發(fā)布時(shí)間：2018-02-06 04:36

  本文關(guān)鍵詞： 股票市場 IPO 創(chuàng)業(yè)板 累計(jì)超額收益率 多元線性回歸分析　出處：《北京化工大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：IPO長期表現(xiàn)是IPO研究領(lǐng)域的三大熱點(diǎn)問題之一。國外眾多學(xué)者的研究結(jié)果表明,新股普遍存在長期弱勢的現(xiàn)象,即企業(yè)在IPO后3-5年股票的收益率低于市場平均水平。造成這一結(jié)果的原因,各國學(xué)者均提出了各自的理論解釋,主要集中于行為金融學(xué)理論、有效市場假說和信息不對稱理論這三個(gè)方面。 我國資本市場發(fā)展時(shí)間較短,對于新股長期表現(xiàn)的系統(tǒng)研究也起步較晚,由于考察時(shí)間窗口、樣本選擇以及實(shí)證分析方法的不同,導(dǎo)致研究結(jié)果產(chǎn)生差異,部分學(xué)者認(rèn)為我國股票市場存在新股長期弱勢現(xiàn)象,也有學(xué)者認(rèn)為我國新股長期表現(xiàn)為強(qiáng)勢。 研究新股長期表現(xiàn),一方面可以研究股票市場的有效性,具有深刻的理論意義；另一方面可以為投資者提供參考,為監(jiān)管者制定監(jiān)管政策、完善資本市場各項(xiàng)制度提供依據(jù),具有重要的現(xiàn)實(shí)意義。 本文選取了2009年10月30日-2010年5月31日間在深圳證券交易所創(chuàng)業(yè)板市場發(fā)行上市的87只創(chuàng)業(yè)板股票作為樣本進(jìn)行研究,時(shí)間跨度為三個(gè)交易年,采用累計(jì)超額收益率法來衡量新股長期表現(xiàn)。通過研究發(fā)現(xiàn)我國創(chuàng)業(yè)板市場IPO存在長期弱勢現(xiàn)象,弱勢程度也逐年加深。此外,通過多元線性回歸分析,還發(fā)現(xiàn)IPO抑價(jià)率、流通股比例、凈資產(chǎn)收益率等因素,是造成我國創(chuàng)業(yè)板市場IPO長期弱勢的主要原因。最后,結(jié)合本文研究成果以及我國股票市場的發(fā)展現(xiàn)狀,本文提出了相應(yīng)的政策建議。
[Abstract]:The long-term performance of IPO is one of the three hot issues in the field of IPO research. That is, the return rate of stock is lower than the market average in 3-5 years after IPO. The reasons for this result have been put forward by scholars in various countries, mainly focused on behavioral finance theory. Efficient market hypothesis and information asymmetry theory are three aspects. The development time of capital market in China is relatively short, and the systematic research on the long-term performance of new shares has started relatively late. Due to the difference of inspection time window, sample selection and empirical analysis methods, the research results are different. Some scholars believe that there is a long-term weakness of new stocks in China's stock market, while some scholars believe that the long-term performance of new stocks is strong in China. To study the long-term performance of new shares, on the one hand, can study the effectiveness of the stock market, which has profound theoretical significance; On the other hand, it is of great practical significance to provide reference for investors, to make supervision policy for regulators and to perfect the various systems of capital market. This paper selects 87 gem stocks listed in the gem of Shenzhen Stock Exchange from October 30th 2009 to May 31st 2010 as samples to study. The time span is three trading years, the cumulative excess return method is used to measure the long-term performance of new shares. Through the study, we find that there is a long-term weak phenomenon in China's gem market IPO, and the degree of vulnerability is also deepening year by year. Through multiple linear regression analysis, it is also found that the IPO underpricing rate, the ratio of circulating shares, the return on net assets and other factors are the main reasons for the long-term weakness of IPO in China's gem market. Finally. Based on the research results and the present situation of stock market in China, this paper puts forward some policy suggestions.
【學(xué)位授予單位】：北京化工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1493592