of inquiry continuously, the pricing method of new issue of new stock in our country has been improved continuously under the inquiry system. In order to quantify the actual effect of these reforms, the rights and responsibilities of the market subjects are refined by enhancing the autonomy of the placement of the principal underwriters, strengthening the mechanism of information disclosure and supervision, and improving the efficiency of the pricing of new shares to a great extent. We measure the pricing efficiency of new shares by the degree of information reaction of stock price, and apply the non-synchronism measure model of Roll stock price fluctuation to make an empirical test on the first-day yield of new shares. The results show that some achievements have been made in the market-oriented reform of new stock issuance in our country. In the process of the continuous improvement of the pricing mechanism of new shares, the empirical results also prove that the pricing of new shares only takes the road of market-oriented reform. Only by giving full play to the main role of the market main body in the pricing process and reducing the administrative artificial intervention can the information content of the stock price be raised, the pricing efficiency of new shares be improved, and the optimal allocation of capital market be promoted.
【學位授予單位】：新疆財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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本文編號：1576509