本文關(guān)鍵詞：基于均值方差和隨機(jī)占優(yōu)理論的IPO與股票指數(shù)的收益權(quán)衡　出處：《哈爾濱工業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 隨機(jī)占優(yōu) IPO 指數(shù) 收益權(quán)衡

【摘要】：2009年新股發(fā)行制度改革以后IPO首日收益逐步下降、中小板市場頻繁出現(xiàn)破發(fā)，這些現(xiàn)象讓新股不再是中國股票市場投資者穩(wěn)賺不賠的投資選擇。首日收益率的下降說明新股發(fā)行體制在逐漸走向成熟，，新股發(fā)行市場逐步回歸理性，市場變得更有效率。國內(nèi)市場投資者在考慮選擇IPO的時(shí)候，不能再僅僅追求投機(jī)帶來的高額收益，而是應(yīng)該理性評估相應(yīng)風(fēng)險(xiǎn)下的IPO是否值得選擇。IPO的投資價(jià)值可以通過與市場大盤進(jìn)行比較來判斷其優(yōu)劣，由此，我們選擇均值方差理論（Mean-Variance）以及隨機(jī)占優(yōu)（Stochastic Dominance）方法，以市場指數(shù)為成熟股票市場表現(xiàn)的代表，研究在2009年新股發(fā)行重啟之后IPO在發(fā)行日以及上市之后與市場指數(shù)之間的占優(yōu)關(guān)系，從而評估IPO的投資價(jià)值。 本文采取的隨機(jī)占優(yōu)方法在決策分析中的優(yōu)越性來源于兩個(gè)方面，一是在理論上的直觀性，在樣本越充足的情況下越可以刻畫整個(gè)收益狀況的累積分布函數(shù)，從而可以考慮到收益分布的高階矩，不需要收益函數(shù)服從正態(tài)分布；二是在假設(shè)上的寬松性，SD方法對效用函數(shù)的假設(shè)很少，使研究者在缺乏完整的投資者偏好信息的情況下仍能預(yù)測其投資決策。 通過隨機(jī)占優(yōu)實(shí)證結(jié)果分析，在本文的研究背景下，我們至少可以得到如下結(jié)論，我國一級市場參與申購新股投資收益劣于二級市場新股投資；主板市場IPO表現(xiàn)優(yōu)于創(chuàng)業(yè)板市場IPO表現(xiàn)；我國IPO價(jià)值劣于市場指數(shù)的投資價(jià)值；我國的新股市場不均衡。
[Abstract]:In 2009, after the reform of the new issue system, the income of IPO on the first day gradually decreased, and the small and medium-sized market frequently broke. These phenomena make the new stock market no longer the investment choice of investors in China's stock market. The decline of the yield on the first day indicates that the new issue system is gradually maturing, and the new issue market is gradually returning to rationality. The market becomes more efficient. When domestic market investors consider choosing IPO, they can no longer just pursue the high returns from speculation. Instead, we should rationally evaluate whether the investment value of IPO under the corresponding risk is worth choosing. The investment value of IPO can be compared with the market market to judge its merits and demerits. We choose mean variance theory (Mean-Variance) and stochastic dominance method. Taking the market index as the representative of the mature stock market, this paper studies the dominant relationship between IPO and the market index on the issue date and after listing after the resumption of the new issue in 2009. To evaluate the investment value of IPO. The advantage of the stochastic dominant method in decision analysis comes from two aspects. One is the intuitionism in theory, the more abundant the sample, the more the cumulative distribution function of the whole income condition can be described. Therefore, the higher moments of the income distribution can be taken into account, and the income function is not required from the normal distribution. The other is that the assumption of utility function of SD method is few, which makes researchers can predict their investment decision without complete investor preference information. Based on the empirical results of random dominance, under the background of this paper, we can get at least the following conclusions: the first-level market of our country is inferior to the secondary market in terms of the return of the investment of new shares; The main market IPO performance is better than the gem market IPO performance; The value of IPO in China is inferior to the investment value of market index; The new stock market in China is unbalanced.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F830.91

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