本文關(guān)鍵詞：中國股票市場IPO抑價研究　出處：《天津財經(jīng)大學(xué)》2011年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： IPO抑價 信息不對稱 投資者非理性 隨機邊界模型 累計投標(biāo)詢價

【摘要】：大量文獻證實無論是發(fā)達國家資本市場還是新興資本市場都存在IPO首日超額收益現(xiàn)象。IPO抑價是全球股票市場中普遍存在的現(xiàn)象。為探索IPO抑價的成因,自1980年代以來西方金融學(xué)界展開了大量的研究,形成三個具有代表性的理論解說流派,即“非對稱信息流派”、“制度流派”和“非理性行為流派”。 中國股市由于特殊的制度安排和投資者構(gòu)成,有其不同于成熟股票市場的獨特規(guī)律。本論文第二章對中國股市IPO抑價的存在性和差異性進行實證研究,并對有關(guān)抑價成因的幾種理論和假說(包括信息不對稱、機制解釋、所有權(quán)與控制權(quán)、投資者非理性)進行中國股市的適用性研究。我們發(fā)現(xiàn),招股時注冊資本和承銷商聲譽假說成立,這說明信息不對稱理論對我國的新股發(fā)行抑價有一定的解釋作用；發(fā)行日與上市日時間間隔對新股發(fā)行抑價影響不大,詢價制的實施使得主板的抑價程度變小的同時使得中小板的抑價率提高,因此,機制解釋對抑價的影響不能一概而論；管理層持股比例對IPO抑價并沒有顯著影響,這表明所有權(quán)與控制權(quán)理論在中國并不完全適用；投資者情緒的代表變量中簽率對各個市場的IPO抑價都有顯著影響,說明行為金融理論可以很好的解釋中國新股首日收益過高現(xiàn)象。論文第三章使用隨機邊界方法實證研究中國IPO抑價現(xiàn)象,發(fā)現(xiàn)2005年之前中國新股發(fā)行價格存在與成熟資本市場相反的顯著下邊界特征,其主要根源在于此期間中國采用的新股發(fā)行定價方式方法的制度化特征；實施累計投標(biāo)詢價后中國IPO定價開始出現(xiàn)與海外成熟資本市場相類似的顯著上邊界特征。論文第四章用定價偏離程度以及代表投資者情緒及市場狀況的解釋變量與IPO抑價進行回歸,發(fā)現(xiàn)中國新股發(fā)行抑價與一級市場發(fā)行價格因素有關(guān),但更主要的是受到二級市場投資者情緒和市場狀況因素的影響。
[Abstract]:A large number of documents have confirmed that there exists the phenomenon of IPO first-day excess return in both developed and emerging capital markets. IPO underpricing is a common phenomenon in the global stock market. In order to explore the underpricing of IPO. Cause. Since the 1980s, a great deal of research has been carried out in the western financial circles, forming three representative schools of theoretical interpretation, namely "asymmetric information school", "institutional school" and "irrational behavior school". . Chinese stock market is different from mature stock market because of its special institutional arrangement and investor composition. The second chapter makes an empirical study on the existence and difference of IPO underpricing in Chinese stock market. The applicability of several theories and hypotheses about underpricing (including information asymmetry, mechanism explanation, ownership and control, investor irrationality) is also studied. The hypothesis of registered capital and underwriter reputation is established, which indicates that the information asymmetry theory can explain the underpricing of IPO in China. The time interval between the issue date and the listing date has little effect on the underpricing of the new issue. The implementation of the inquiry system makes the underpricing degree of the main board become smaller and the underpricing rate of the small and medium-sized board increases. The influence of mechanism explanation on underpricing cannot be generalized; The proportion of managerial shareholding has no significant effect on IPO underpricing, which indicates that the theory of ownership and control is not fully applicable in China. The representative variable of investor sentiment has significant influence on the IPO underpricing in each market. The behavioral finance theory can explain the phenomenon of excessive first-day earnings of new shares in China. Chapter three uses the stochastic boundary method to empirically study the phenomenon of IPO underpricing in China. It is found that the IPO price of China before 2005 has the distinct lower boundary characteristics contrary to the mature capital market, the main root of which lies in the institutionalization of the new issue pricing method adopted by China during this period. China's IPO pricing began to show significant boundary characteristics similar to those of overseas mature capital markets after the implementation of cumulative bid inquiry. Chapter 4th explains the extent of pricing deviation and represents investor sentiment and market conditions. Variable and IPO underpricing regression. It is found that the underpricing of IPO in China is related to the price factors in the primary market, but it is mainly influenced by investor sentiment and market conditions in the secondary market.
【學(xué)位授予單位】：天津財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2011
【分類號】：F832.51;F224

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本文編號：1377053