本文選題：IPO抑價(jià) + 承銷商行為��； 參考：《大連理工大學(xué)》2013年碩士論文

【摘要】：本文基于中國(guó)發(fā)行市場(chǎng)背景,從承銷商行為與聲譽(yù)的角度研究了中國(guó)新股發(fā)行市場(chǎng)長(zhǎng)期存在的IPO抑價(jià)現(xiàn)象。 通過(guò)研究我國(guó)詢價(jià)配售制度下的承銷商行為,發(fā)現(xiàn)目前詢價(jià)配售機(jī)制容易使得承銷商與機(jī)構(gòu)投資者因利益捆綁而達(dá)成“詢價(jià)配售聯(lián)盟”以獲取溢價(jià)收益,使其有比較強(qiáng)烈的抑價(jià)動(dòng)機(jī)。用演化博弈模型分析了“詢價(jià)配售聯(lián)盟”影響力對(duì)新股抑價(jià)的影響,以及這種影響隨市場(chǎng)形勢(shì)的變化所出現(xiàn)的變化。還對(duì)承銷商和機(jī)構(gòu)投資者利用中小投資者情緒的現(xiàn)象進(jìn)行了理論分析,發(fā)現(xiàn)在我國(guó)中小投資者缺乏理性的情況下,承銷商和機(jī)構(gòu)投資者會(huì)利用中小投資者情緒炒高新股上市后價(jià)格,以獲取溢價(jià)收益。 考慮了我國(guó)發(fā)行背景下承銷商聲譽(yù)的特殊性,建立了承銷商聲譽(yù)影響抑價(jià)的模型,研究的結(jié)論表明高聲譽(yù)承銷商能夠加重抑價(jià)。這使得高聲譽(yù)承銷商因?yàn)槟軌蛴绊懸謨r(jià)而擁有部分市場(chǎng)勢(shì)力,從而成為行業(yè)寡頭。因此我國(guó)新股承銷的市場(chǎng)類型應(yīng)該是寡頭與中小承銷商共存。發(fā)行人因?yàn)榉浅Ｔ诤醭袖N商聲譽(yù)而接受高聲譽(yù)承銷商的高抑價(jià),這也就是我國(guó)承銷商聲譽(yù)機(jī)制低效甚至失效的機(jī)理所在。 實(shí)證檢驗(yàn)發(fā)現(xiàn),“詢價(jià)配售聯(lián)盟”影響力越大,則新股抑價(jià)程度越高。并且發(fā)現(xiàn)投資者情緒能夠顯著影響抑價(jià),即投資者情緒高漲程度越大,則新股溢價(jià)越高。但長(zhǎng)期的高溢價(jià)是不可能的,隨著我國(guó)資本市場(chǎng)投融資渠道的增多,市場(chǎng)理性的增加,抑價(jià)程度逐漸降低,并且在長(zhǎng)期趨近于某個(gè)大于零的值。對(duì)聲譽(yù)影響抑價(jià)的檢驗(yàn)結(jié)果表明,高聲譽(yù)承銷商能夠在一定程度上加重抑價(jià),這說(shuō)明我國(guó)承銷商聲譽(yù)機(jī)制是失效的。
[Abstract]:Based on the background of China's IPO market, this paper studies the long-existing IPO underpricing phenomenon in China's IPO market from the perspective of underwriter's behavior and reputation. By studying the underwriters' behavior under the inquiry placing system in China, it is found that the current inquiry placing mechanism makes the underwriters and institutional investors reach an "inquiry placement alliance" to gain premium income because of the interests of the underwriters and institutional investors. Make it have stronger underpricing motive. By using evolutionary game model, this paper analyzes the influence of "inquiry placing alliance" on the underpricing of new shares and the changes of this influence with the change of market situation. It also analyzes the phenomenon that underwriters and institutional investors make use of the emotion of small and medium-sized investors, and finds out that in our country, the small and medium investors lack rationality. Underwriters and institutional investors will use the sentiment of small and medium investors to raise the price of new shares after listing, in order to earn premium income. Considering the particularity of underwriter reputation in our country, the underwriter reputation influence underpricing model is established. The conclusion of the study shows that high reputation underwriter can aggravate underpricing. This makes high-reputation underwriters have some market power because of their ability to influence underpricing and thus become industry oligarchs. Therefore, the market type of underwriting of new shares in China should be oligopoly and small and medium-sized underwriters. The issuer accepts the high underpricing of the high reputation underwriter because he cares very much about the underwriter's reputation, which is the reason why the underwriter's reputation mechanism is inefficient or even ineffective in our country. The empirical results show that the greater the influence of inquiry alliance, the higher the underpricing degree of new shares. It is also found that investor sentiment can significantly affect underpricing, that is, the higher the level of investor sentiment, the higher the premium of new shares. But the long-term high premium is impossible. With the increase of investment and financing channels in our capital market and the increase of market rationality, the degree of underpricing decreases gradually, and in the long run it approaches to a value greater than zero. The test results of reputation influence underpricing show that high reputation underwriters can increase underpricing to a certain extent, which indicates that our underwriters' reputation mechanism is invalid.
【學(xué)位授予單位】：大連理工大學(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)：2103221