本文選題：IPO　切入點：財富效應(yīng)　出處：《集美大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：近年來,新股上市后一字漲停封板并持續(xù)漲停板一段時間現(xiàn)象層出不窮,對于新股申購成功的投資者而言,其在新股上市首日或者打開漲停板日賣出新股就能獲得較高的收益,然而對于大部分二級市場投資者而言,購得新股的價格是打開漲停板之后的價格,其成本價將遠高于新股發(fā)行價和上市首日收盤價,那么對于這些在二級市場上投資新股的投資者而言,其能獲得正的財富收益嗎?從目前相關(guān)文獻看,國內(nèi)尚無相關(guān)的研究。本文將從絕對收益和超額收益(絕對收益減去市場平均水平收益)兩方面來衡量股票市場財富效應(yīng),并首次使用初始有效購買價作為投資者購買IPO的成本價。初始有效購買價指投資者能夠有效購買到IPO的價格,本文將新股上市后換手率超過20%當(dāng)日的收盤價作為IPO初始購買價,此外對IPO樣本股研究時間為三年。結(jié)果表明深圳主板無論是一年還是二年、三年絕對收益與超額收益均大于0,能給投資者帶來正財富效應(yīng),具有較高投資價值,而創(chuàng)業(yè)板IPO需投資三年才能給投資者帶來較高的正絕對收益,但是其超額收益始終為負,投資者獲得的收益要低于創(chuàng)業(yè)板平均水平,造成相對財富的減少。另投資中小板和上海主板IPO一年與二年,投資者獲得的絕對收益和超額收益均為負,若投資時間為三年,則投資者絕對收益和超額收益都為正,說明這兩個市場IPO適合投資者做長期投資。另外,發(fā)現(xiàn)在牛市和熊市期間上市IPO財富效應(yīng)存在一定差異。上海主板牛市期間上市IPO絕對收益要高于熊市期間上市IPO,而其他市場牛市期間上市IPO一年絕對收益高于熊市期間上市IPO,二年和三年絕對收益則與之相反;中小板與深圳主板在熊市期間上市IPO超額收益要顯著高于牛市期間上市新股,上海主板和創(chuàng)業(yè)板在牛市期間上市IPO一年和二年超額收益要大于熊市期間上市IPO,而三年超額收益則相反。對股票市場IPO絕對收益和超額收益影響因素進行了研究,結(jié)果表明上海主板IPO投資者屬于風(fēng)險規(guī)避型投資者,市盈率越低的公司越能獲得投資者青睞,給投資者帶來的絕對收益和超額收益越高。而中小板IPO絕對收益和超額收益與IPO抑價率呈負相關(guān),抑價率越低的公司給投資者帶來的絕對收益和超額收益越高。創(chuàng)業(yè)板投資者則屬于風(fēng)險偏好型,絕對收益和超額收益與市盈率呈正相關(guān),與流通股比呈負相關(guān)關(guān)系。
[Abstract]:In recent years, after the new stock is listed, a word of trading and closing board has been appearing for a period of time. For investors who have successfully applied for new shares, they can get a higher return by selling new shares on the first day of the new stock listing or on the day of opening the new stock market. However, for most investors in the secondary market, the price of new shares is the price after opening up the increase, and the cost will be much higher than the price of the new share issue and the closing price of the first day of the market. So for those investors who invest in new shares in the secondary market, can they earn a positive return on wealth? From the current literature, there is no relevant research in China. This paper will measure the wealth effect of stock market from two aspects: absolute return and excess return (absolute return minus market average return). For the first time, the initial effective purchase price is used as the cost price for the investor to purchase IPO. The initial effective purchase price refers to the price at which the investor can effectively purchase the IPO. In this paper, the closing price of the new stock exchange rate of more than 20% is taken as the initial purchase price of IPO. In addition, the research time of IPO sample stock is three years. The results show that the absolute return and excess return of Shenzhen main board are more than 0, which can bring positive wealth effect to investors and have high investment value. The growth Enterprise Market (gem) IPO needs three years of investment to bring investors a higher positive absolute return, but its excess return is always negative, and the return of the investors is lower than the average level of the gem. In addition, the absolute return and excess return obtained by investors are both negative for one year and two years on the Shanghai main Board and the small and medium board. If the investment time is three years, the absolute return and excess return of the investor are both positive. These two markets IPO is suitable for investors to make long-term investment. In addition, It is found that there are some differences in the wealth effect of IPO listed during bull market and bear market. The absolute return of IPO listed in Shanghai main Board bull market is higher than that in bear market, while that of IPO in other bull market is higher than that of bear in one year. IPO listed during the market, two and three years of absolute income is the opposite; The excess returns of IPO listed on the medium and small board and the main board of Shenzhen during the bear market are significantly higher than those of the new shares listed during the bull market. During the bull period, the excess returns of IPO in Shanghai main Board and growth Enterprise Market are higher than those in bear market, but the three year excess returns are opposite. This paper studies the influence factors of IPO absolute return and excess return on stock market. The results show that Shanghai main Board IPO investors are risk-averse investors, the lower the price-earnings ratio is, the better the investors will be. The higher the absolute return and the excess return to investors, the negative correlation between the absolute return and excess return of IPO and the underpricing rate of IPO. The lower the underpricing rate, the higher the absolute return and excess return for investors, and the higher the risk preference type for gem investors, the positive correlation between absolute return and excess return and P / E ratio, and the negative correlation with tradable stock ratio.
【學(xué)位授予單位】：集美大學(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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