本文選題：IPO抑價 + 中小板�。� 參考：《西南財經(jīng)大學》2013年碩士論文

【摘要】：IPO抑價是新股在發(fā)行上市的過程中出現(xiàn)的三大金融異象之一。所謂IPO抑價,一般是指新股發(fā)行定價明顯低于上市初始的市場價格。國外學術(shù)界對于IPO抑價現(xiàn)象的研究已經(jīng)持續(xù)了半個世紀之久,學者們提出的理論也不盡相同。傳統(tǒng)的抑價理論基于二級市場有效性假說,認為由于發(fā)行人、承銷商和投資者面臨信息不對稱,發(fā)行人和承銷商以降低股票發(fā)行價的方式對投資者做出“讓步”,抑價是對投資者購買、持有股票面臨的不確定性或提供真實需求信息做出的補償。但是傳統(tǒng)的抑價理論本身存在缺陷,對于出現(xiàn)的IPO長期表現(xiàn)弱勢和IPO火熱的發(fā)行市場現(xiàn)象,也不能提供合理的解釋。因此Ritter and Welch提出應當將IPO抑價的研究方向轉(zhuǎn)移到行為金融學領(lǐng)域。 行為金融學打破了傳統(tǒng)抑價理論的桎梏,為研究IPO抑價提供了更為廣闊的視野。伴隨著行為金融學的發(fā)展,投機泡沫假說、意見分歧假說、正向反饋交易理論、瀑布流效應假說等理論和假說被越來越多的運用到了IPO研究領(lǐng)域之中。從長遠來看,利用行為金融學理論必將是后續(xù)研究的主流。 研究目的 本文立足于我國深圳中小板股票市場,以596家上市公司為研究樣本,對我國IPO抑價現(xiàn)象進行實證研究。通過分析來尋找造成我國中小板股票市場高抑價現(xiàn)象的真正原因,以及IPO抑價序列是否存在多期滯后效應。希望能更加全面系統(tǒng)的揭示我國IPO抑價的根源所在。 主要內(nèi)容 全文共分為六個部分： 第一章導論。主要闡述我國證券市場IPO抑價研究的理論和現(xiàn)實背景,提出了本文的研究意義、研究思路、研究方法和主要貢獻。 第二章文獻綜述。本文從基于有效市場理論的一級市場抑價解釋和基于市場無效的二級市場溢價解釋兩個角度出發(fā),對國內(nèi)外研究理論和成果進行了簡單梳理和回顧。由于特殊的制度背景和實際情況,國外的抑價理論在中國往往得不到實證結(jié)果的支持。學者們紛紛開始立足于我國國情,提出具有中國特色的抑價理論。 第三章中小板概述及發(fā)行制度。主要介紹我國中小企業(yè)板上市公司的地域分布、行業(yè)類別等基本情況和證監(jiān)會專門出臺有別于主板市場的特殊交易和監(jiān)管制度。 第四章研究設(shè)計及結(jié)果分析。本文立足于中小板市場,以2006年～2011年上市的596家中小板上市公司為樣本。研究發(fā)現(xiàn)： 投資者樂觀情緒與中小板IPO抑價存在密切的關(guān)系。其中上市前一個月IPO平均抑價率、上市首日換手率、上市前一個月市場回報率對IPO抑價的影響均表現(xiàn)出顯著的正相關(guān)關(guān)系,與預期一致。本文繼續(xù)將樣本劃分成三個子時期,結(jié)果發(fā)現(xiàn),不論股市處于上漲階段、下行階段還是橫盤整理階段,投資者情緒指標都能很好保持對IPO抑價的解釋力。投資者情緒是造成我國中小板市場IPO高抑價現(xiàn)象的主要原因。 公司發(fā)行前一年的總資產(chǎn)(對數(shù))與IPO抑價呈顯著地負相關(guān)關(guān)系。公司發(fā)行前一年的總資產(chǎn)是衡量公司內(nèi)部價值不確定性的指標,公司內(nèi)部價值不確定性越小,IPO抑價越低。這證明了風險收益對稱假說對我國中小板IPO抑價有一定的解釋能力,但是解釋力有限。 參與詢價的機構(gòu)投資者數(shù)目與IPO抑價表現(xiàn)出了顯著地正相關(guān)關(guān)系。參與詢價的機構(gòu)投資者數(shù)目可能反映上市公司質(zhì)量的“信號”,當散戶投資者觀察到這組“信號”十分強烈時,出于對機構(gòu)投資者“選股能力”的信任,他們會加入到新股的申購和買賣的隊伍中去,從而增加新股的需求,抬高新股的交易價格。 第五章IPO抑價的滯后效應研究。研究發(fā)現(xiàn)：2009年～2011年中小板上市公司首日抑價率UP序列確實存在滯后效應,第t期新股首日抑價程度會受到第t-1期與第t-2期新股首日抑價程度的雙重疊加影響。并且第t-1期新股抑價程度與第t-2期相比,對第t期的影響力更大。 第六章主要結(jié)論及政策建議。根據(jù)研究結(jié)論,本文從監(jiān)管機構(gòu)合理安排上市公司順序、改善信息披露、加強中小投資者教育和建立信息評級機構(gòu)四個方面提出淺顯的政策建議。 主要貢獻 本文立足于深圳中小板市場,研究范圍包括2006年～2011年中小板596家上市公司。樣本涵蓋的時期長,數(shù)據(jù)范圍廣,所得出的結(jié)論更為全面和可靠。 在對投資者情緒指標的計量上,先前研究一般只局限于把首發(fā)市盈率、中簽率、換手率等作為解釋變量。本文分析影響投資者情緒的因素,從市場整體情緒和近期上市新股抑價率的歷史經(jīng)驗兩個方面出發(fā)尋找替代指標,力圖更加綜合全面的反映投資者情緒。 本文依據(jù)正向反饋交易假說和信息瀑布流效應假說,提出后來入市的投資者會根據(jù)前期IPO抑價程度推斷本期IPO的抑價水平,進而構(gòu)造了中小板上市公司首日抑價的時間序列,在方法上采用自回歸(AR)模型,得出IPO首日抑價序列存在多期滯后效應的實證結(jié)論。相對于把研究重點放在投資者情緒對IPO抑價影響傳統(tǒng)文獻來說,使用時間序列分析方法是一種全新的思路。
[Abstract]:IPO underpricing is one of the three major financial anomalies in new shares issued and listed in the process. The so-called IPO underpricing, generally refers to the IPO price significantly lower than the market price. The initial listing of foreign academic research for the IPO underpricing phenomenon has lasted for half a century, the scholars put forward the theory is not the same. The traditional theory of underpricing hypothesis validity two market based on that the issuers, underwriters and investors under asymmetric information, issuers and underwriters to reduce the stock issue price of the way to make concessions to investors, underpricing is for investors to buy stocks, compensation facing uncertainty or provide the real demand information to make. But the traditional underpricing theory itself is flawed, for IPO and IPO weak long-term performance of the hot issue market phenomenon, can not provide a reasonable explanation for this Rit. Ter and Welch proposed that the research direction of IPO underpricing should be transferred to the field of behavioral finance.
Behavioral finance has broken the traditional underpricing theory, to provide a wider perspective for the study of IPO underpricing. Along with the development of behavioral finance, the speculative bubble hypothesis, disagreement hypothesis, positive feedback trading theory, using the waterfall effect hypothesis theory and hypothesis by more and more to the study of IPO field. In the long run, the use of behavioral finance theory will be the mainstream in future research.
research objective
This article is based on China's SME Board of Shenzhen stock market, with 596 listed companies as research samples, the empirical research on China's IPO underpricing. Through the analysis to find the real cause of China's small and medium-sized board stock market underpricing, and IPO underpricing sequence of the existence of multiple hysteresis effect. Hope the root can comprehensively reveal China's IPO underpricing.
primary coverage
The full text is divided into six parts:
The first chapter is introduction. It mainly expounds the theoretical and practical background of IPO underpricing research in China's stock market, and puts forward the research significance, research train of thought, research methods and main contributions.
The second chapter is the literature review. This article from the efficient market theory of primary market Underpricing and based on two perspectives explain the market invalid two secondary market premium based on the domestic and foreign research of the theories and achievements of a simple review. Due to the special institutional background and the actual situation of foreign anti support theory in price Chinese often get the empirical results. Scholars have started based on China's national conditions, put forward the theory of underpricing has China characteristics.
The third chapter is the overview and issuance system of small and medium-sized board. It mainly introduces the regional distribution, industry category and other basic situations of China's SME board listed companies, especially the special trading and regulatory system which is different from the main board market.
The fourth chapter is the research design and the result analysis. Based on the small and medium market, this paper takes 596 small and medium-sized listed companies listed in 2006 to 2011 as samples.
Investor optimism and SME IPO underpricing is closely related to the market. One month before the average IPO underpricing rate, listed on the first day turnover rate, listing a month before the market returns to the underpricing of IPO showed a significant positive correlation, consistent with expectations. This paper continues to divide samples into the three sub period, found that, regardless of the stock market on the rise, the downward phase or sideways stage, investor sentiment index can be maintained on IPO underpricing explanation. Investor sentiment is the main cause of China's small and medium-sized board market IPO high underpricing.
The company issued a total assets of the previous year (log) and IPO underpricing has significant negative correlation. The company issued the total assets in the previous year is a measure of value index of uncertainty within the company, the internal value of uncertainty is small, the IPO underpricing is low. This proves the symmetry hypothesis has certain risk return the ability to explain the SME board in China IPO underpricing, but limited explanatory power.
The number of institutional investors to participate in inquiry and IPO underpricing showed a significant positive correlation. The number of institutional investors to participate in inquiry may reflect the quality of listed companies "signal", when retail investors observed in this group of "signal" is very strong, because of the institutional investors' stock picking ability of the trust, they will join to the purchase of new shares and the sale of the team, so as to increase the demand of new shares, new shares to raise the trading price.
The fifth chapter studies the lag effect of IPO underpricing. The study found: 2009 to 2011, the SME board listed companies underpricing rate of UP series have lag effect, phase t IPO underpricing by phase T-1 and phase T-2 of the IPO price suppression double stack degree. And the T-1 shares the degree of underpricing compared with phase T-2, phase t of greater influence.
The sixth chapter is the main conclusions and policy recommendations. According to the research conclusion, this paper puts forward some policy recommendations from four aspects, such as arranging the order of listed companies reasonably, improving information disclosure, strengthening the education of small and medium-sized investors and establishing information rating agencies.
Main contribution
This paper is based on the small and medium-sized board market in Shenzhen. The research scope includes 596 listed companies from 2006 to 2011.
In the measurement of investor sentiment index, previous studies are generally confined to the starting price earnings ratio, the success rate of exchange rate as explanatory variables. This paper analyzes the impact factors of investor sentiment, starting from the overall market sentiment and the recent IPO under the two aspects of historical experience rate for alternative indicators, in order to make a more comprehensive the reflection of investor sentiment.
Based on the positive feedback trading hypothesis and the information cascade effect hypothesis, then put forward market investors according to the underpricing level early IPO underpricing concluded this period of IPO, the time series and to construct a small board of listed companies underpricing, using auto regressive method (AR) model, the IPO underpricing the price series has multiple hysteresis effect compared with empirical conclusions. The study focused on the influence of investor sentiment on IPO underpricing in the traditional literature, using time series analysis method is a new idea.

【學位授予單位】：西南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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