本文關(guān)鍵詞：中國(guó)創(chuàng)業(yè)板上市公司IPO抑價(jià)與承銷商聲譽(yù)關(guān)系研究，，由筆耕文化傳播整理發(fā)布。

        股票市場(chǎng)中IPO首日超額收益率即首日抑價(jià)比率是資本市場(chǎng)中存在的一種異常現(xiàn)象,也是資本市場(chǎng)在發(fā)展過(guò)程中懸而未決的一個(gè)難題,一直困擾著相關(guān)的研究者。在國(guó)內(nèi)外近四十年關(guān)于資本市場(chǎng)的研究中,有很多的專家學(xué)者分別從不同的視角來(lái)對(duì)股票IPO抑價(jià)情形背后的原因進(jìn)行了深層次的研究,其中比較具有代表性的有不對(duì)稱信息理論研究、制度成因理論研究以及行為方法理論的研究。不對(duì)稱信息理論主要從信息不對(duì)稱和有效市場(chǎng)假說(shuō)的角度出發(fā),認(rèn)為證券市場(chǎng)上各個(gè)參與主體之間的信息不對(duì)稱造成了新股發(fā)行價(jià)格的低估；制度成因理論主要從所有權(quán)分散、原始股的鎖定、避免訴訟和價(jià)格支持四個(gè)方面對(duì)新股發(fā)行抑價(jià)進(jìn)行了分析；行為方法理論主要認(rèn)為在行為金融學(xué)的理論框架中,金融市場(chǎng)不是一個(gè)很有效率的市場(chǎng),投資者也不是理性的人,而是存在著認(rèn)知的偏差,由認(rèn)知偏差所導(dǎo)致的理性偏離是造成新股抑價(jià)的主要原因。各種相關(guān)理論的研究也都取得了一定的成效,這些理論對(duì)于IPO抑價(jià)方面的解釋與分析也各有優(yōu)劣。我國(guó)的股票市場(chǎng)在經(jīng)歷了近20年的發(fā)展之后終于于2009年年底推出了對(duì)于完善中國(guó)資本市場(chǎng)重要的一塊拼圖—?jiǎng)?chuàng)業(yè)板市場(chǎng),中小企業(yè)融資難的問(wèn)題近年來(lái)一直困擾著企業(yè)與政策制定者,由于中小企業(yè)的市場(chǎng)規(guī)模、盈利情況、風(fēng)險(xiǎn)程度等都使其自身融資的范圍變得比較狹窄,而創(chuàng)業(yè)板市場(chǎng)的推出為緩解我國(guó)的中小企業(yè)融資難的問(wèn)題打開(kāi)了一扇窗,也為解決資本市場(chǎng)中的供需矛盾提供了重要幫助。但是創(chuàng)業(yè)板開(kāi)通之后,我們對(duì)創(chuàng)業(yè)板的上市企業(yè)進(jìn)行研究發(fā)現(xiàn)在公司上市首日時(shí)的股票抑價(jià)比率現(xiàn)象不但存在而且其值表現(xiàn)很高并且波動(dòng)幅度很大。本文試著從承銷商聲譽(yù)在IPO過(guò)程中所起到的作用的角度出發(fā)來(lái)研究我國(guó)承銷商聲譽(yù)與創(chuàng)業(yè)板市場(chǎng)上市公司IPO首日抑價(jià)比率之間的關(guān)系。本文在第三章首先分析了承銷商聲譽(yù)的形成條件與作用機(jī)制,然后對(duì)影響承銷商聲譽(yù)的因素進(jìn)行了分析概括,得出了對(duì)承銷商聲譽(yù)影響的因素主要有五個(gè)：承銷商的規(guī)模大小、承銷商的IPO定價(jià)水平、承銷業(yè)績(jī)和承銷記錄、發(fā)行人的經(jīng)營(yíng)狀況以及二級(jí)市場(chǎng)上證券表現(xiàn)出來(lái)的長(zhǎng)期績(jī)效。從而引出了承銷商聲譽(yù)假說(shuō),并對(duì)國(guó)內(nèi)外關(guān)于承銷商聲譽(yù)機(jī)制的主要測(cè)量方法進(jìn)行了描述,通過(guò)這些分析描述后,本文提出了本篇文章主要是以保薦承銷制度實(shí)施以來(lái)各個(gè)承銷商承銷股票的數(shù)額為參照標(biāo)準(zhǔn)對(duì)承銷商聲譽(yù)的排名進(jìn)行了衡量,以此將所有證券承銷商分為三個(gè)層次：高等級(jí)聲譽(yù)的承銷商、中等聲譽(yù)的承銷商以及低等聲譽(yù)的承銷商。本篇文章的實(shí)證分析部分采用了多元線性回歸的實(shí)證分析方式對(duì)IPO抑價(jià)比率與承銷商的聲譽(yù)間相關(guān)關(guān)系進(jìn)行分析解釋,首次以2009年底至2011年12月31日3年多時(shí)間中創(chuàng)業(yè)板市場(chǎng)上首發(fā)上市的281家公司為研究樣本,構(gòu)建了簡(jiǎn)單的多元線性回歸方程模型,模型中引入了與IPO首日抑價(jià)有明顯相關(guān)關(guān)系的五個(gè)因變量：承銷商聲譽(yù)水平(用各個(gè)承銷商所募集資金總額的占比來(lái)表示)、發(fā)行股票的規(guī)模、股票發(fā)行中投資者的中簽率水平、股票發(fā)行市盈率和IPO上市首日的換手率。并對(duì)相關(guān)因變量與創(chuàng)業(yè)板市場(chǎng)股票的IPO抑價(jià)比率相關(guān)關(guān)系進(jìn)行了假設(shè)：首先,假設(shè)承銷商聲譽(yù)與創(chuàng)業(yè)板IPO抑價(jià)比率負(fù)相關(guān)；其次,假設(shè)股票發(fā)行規(guī)模與抑價(jià)比率負(fù)相關(guān)；再次,假設(shè)股票發(fā)行時(shí)的中簽率與抑價(jià)比率負(fù)相關(guān)；第四,假設(shè)發(fā)行市盈率與抑價(jià)比率正相關(guān)；最后,假設(shè)上市首日的股票換手率與抑價(jià)比率正相關(guān)。然后通過(guò)對(duì)281家創(chuàng)業(yè)板上市公司的首日相關(guān)指標(biāo)導(dǎo)入多元線性回歸模型并對(duì)模型分析得出承銷商的聲譽(yù)對(duì)創(chuàng)業(yè)板市場(chǎng)擬上市公司IPO首日超額收益的影響,即得出了創(chuàng)業(yè)板市場(chǎng)IPO抑價(jià)比率與承銷商聲譽(yù)之間的關(guān)系。研究結(jié)果發(fā)現(xiàn),在創(chuàng)業(yè)板市場(chǎng)股票的發(fā)行中,承銷商聲譽(yù)在IPO抑價(jià)程度上發(fā)揮了很大作用,在控制IPO發(fā)行規(guī)模、IPO首日認(rèn)購(gòu)中簽率、發(fā)行市盈率等指標(biāo)對(duì)創(chuàng)業(yè)板市場(chǎng)IPO抑價(jià)比率影響的基礎(chǔ)上,我們最后得出了我國(guó)承銷商聲譽(yù)與創(chuàng)業(yè)板市場(chǎng)IPO抑價(jià)之問(wèn)的關(guān)系。多元線性回歸分析的結(jié)果顯示,原來(lái)在發(fā)達(dá)國(guó)家成熟市場(chǎng)中所表現(xiàn)出來(lái)的承銷商聲譽(yù)與IPO抑價(jià)水平負(fù)相關(guān)關(guān)系同樣在我國(guó)創(chuàng)業(yè)板市場(chǎng)股票的發(fā)行中得到了驗(yàn)證。本文對(duì)承銷商聲譽(yù)與創(chuàng)業(yè)板IPO抑價(jià)之間相關(guān)關(guān)系的研究結(jié)論一方面來(lái)說(shuō)有助于指導(dǎo)擬發(fā)行人選擇合適的承銷商對(duì)自身的股票進(jìn)行保薦承銷,聲譽(yù)高的承銷商對(duì)股票的估計(jì)更加的接近企業(yè)的真實(shí)價(jià)值。另一方面,對(duì)于理性的投資者來(lái)說(shuō)更加的傾向于選擇認(rèn)購(gòu)那些由聲譽(yù)高的承銷商承銷的股票,因?yàn)檫@樣的承銷商保薦的企業(yè)未來(lái)的發(fā)展前景更好,預(yù)期收益更高,起到了正確的投資導(dǎo)向作用。當(dāng)然,對(duì)于承銷商自身來(lái)說(shuō)也有影響,承銷商通過(guò)比較發(fā)行人和投資者的反響之后就會(huì)對(duì)其自身聲譽(yù)的關(guān)心和維護(hù)更加的上心�？傮w說(shuō)來(lái)有助于發(fā)行人、證券承銷商和投資者三者之間的關(guān)系平衡。本文的創(chuàng)新之處有三：首先,本文的數(shù)據(jù)來(lái)源于創(chuàng)業(yè)板市場(chǎng)截止2011年12月31日的所有281家上市公司,保證了數(shù)據(jù)的全面性和新穎性；其次,承銷商的聲譽(yù)排名方法以2004年承銷商實(shí)行保薦制度為分界線,分為前后兩個(gè)階段來(lái)呈現(xiàn),更加體現(xiàn)了時(shí)代性；再次,本文對(duì)我國(guó)資本市場(chǎng)中承銷商的聲譽(yù)與創(chuàng)業(yè)板市場(chǎng)IPO抑價(jià)關(guān)系進(jìn)行了研究,并且得出了承銷商聲譽(yù)與IPO抑價(jià)具有負(fù)相關(guān)關(guān)系的結(jié)論,與一些國(guó)內(nèi)外的學(xué)者研究結(jié)論相仿。

    IPO’s abnormal initial return (AIR) which is also called the ratio of underpricing has been an anomaly phenomenon in almost all stock markets. It is also a problem in suspense of the capital market until now. In the past forty years of capital market research, Chinese and foreign experts and scholars study the stock IPO underpricing in the underlying causes from different perspectives. The representative of the study include the asymmetric information theory, system theory and method research of the behavior. The study of the various theoretical approaches have gained some achievements, and each one has his good points on the analysis of IPO underpricing. China’s stock market has experienced nearly20years of development, has finally launched Growth enterprise market in late2009to further improve the capital market. Gem has opened a leaf of window for the financing of Chinese small and medium enterprises, which is also provide important help to solving the contradiction between supply and demand of the capital market. But at the same time, the IPO underpricing of the Listed companies has also reflected in the GEM market.This article tries to study the relationship between the Chinese underwriter reputation and the GEM listed company IPO first-day underpricing ratio from the underwriter reputation in IPO process perspective. This paper analysis the underwriter reputation formation conditions and mechanisms of action as well as the influence of underwriter reputation factor. Lead some testing theory about the underwriter reputation mechanism. Listed the main measurement methods of the underwriter reputation mechanism. These are presented in this article to the underwriter reputation the main measurement method, The standard method for the measurement of underwriter reputation in this article is main from the the underwriter underwriting amount since the implementation of the sponsor system. The underwriters are divided into three levels:High grade reputation underwriter, medium and low reputation underwriter. The part of empirical analysis of this article firstly use the dates of245GEM IPO listed companies from2009to2011as samples. By the simple linear regression equation model, we construction five variables who has obvious correlation between them and IPO first-day underpricing, which include the Underwriter reputation、the stock size、Investors success rate、PE and IPO initial exchange rate.On the premise of the hypothesis about the related variables and growth enterprise market stock IPO price ratio, based on245listed companies on the first day of relevant index calculated the effects of the underwriter reputation to GEM companies IPO initial excess returns.From the result we can find that the Underwriters play a very significant role in the control of the level of IPO underpricing. In the basis of the control on IPO issue size, IPO initial success rate and other factors, we validate the relationship between our underwriter reputation and the GEM IPO underpricing. The results from multiple linear regression analysis show that we have been verified the negative correlation between the underwriter reputation and IPO underpricing in the developed market has also exist in Chinese GEM market. We also validate the results of the model of C-M from the side. This conclusion has great guiding significance to the relationship between the issuer, securities underwriters and investors

        中國(guó)創(chuàng)業(yè)板上市公司IPO抑價(jià)與承銷商聲譽(yù)關(guān)系研究

摘要4-7Abstract7-81. 緒論11-16    1.1 論文的研究背景與意義11-14        1.1.1 論文的研究背景11-13        1.1.2 論文研究意義13-14    1.2 論文的研究思路與方法14    1.3 論文結(jié)構(gòu)和主要內(nèi)容14-15    1.4 本文的特點(diǎn)和創(chuàng)新之處15-162. 相關(guān)文獻(xiàn)綜述16-29    2.1 相關(guān)概念的界定和解釋16-17    2.2 國(guó)外學(xué)者對(duì)IPO抑價(jià)現(xiàn)象的研究17-23        2.2.1 不對(duì)稱信息理論17-21        2.2.2 制度成因理論21-22        2.2.3 行為方法理論22-23    2.3 國(guó)內(nèi)學(xué)者對(duì)IPO抑價(jià)的研究23-27        2.3.1 以信息不對(duì)稱為視角的研究成果23-26        2.3.2 以行為金融學(xué)為視角的研究成果26-27        2.3.3 其他角度的研究成果27    2.4 國(guó)內(nèi)外研究理論的優(yōu)劣27-293. 承銷商的聲譽(yù)及其度量29-44    3.1 承銷商聲譽(yù)機(jī)制的形成條件與作用機(jī)理29-33    3.2 影響承銷商聲譽(yù)機(jī)制的因素分析33-35    3.3 承銷商的聲譽(yù)假說(shuō)35-36    3.4 承銷商聲譽(yù)的度量方法36-44        3.4.1 國(guó)內(nèi)外主要度量承銷商聲譽(yù)的方法36-40        3.4.2 本文擬采用的度量方法40-444. 中國(guó)創(chuàng)業(yè)板市場(chǎng)上市公司IPO抑價(jià)與承銷商聲譽(yù)關(guān)系實(shí)證分析44-61    4.1 中國(guó)創(chuàng)業(yè)板市場(chǎng)概述44-51        4.1.1 創(chuàng)業(yè)板市場(chǎng)的基本理論44-47        4.1.2 中國(guó)創(chuàng)業(yè)板市場(chǎng)47-49        4.1.3 中國(guó)創(chuàng)業(yè)板與境外創(chuàng)業(yè)板之間比較49-51    4.2 創(chuàng)業(yè)板市場(chǎng)中IPO抑價(jià)與承銷商聲譽(yù)關(guān)系的實(shí)證分析51-61        4.2.1 樣本選擇與數(shù)據(jù)的來(lái)源51-56        4.2.2 實(shí)證檢驗(yàn)和分析56-615. 本論文的研究結(jié)論以及政策建議61-63    5.1 研究結(jié)論61-62    5.2 政策建議62-63參考文獻(xiàn)63-69后記69-70致謝70-72在讀期間科研成果目錄72

  本文關(guān)鍵詞：中國(guó)創(chuàng)業(yè)板上市公司IPO抑價(jià)與承銷商聲譽(yù)關(guān)系研究，由筆耕文化傳播整理發(fā)布。