本文關(guān)鍵詞：我國中小板IPO抑價問題實證研究　出處：《暨南大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 中小企業(yè)板 IPO抑價 認(rèn)知偏差 投資者情緒

【摘要】：IPO抑價是世界各國證券市場普遍存在的現(xiàn)象，自1973年由美國學(xué)者Logue提出來后，吸引著眾多的學(xué)者對此展開研究，并提出了信息不對稱理論、制度因素、控制權(quán)以及行為金融學(xué)理論。相比之下，我國中小板市場的IPO抑價率遠(yuǎn)超國外成熟市場，并且長期以來居高不下，這極大的損害了資源配置效率。本文基于行為金融學(xué)理論，選擇股權(quán)分置改革后在中小板上市的643家公司為研究樣本，探討投資者的認(rèn)知偏差和投資者情緒對IPO抑價的影響具有重要的理論和現(xiàn)實意義。 論文分為五章，第一章提出本文的研究背景及意義，介紹了我國新股發(fā)行制度和中小板的發(fā)展情況，為下文的實證研究做好鋪墊；第二章從國外、國內(nèi)兩個維度詳盡的介紹了IPO抑價方面的研究文獻(xiàn)，為分析IPO抑價提供了理論基礎(chǔ)；第三章結(jié)合行為金融學(xué)對IPO抑價理論進行分析。首先介紹了基于行為金融學(xué)的IPO決策，其次介紹了投資者的認(rèn)知偏差和投資者情緒對IPO抑價的影響，最后介紹了我國投資者的結(jié)構(gòu)和心理偏差；第四章為實證分析，，分為兩個模型進行研究，第一個模型對樣本期內(nèi)我國中小板的IPO定價效率進行檢驗，第二個模型結(jié)合行為金融學(xué)理論，選擇11個指標(biāo)建立多元回歸模型對我國中小板IPO抑價率進行實證分析；第五章根據(jù)實證研究結(jié)果給出研究結(jié)論并分別針對證券監(jiān)管機構(gòu)、投資者、發(fā)行人與承銷商、證券交易所提出了相關(guān)建議。 定價效率模型結(jié)果表明我國中小板IPO定價效率較高，發(fā)行價并未低定價，造成我國中小板IPO高抑價主要源于投資者在二級市場上的非理性行為。IPO抑價回歸模型結(jié)果顯示實際募資額、首日換手率、上市首日中小板指數(shù)回報率、上市日前20個交易日中小板指數(shù)回報率、發(fā)行前5個IPO的平均抑價率與IPO抑價率有顯著影響，這也證實投資者認(rèn)知偏差和情緒是我國中小板IPO抑價率的重要影響因素。
[Abstract]:IPO underpricing is a common phenomenon in the world's securities markets. Since it was put forward by American scholar Logue in 1973, it has attracted many scholars to study it and put forward the theory of information asymmetry. Institutional factors, control rights and behavioral finance theory. By contrast, the IPO underpricing rate of China's small and medium-sized board market is much higher than that of foreign mature market, and has been high for a long time. This greatly damages the efficiency of resource allocation. Based on the behavioral finance theory, this paper chooses 643 companies listed on the small and medium-sized board as the research sample after the split share structure reform. It is of great theoretical and practical significance to explore the influence of investors' cognitive bias and investor sentiment on IPO underpricing. The thesis is divided into five chapters. The first chapter puts forward the research background and significance of this paper, introduces the new issue system and the development of small and medium-sized boards in our country, and lays the groundwork for the empirical research below. The second chapter introduces the research literature of IPO underpricing in detail from two dimensions abroad, which provides a theoretical basis for the analysis of IPO underpricing. Chapter three analyzes the theory of IPO underpricing based on behavioral finance. Firstly, it introduces the IPO decision based on behavioral finance. Secondly, it introduces the cognitive bias of investors and the influence of investor sentiment on IPO underpricing, and finally introduces the structure and psychological bias of investors in China. Chapter 4th is an empirical analysis, which is divided into two models. The first model tests the IPO pricing efficiency of small and medium-sized boards in the sample period, and the second model combines behavioral finance theory. Select 11 indexes to establish multiple regression model to analyze the IPO underpricing rate of small and medium-sized plates in China. Chapter 5th gives the conclusions according to the empirical research results and puts forward the relevant suggestions for securities regulators investors issuers and underwriters and stock exchanges respectively. The results of pricing efficiency model show that the pricing efficiency of IPO is high and the issue price is not low. The main reason for the high underpricing of IPO in China is the irrational behavior of investors in the secondary market. The results of the regression model show that the actual amount of fund-raising, the first day turnover rate. The return rate of small and medium board index on the first day of listing, the return rate of small and medium-sized board index on the first 20 trading days of the market, the average underpricing rate of 5 IPO before issue and the IPO underpricing rate have significant influence. It also proves that investors' cognitive bias and sentiment are the important influencing factors of IPO underpricing rate in Chinese small and medium scale boards.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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本文編號：1374104