本文關(guān)鍵詞：我國(guó)創(chuàng)業(yè)板市場(chǎng)股票破發(fā)現(xiàn)象的實(shí)證研究　出處：《東北財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

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【摘要】：新股首日收益率問(wèn)題一直是資本市場(chǎng)領(lǐng)域的熱門(mén)課題,以往的研究集中于對(duì)首日收益率為正,也就是新股抑價(jià)現(xiàn)象的解釋,因?yàn)樵趧?chuàng)業(yè)板開(kāi)板之前,新股抑價(jià)是我國(guó)股票市場(chǎng)的主要特征。但是自2010年我國(guó)的股票市場(chǎng)開(kāi)始出現(xiàn)零星的新股破發(fā),而且這種現(xiàn)象日漸常態(tài)化,然而,目前針對(duì)新股首日收盤(pán)價(jià)跌破發(fā)行價(jià)現(xiàn)象的研究甚少,理論體系還不完善。寄托著各方厚望的創(chuàng)業(yè)板于2009年10月30日開(kāi)盤(pán)了,但在發(fā)展過(guò)程中也暴露出同樣的問(wèn)題：即開(kāi)盤(pán)之初新股上市首日暴漲,然后陷入破發(fā)窘境,且現(xiàn)在仍有大面積股票的市價(jià)低于發(fā)行價(jià)。截至2013年5月30日,處于破發(fā)狀態(tài)的創(chuàng)業(yè)板股票達(dá)78.59%。創(chuàng)業(yè)板對(duì)于建立多層次資本市場(chǎng)起著至關(guān)重要的作用,其發(fā)展過(guò)程中暴露的這些問(wèn)題都非常值得關(guān)注,因此本文選取創(chuàng)業(yè)板上市股票,對(duì)新股首日破發(fā)現(xiàn)象進(jìn)行研究。 本文首先對(duì)國(guó)內(nèi)外研究新股首日收益率影響因素的成果進(jìn)行梳理；然后結(jié)合新股破發(fā)企業(yè)的一些共性因素以及我國(guó)創(chuàng)業(yè)板的特點(diǎn)和文獻(xiàn)成果深入分析哪些因素可能對(duì)創(chuàng)業(yè)板新股首日收益率產(chǎn)生影響及其作用機(jī)理。然后從實(shí)證角度給予驗(yàn)證,發(fā)現(xiàn)能夠顯著的影響公司股票上市首日收益率的變量；最后對(duì)本文研究結(jié)論做了比較合理的解釋,并為我國(guó)創(chuàng)業(yè)板健康發(fā)展提出了參考意見(jiàn)。 本文從基礎(chǔ)數(shù)據(jù)挖掘得出的破發(fā)企業(yè)的共性特征出發(fā)選取變量進(jìn)行多元線性回歸分析,從回歸結(jié)果分析可以得到如下導(dǎo)致破發(fā)的因素：(1)新股發(fā)行價(jià)對(duì)創(chuàng)業(yè)板新股首日收益率影響顯著,新股發(fā)行制度衍生利益輸送鏈條。新股發(fā)行價(jià)格越高,上市首日收益率越低,兩者存在顯著的負(fù)相關(guān)關(guān)系。新股高發(fā)行價(jià)是造成破發(fā)的重要原因。發(fā)行泡沫的產(chǎn)生與新股定價(jià)過(guò)程中發(fā)行公司、承銷(xiāo)商及保薦人等各利益主體間的博弈密不可分。(2)投資者情緒對(duì)創(chuàng)業(yè)板新股首日收益率影響顯著,是造成IPO首日破發(fā)的直接因素。實(shí)證研究發(fā)現(xiàn),新股上市首日換手率、深證成指漲跌幅以及行業(yè)因素都對(duì)IPO首日收益率有顯著影響,而這些因素或者能反應(yīng)投資者情緒或者能影響投資者情緒,這也說(shuō)明投資者行為存在不理性因素。(3)發(fā)行市盈率、中簽率、發(fā)行規(guī)模以及公司盈利能力和成長(zhǎng)能力、主承銷(xiāo)商對(duì)創(chuàng)業(yè)板新股首日收益率無(wú)顯著影響。 最后本文針對(duì)研究中能夠顯著影響創(chuàng)業(yè)板新股首日收益率的因素,從發(fā)行制度及定價(jià)層面、投資者情緒層面以及上市公司層面分別給予建議,期望通過(guò)本文的研究進(jìn)一步揭示IPO發(fā)行定價(jià)機(jī)制中存在的問(wèn)題,為理論界深刻認(rèn)識(shí)新股“破發(fā)”現(xiàn)象提供理論支持。
[Abstract]:The issue of the first-day yield of new shares has been a hot topic in the field of capital market. Previous studies focused on the positive first-day yield, that is, the underpricing phenomenon of new shares, because before the gem board opened. The underpricing of new shares is the main characteristic of the stock market in our country. However, since 2010, there have been sporadic breakdowns of new shares in our stock market, and this phenomenon is becoming more and more common. At present, there is little research on the phenomenon of new shares closing price falling below the issue price, and the theoretical system is not perfect. The gem, which is relying on the high expectations of all parties, opened on October 30th 2009. But in the development process also exposed the same problem: that is, the opening of the first day of the new stock market skyrocketing, and then into a broken predicament. And there are still large areas of stocks whose market price is below the issue price. As of May 30th 2013. Gem stocks in breaking state reach 78.59. gem plays a vital role in the establishment of multi-level capital market, and these problems exposed in the process of its development are worthy of attention. Therefore, this paper selects gem listed stocks to study the first day break of new shares. In this paper, the first day of domestic and foreign research on the factors affecting the return of new shares to sort out the results; Then combining with some common factors of new stock breaking enterprises and the characteristics and literature achievements of gem in our country, this paper analyzes in depth which factors may have an impact on the first-day yield of new shares in gem and its mechanism of action. To give verification. Found that the company can significantly affect the first day of return on the stock market variables; Finally, the conclusion of this paper is explained reasonably, and some suggestions are put forward for the healthy development of gem in China. This paper selects the variables to carry on the multivariate linear regression analysis from the common characteristics of the break-through enterprises obtained from the basic data mining. From the regression analysis we can get the following factors: 1) the IPO price has a significant impact on the first day return of new shares on the gem, the new issue system has a chain of derivative benefits, and the higher the price of the new issue. The lower the return on the first day of listing, there is a significant negative correlation between the two. The high issue price of new shares is an important reason for the break. The emergence of the issuing bubble and the issuing company in the process of pricing of new shares. The game between underwriters and sponsors is inseparable. 2) investor sentiment has a significant impact on the first-day yield of new shares on the gem, which is the direct factor that causes the first-day break of IPO. The first-day turnover rate of new shares, the rise and fall of Shenzhen Composite Index and industry factors all have a significant impact on IPO first-day yield, and these factors can either reflect investor sentiment or affect investor sentiment. This also shows that there are irrational factors in investor behavior, such as price-to-earnings ratio, success ratio, size of issuance, profitability and growth ability of the company, and the principal underwriter has no significant influence on the first-day yield of new shares on gem. In the end, this paper gives some suggestions from the aspects of issuing system and pricing, investor sentiment and listed company level in view of the factors that can significantly affect the first-day yield of new shares in gem. Through the research of this paper, we hope to further reveal the problems in the pricing mechanism of IPO issuance, and provide theoretical support for the theoretical circle to deeply understand the "break" phenomenon of new shares.
【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51

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