本文關(guān)鍵詞：中國(guó)A股市場(chǎng)IPO抑價(jià)現(xiàn)象研究　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： IPO抑價(jià) 新股發(fā)行制度 投資者情緒

【摘要】：IPO抑價(jià)一直是世界各國(guó)證券市場(chǎng)上的一個(gè)普遍存在的現(xiàn)象,IPO高抑價(jià)和有效市場(chǎng)假說(shuō)相悖,反映了證券市場(chǎng)的效率不足,因而引起了很多學(xué)者的注意。西方理論界對(duì)于IPO抑價(jià)的研究已經(jīng)取得了比較多的成果,信息不對(duì)稱理論、市場(chǎng)信號(hào)理論、承銷商規(guī)避風(fēng)險(xiǎn)理論、所有權(quán)分散理論、從眾理論、投資情緒假說(shuō)等,都從不同的角度解釋了IPO抑價(jià)的原因。我國(guó)股票市場(chǎng)起步較晚、發(fā)展還不夠成熟,體制上存在許多問(wèn)題,很多西方的理論不能完全解釋我國(guó)市場(chǎng)IPO高抑價(jià)的現(xiàn)象,需要進(jìn)一步的研究和改善。 本文以1992年至2012年A股上市公司為樣本,重點(diǎn)從一級(jí)市場(chǎng)和二級(jí)市場(chǎng)角度研究了A股市場(chǎng)IPO抑價(jià)率的影響因素。本文用方差分析的方法來(lái)驗(yàn)證不同的審批制度,定價(jià)方法和上市板塊對(duì)IPO抑價(jià)率有顯著的影響,發(fā)現(xiàn)累計(jì)詢價(jià)制和保薦人制度有效地降低了IPO抑價(jià)率,不同上市板塊之間IPO抑價(jià)率有顯著不同。本文接著利用多元線性回歸方程來(lái)檢驗(yàn)了影響IPO抑價(jià)率的一級(jí)市場(chǎng)因素和二級(jí)市場(chǎng)因素,發(fā)現(xiàn)了發(fā)行規(guī)模、發(fā)行費(fèi)率、發(fā)行市盈率、首日換手率、市場(chǎng)趨勢(shì)和市場(chǎng)月平均市盈率因素與IPO抑價(jià)率顯著相關(guān),并且發(fā)現(xiàn)在累計(jì)詢價(jià)制和保薦人制度下線性回歸方程的解釋力有所提高。最后,利用一個(gè)簡(jiǎn)單點(diǎn)公式來(lái)分離出新股抑價(jià)中一家市場(chǎng)定價(jià)偏差和二級(jí)市場(chǎng)定價(jià)偏差,并檢驗(yàn)他們?cè)谛鹿梢謨r(jià)中所占的比例,發(fā)現(xiàn)在累計(jì)詢價(jià)制下一級(jí)市場(chǎng)定價(jià)偏差明顯下降,低于二級(jí)市場(chǎng)偏差。 本文證實(shí)了中國(guó)A股市場(chǎng)IPO抑價(jià)的現(xiàn)象依然存在,市場(chǎng)化的新股發(fā)行方式有助于降低新股首日抑價(jià)率,并且使得一級(jí)市場(chǎng)定價(jià)偏差減小,提高了一級(jí)市場(chǎng)效率。
[Abstract]:IPO underpricing is a common phenomenon in the securities market all over the world. The high underpricing is contrary to the efficient market hypothesis, which reflects the inefficiency of the securities market. As a result, many scholars have paid attention to it. The research on IPO underpricing in the western theoretical circle has made more achievements, such as information asymmetry theory, market signal theory, underwriter risk aversion theory. The theory of ownership dispersion, the theory of conformity and the hypothesis of investment sentiment all explain the reasons of IPO underpricing from different angles. The stock market of our country starts late, develops not mature enough, and there are many problems in the system. Many western theories can not fully explain the phenomenon of high IPO underpricing in Chinese market, and need further study and improvement. This paper takes A share listed companies from 1992 to 2012 as samples. This paper mainly studies the influencing factors of IPO underpricing in A-share market from the perspective of primary market and secondary market. This paper uses the method of variance analysis to verify the different examination and approval system. Pricing methods and listed plate have a significant impact on the IPO underpricing rate. It is found that the cumulative inquiry system and sponsor system effectively reduce the IPO underpricing rate. There are significant differences in IPO underpricing among different listed sectors. This paper then uses multiple linear regression equations to test the first-order market factors and secondary market factors that affect the IPO underpricing and find out the issuance scale. The factors of issuing rate, issue price-earnings ratio, first-day turnover ratio, market trend and market average price-earnings ratio are significantly related to IPO underpricing rate. And found that under the cumulative inquiry system and the sponsor system, the interpretation of the linear regression equation has been improved. Finally. A simple point formula is used to separate out the market pricing deviation and the secondary market pricing deviation in the IPO underpricing, and to test their proportion in the IPO underpricing. It is found that under the cumulative inquiry system, the pricing deviation of the primary market is obviously decreased, which is lower than that of the secondary market. This paper proves that the phenomenon of IPO underpricing still exists in China's A-share market. The market-oriented issuance of new shares will help to reduce the first-day underpricing rate of new shares and reduce the pricing deviation of the first-level market. Improved market efficiency.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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本文編號(hào)：1415779