本文選題：承銷商聲譽(yù) + IPO長(zhǎng)期弱勢(shì)��； 參考：《遼寧大學(xué)》2013年碩士論文

【摘要】：自Ritter（1991）在他的經(jīng)典論文中首次完整全面地提出IPO長(zhǎng)期弱勢(shì)現(xiàn)象以來(lái)，IPO長(zhǎng)期弱勢(shì)問(wèn)題受到了理論界學(xué)者的關(guān)注，成為了20世紀(jì)90年代股票首次公開(kāi)發(fā)行問(wèn)題研究中最活躍的領(lǐng)域之一。大量的歐美學(xué)者和眾多發(fā)展中國(guó)家學(xué)者從不同角度對(duì)IPO長(zhǎng)期弱勢(shì)這一現(xiàn)象進(jìn)行分析，從而希望能夠合理解釋這一現(xiàn)象，其中包括了從承銷商聲譽(yù)角度出發(fā)的實(shí)證研究。 在首次公開(kāi)發(fā)行股票過(guò)程中，承銷商聲譽(yù)發(fā)揮了重要的作用。承銷商發(fā)揮“信息披露”與“中介認(rèn)證”功能的基本保證便是其自身聲譽(yù)。作為重要的無(wú)形資產(chǎn)，承銷商聲譽(yù)是發(fā)行企業(yè)與投資者對(duì)承銷商長(zhǎng)期表現(xiàn)的一種認(rèn)可度的象征性標(biāo)志。承銷商聲譽(yù)無(wú)法通過(guò)短期經(jīng)濟(jì)主體之間的交易而獲取，它的形成是一個(gè)長(zhǎng)期性的過(guò)程，并且具有其與生俱來(lái)的脆弱性。承銷商為了維護(hù)其聲譽(yù)資本以及提高未來(lái)收入、增加市場(chǎng)份額，其常常會(huì)避開(kāi)承銷那些風(fēng)險(xiǎn)較高的新股發(fā)行，即聲譽(yù)較高的承銷商往往挑選那些未來(lái)具有良好收益、具有發(fā)展?jié)摿Φ墓�。也就是說(shuō)，承銷商聲譽(yù)與IPO長(zhǎng)期弱勢(shì)現(xiàn)象之間應(yīng)當(dāng)是是負(fù)相關(guān)關(guān)系。 本文選取了2008年和2009年在上交所、深交所上市的175只A股股票數(shù)據(jù)作為樣本，通過(guò)研究2008、2009年的A股數(shù)據(jù)上市三年內(nèi)的市場(chǎng)表現(xiàn)，揭示承銷商聲譽(yù)與A股企業(yè)IPO長(zhǎng)期弱勢(shì)之間的關(guān)系。本文使用購(gòu)買持有期（buy and holdperiod）方法計(jì)算IPO企業(yè)的長(zhǎng)期回報(bào)率，采取市場(chǎng)份額的方法對(duì)承銷商聲譽(yù)進(jìn)行排名，同時(shí)引進(jìn)了新股發(fā)行的首日初始回報(bào)率、股票上市后的首日換手率以及發(fā)行企業(yè)首次募集資金規(guī)模的對(duì)數(shù)這三個(gè)控制變量。然后構(gòu)建了模型，對(duì)解釋變量與被解釋變量進(jìn)行相關(guān)性檢測(cè)后，進(jìn)行多元線性回歸分析。 研究發(fā)現(xiàn)，，在我國(guó)證券市場(chǎng)中，特別是2008、2009年的股票市場(chǎng)，承銷商聲譽(yù)機(jī)制表現(xiàn)并不充分，即承銷商聲譽(yù)的作用并沒(méi)有在我國(guó)金融市場(chǎng)中得到充分的發(fā)揮。這可能與我國(guó)證券市場(chǎng)有效性不強(qiáng)、監(jiān)管體系不健全等因素有關(guān)，所以導(dǎo)致了承銷商聲譽(yù)與IPO長(zhǎng)期弱勢(shì)之間的負(fù)相關(guān)關(guān)系在我國(guó)并沒(méi)有體現(xiàn)的特別明顯。因而，最后有針對(duì)性的提出了政策建議。比如，完善IPO企業(yè)篩選機(jī)制的市場(chǎng)化以及建立成熟的監(jiān)管機(jī)制等等。
[Abstract]:Since Ritter (1991) put forward a complete and comprehensive IPO weakness in his classic paper, the long-term disadvantaged problem of IPO has attracted the attention of the theorists, and has become one of the most active fields in the research on the issue of the first public issue of stock in 1990s. The point of view is to analyze the long-term weakness of IPO, so as to explain the phenomenon reasonably, including the empirical study from the perspective of the underwriter's reputation.
Underwriters' reputation plays an important role in the initial public offering of stocks. Underwriters' basic guarantee of "information disclosure" and "intermediary certification" is their own reputation. As an important intangible asset, the underwriter's reputation is a symbol of the recognition of the long-term performance of the issuer and the investor. The underwriter's reputation cannot be acquired through the transaction between the short-term economic entities, and its formation is a long-term process and has its inherent vulnerability. The underwriter often avoids underwriting the higher risk IPO issues in order to maintain its reputation capital and increase its future income. High reputable underwriters often choose companies that have good future benefits and have potential for development. That is, the underwriter's reputation and the long-term weakness of IPO should be a negative correlation.
In this paper, 175 A shares stock data listed in the Shanghai Stock Exchange in 2008 and 2009 are selected as samples, and the relationship between the underwriter's reputation and the long-term weakness of the A share enterprise IPO is revealed by studying the market performance of the 20082009 years' stock market in three years. This paper uses the purchase holding period (buy and holdperiod) to calculate the IPO enterprise. In the long term return rate, the market share is adopted to rank the underwriter's reputation, at the same time, the initial return rate of the first day of the new issue is introduced, the first day after the stock exchange and the logarithm of the initial raise of the fund are the three control variables. Then the model is built, and the explanatory variable and the explanatory variable are in phase. After the test, multiple linear regression analysis was carried out.
It is found that the underwriter's reputation mechanism is not fully displayed in the stock market, especially in the stock market of 20082009 years, that is, the role of the underwriter's reputation has not been fully played in our financial market. This may be related to the low effectiveness of our securities market and the unsound supervision system. The negative correlation between the reputation of the salesman and the long-term weakness of IPO has not been particularly evident in our country. Therefore, the policy suggestions are put forward in the end. For example, the marketization of the IPO enterprise screening mechanism and the establishment of a mature regulatory mechanism, etc.
【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.5

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