發(fā)布時間：2018-04-23 09:10

  本文選題：IPO + 詢價機構(gòu)競爭　； 參考：《電子科技大學(xué)》2017年碩士論文

【摘要】：本文以2009年至2012年期間深圳證券交易所中小板和創(chuàng)業(yè)板非公開的獨特的IPO賬戶級詢價數(shù)據(jù)為樣本,從機構(gòu)投資者的競爭視角,探究了IPO上市首日的定價效率問題。首先,相較于以前的研究,本文構(gòu)造了新的詢價機構(gòu)競爭指標ICI。通過圖例分析我們發(fā)現(xiàn),與已有文獻中使用的機構(gòu)報價偏度指標相比,ICI指標更加全面和準確地刻畫了IPO過程中機構(gòu)投資者的詢價競爭。進一步地,本文在發(fā)現(xiàn)ICI指標具有吸收報價偏度指標效果的同時,在更長的時間區(qū)間、更大的樣本容量情況下檢驗了詢價機構(gòu)間的過度競爭對新股發(fā)行出現(xiàn)“三高”以及長期表現(xiàn)弱勢問題的影響,發(fā)現(xiàn)詢價機構(gòu)間的過度競爭會降低IPO定價效率。特別地,本文的重要貢獻在于基于本文所用數(shù)據(jù)的獨特性,首次發(fā)現(xiàn)了上述結(jié)果發(fā)生的經(jīng)濟機理。具體地,第一,本文首次從配售制度的合理性角度,對詢價機構(gòu)過度競爭導(dǎo)致IPO定價效率降低的原因進行了探究。我們認為,2010年10月11日提出的第二階段發(fā)行制度改革中配售制度由同比例變?yōu)閾u號,會導(dǎo)致詢價機構(gòu)的報價行為變得更加謹慎,機構(gòu)間過度競爭的動機減少;本文以該次改革作為自然實驗,分析配售制度改革前后詢價機構(gòu)競爭行為的變化。研究結(jié)果表明當配售制度從同比例配售變成搖號配售后,由詢價機構(gòu)過度競爭導(dǎo)致的“三高”、長期表現(xiàn)弱勢等現(xiàn)象有所緩解。第二,為了探究“三高”等問題受到的詢價競爭影響主要是來源于哪類詢價機構(gòu),本文將詢價數(shù)據(jù)按機構(gòu)投資者詢價時的報價高低分為構(gòu)造激進詢價機構(gòu)競爭和適度詢價機構(gòu)競爭,并深入地分析了這兩類投資者的競爭對IPO市場中的“三高”問題和長期表現(xiàn)弱勢現(xiàn)象的不同影響機制。結(jié)果發(fā)現(xiàn),“三高”等問題受到主要是受到激進詢價機構(gòu)之間過度競爭的影響,而并未受到適度詢價機構(gòu)競爭的影響。并且激進型機構(gòu)過度競爭影響新股定價效率的經(jīng)濟機理同樣是配售制度。總體而言,本文的貢獻在于:基于數(shù)據(jù)的獨特性,利用更能準確衡量詢價機構(gòu)競爭的變量ICI,以2010年配售制度的改革為自然實驗,首次發(fā)現(xiàn)了影響詢價機構(gòu)過度競爭與新股定價效率的經(jīng)濟機理是配售制度。進一步地,本文發(fā)現(xiàn)激進型詢價機構(gòu)之間過度競爭是導(dǎo)致新股定價效率降低的主要原因,適度詢價機構(gòu)的競爭對“三高”等問題沒有影響,并且激進型詢價機構(gòu)競爭影響新股定價效率的經(jīng)濟機理同樣是配售制度。
[Abstract]:Based on the unique IPO account inquiry data from 2009 to 2012, this paper explores the pricing efficiency of IPO on the first day of listing of IPO from the perspective of institutional investor competition. First of all, compared with previous studies, this paper constructs a new inquiry agency competition index ICI. Through the legend analysis, we find that compared with the institutional quotation bias index used in the previous literature, the ICI index is more comprehensive and accurate than the institutional investors' inquiry competition in the process of IPO. Furthermore, this paper finds that the ICI index has the effect of absorbing the quoted price deviation index, and at the same time, in a longer time range, In the case of larger sample size, this paper examines the influence of excessive competition among inquiry agencies on the emergence of "three high" new stock issuance and long-term weak performance. It is found that excessive competition among inquiry agencies will reduce the pricing efficiency of IPO. In particular, the important contribution of this paper lies in the discovery of the economic mechanism of the above results for the first time based on the uniqueness of the data used in this paper. Specifically, firstly, from the rational point of view of placing system, this paper explores the reasons why excessive competition of inquiry institutions leads to the reduction of IPO pricing efficiency. We believe that in the second stage of the reform of the issuing system proposed on October 11, 2010, the allotment system will change from the same proportion to a shakedown, which will lead to a more cautious bidding behavior of the inquiry agencies and a decrease in the incentive for excessive competition among the agencies; This paper takes the reform as a natural experiment to analyze the changes of the competitive behavior of inquiry institutions before and after the reform of the placing system. The results show that the phenomenon of "three high", which is caused by excessive competition of inquiry agencies, has been alleviated in the long run when the placing system has changed from the same proportion of placing to the "rocking number". Second, in order to explore the impact of inquiry competition on such issues as the "three High", which kind of inquiry agencies mainly come from, In this paper, the inquiry data are divided into two categories according to the price offered by institutional investors when they inquire, that is, to construct radical inquiry agency competition and moderate inquiry agency competition. The paper also analyzes the different influence mechanism of these two kinds of investors' competition on the "three high" problems and the long-term weak phenomenon in IPO market. The results show that the "three high" problems are mainly affected by the excessive competition among the radical inquiry agencies, but not by the moderate inquiry agencies' competition. Moreover, the economic mechanism of the excessive competition of radical institutions affecting the pricing efficiency of new shares is also the placing system. Overall, the contribution of this paper lies in: based on the uniqueness of the data, ICI, a variable that can more accurately measure the competition of inquiry agencies, is used as a natural experiment in the reform of the placing system in 2010. It is the first time to find that the economic mechanism that affects the excessive competition of inquiry institutions and the efficiency of new stock pricing is the placing system. Furthermore, this paper finds that excessive competition among radical inquiry agencies is the main reason for the reduction of pricing efficiency of new shares, and that the competition of moderate inquiry agencies has no effect on the "three high" problems. And the economic mechanism that radical inquiry agency competition affects the pricing efficiency of new stock is also the placing system.
【學(xué)位授予單位】：電子科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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