我國創(chuàng)業(yè)板市場IPO初始收益研究
發(fā)布時間：2018-11-03 10:24
【摘要】：我國的創(chuàng)業(yè)板市場于2009年10月在深圳交易所開板,在不到四年的時間里,創(chuàng)業(yè)板一直都是股民們關(guān)注的焦點。主板市場的異�，F(xiàn)象在創(chuàng)業(yè)板市場更加凸顯,高超募、高市盈率、高收盤價愈演愈烈,同時,我國股票市場一直以來就存在著較高的IPO初始收益,尤其是創(chuàng)業(yè)板市場更為嚴(yán)重,遠(yuǎn)遠(yuǎn)超過世界平均水平。目前,學(xué)者們對這些現(xiàn)象的研究大多集中在主板市場,對創(chuàng)業(yè)板市場的研究還比較少。本文以創(chuàng)業(yè)板為研究對象,重點對創(chuàng)業(yè)板IPO(新股首次公開募股發(fā)行)存在的高初始收益問題進(jìn)行研究。 影響IPO初始收益的原因概括起來有兩個：一是發(fā)行價過低,即從理性的角度解釋為抑價(Underpricing);二是新股上市首日過度反應(yīng),即從非理性的角度解釋為溢價(overpricing)。隴國證券市場歷史較短,與發(fā)達(dá)國家成熟市場相比具有自己的特殊性。如我國股票發(fā)行實行審批制而國外大多是注冊制,二級市場存在賣空限制等,這些因素的存在必然對IPO初始收益產(chǎn)生影響,進(jìn)而從一級市場和二級市場的層面產(chǎn)生三點疑問。一級市場的發(fā)行定價能否充分反映新股的內(nèi)在價值,是否存在IPO定價過低,并成為導(dǎo)致IPO高初始收益的主要因素?二級市場存在賣空限制,投資者的行為如何推高首日股價,使股票交易價格偏離其內(nèi)在價值?投資者的非理性行為是否導(dǎo)致二級市場的無效,成為IPO初始收益存在的根本原因?沿著這一思路,從一級市場和二級市場兩個層面展開對IPO初始收益進(jìn)行了分析研究。以創(chuàng)業(yè)板355家上市公司為樣本,通過剩余收益估值模型計算股票的內(nèi)在價值,并與新股發(fā)行價格進(jìn)行比較檢驗IPO一級市場是否存在抑價。以新股IPO二級市場溢價形成機(jī)理的理論分析為出發(fā)點,實證分析和檢驗了IPO二級市場溢價的影響因素。本文的結(jié)論是,造成我國股市IPO初始收益的原因并不是來自于一級市場,也就是說,我國IPO高初始收益的原因主要是二級市場溢價造成的。并且新股IPO高初始收益主要來自于投資者自身,由投資者的非理性行為和情緒造成。無論是正反饋交易者,還是狂熱投資者,又或者是意見分歧都對IPO溢價產(chǎn)生顯著影響。上市首日市盈率和公司年齡與IPO溢價程度呈正相關(guān),但公司成長性、中簽率、公司規(guī)模、行業(yè)類別與IPO溢價程度不相關(guān)。 研究結(jié)果表明,我國的新股IPO定價機(jī)制通過幾次改革,已經(jīng)取得了實質(zhì)性的進(jìn)展,基本上實現(xiàn)了市場化。鑒于投資者非理性行為對IPO溢價的顯著影響,本文提出了以下建議:第一,盡快取消我國股票市場的賣空限制。第二,施行更加嚴(yán)格的信息披露制度。第三，，建立嚴(yán)格的退市機(jī)制。第四,加強對投資者的教育,鼓勵機(jī)構(gòu)投資者的發(fā)展。 本文研究意義在于,在目前我國創(chuàng)業(yè)板市場不夠完善的背景下,通過對創(chuàng)業(yè)板市場IPO初始收益的研究,.將行為金融與信息不對稱理論相結(jié)合、抑價和溢價的不同角度以及噪聲交易者的引人,為全面解釋我國IPO初始收益提供新的視點,有助于豐富我國IPO領(lǐng)域的相關(guān)研究,對于進(jìn)一步完善我國股票市場,制定更加合理的投資政策,維護(hù)中國證券市場及社會的穩(wěn)定都具有極其重要的意義。
[Abstract]:China's GEM market opened the board in Shenzhen Stock Exchange in October 2009. In less than four years, GEM has always been the focus of people's attention. The abnormal phenomenon of the main board market is more prominent in the GEM market, the high-rise, the high P/ E ratio and the high price-earnings ratio. At the same time, China's stock market has always existed a high initial income of the IPO, especially the GEM market, which is far more serious than the world average. At present, the research of these phenomena is mostly concentrated in the main board market, and the research on the GEM market is relatively small. This paper takes GEM as the research object, and focuses on the research on the high initial income of the IPO (IPO) of the GEM. The reason for the initial earnings of the IPO is summarized as follows: one is that the issue price is too low, that is, from the rational point of view to the restraint price; the second is the over-reaction of the first day of the listing of new shares, that is, from the irrational angle to the premium (overprintin). g) The history of the securities market of the developed countries is relatively short, and it has its own special characteristics in comparison with the mature market of developed countries. The existence of these factors will have an impact on the initial income of the IPO, and then produce three points from the level of the primary and secondary markets. Doubts. Whether IPO pricing of primary market fully reflects the intrinsic value of new shares, whether IPO pricing is too low, and becomes the main result of IPO high initial income. What's the factor? The second-tier market has short selling limits, and investors' behavior pushes high day stock prices so that the price of the stock exchange deviates from its inside. The value of the investor's irrational behavior leads to the invalidation of the secondary market, and becomes the fundamental of the initial income of the IPO The reason? Along this way, the initial proceeds from the first-class market and the secondary market are analyzed. Research. Based on GEM 355 listed companies as samples, calculate the intrinsic value of stock through the residual income valuation model, and compare with the issue price of new shares to check whether the IPO level market exists The paper analyzes and examines the effect of IPO secondary market premium on the basis of the theoretical analysis of the formation mechanism of IPO secondary market premium. The conclusion of this paper is that the reason why the initial income of IPO in our country is not from the first-level market, that is to say, the high initial income of IPO in China is mainly the second-level market premium. The initial proceeds of IPO are mainly from investors themselves, irrational behavior and emotion of investors Whether it is a positive feedback trader or a fanatical investor, or a difference of opinion, has a significant premium on the IPO premium Impact. The IPO price/ earnings ratio and the company's age are positively related to the IPO premium, but the company's long-term, medium-signed rate, company size, industry category and IPO premium level do not The research results show that China's IPO pricing mechanism has made substantial progress through several reforms, basically In view of the remarkable influence of irrational behavior of investors on IPO premium, this paper puts forward the following suggestions: First, cancel our stock market as soon as possible Short sale restrictions. Second, more stringent letters Interest rate disclosure system. Third, set up strict 4. Strengthening the education of investors and encouraging institutions to vote The purpose of this paper is to study the IPO market in the background of China's GEM market not perfect. The research of initial income, combining behavioral finance with information asymmetry theory, the different angles of price and premium as well as the leading person of noise traders, provides a new viewpoint for the comprehensive explanation of IPO initial income, which is helpful to enrich the relevant research in the IPO field of our country, and further Perfect the stock market of our country, make more reasonable investment policy, safeguard the stability of China's securities market and society
【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224
本文編號：2307513
[Abstract]:China's GEM market opened the board in Shenzhen Stock Exchange in October 2009. In less than four years, GEM has always been the focus of people's attention. The abnormal phenomenon of the main board market is more prominent in the GEM market, the high-rise, the high P/ E ratio and the high price-earnings ratio. At the same time, China's stock market has always existed a high initial income of the IPO, especially the GEM market, which is far more serious than the world average. At present, the research of these phenomena is mostly concentrated in the main board market, and the research on the GEM market is relatively small. This paper takes GEM as the research object, and focuses on the research on the high initial income of the IPO (IPO) of the GEM. The reason for the initial earnings of the IPO is summarized as follows: one is that the issue price is too low, that is, from the rational point of view to the restraint price; the second is the over-reaction of the first day of the listing of new shares, that is, from the irrational angle to the premium (overprintin). g) The history of the securities market of the developed countries is relatively short, and it has its own special characteristics in comparison with the mature market of developed countries. The existence of these factors will have an impact on the initial income of the IPO, and then produce three points from the level of the primary and secondary markets. Doubts. Whether IPO pricing of primary market fully reflects the intrinsic value of new shares, whether IPO pricing is too low, and becomes the main result of IPO high initial income. What's the factor? The second-tier market has short selling limits, and investors' behavior pushes high day stock prices so that the price of the stock exchange deviates from its inside. The value of the investor's irrational behavior leads to the invalidation of the secondary market, and becomes the fundamental of the initial income of the IPO The reason? Along this way, the initial proceeds from the first-class market and the secondary market are analyzed. Research. Based on GEM 355 listed companies as samples, calculate the intrinsic value of stock through the residual income valuation model, and compare with the issue price of new shares to check whether the IPO level market exists The paper analyzes and examines the effect of IPO secondary market premium on the basis of the theoretical analysis of the formation mechanism of IPO secondary market premium. The conclusion of this paper is that the reason why the initial income of IPO in our country is not from the first-level market, that is to say, the high initial income of IPO in China is mainly the second-level market premium. The initial proceeds of IPO are mainly from investors themselves, irrational behavior and emotion of investors Whether it is a positive feedback trader or a fanatical investor, or a difference of opinion, has a significant premium on the IPO premium Impact. The IPO price/ earnings ratio and the company's age are positively related to the IPO premium, but the company's long-term, medium-signed rate, company size, industry category and IPO premium level do not The research results show that China's IPO pricing mechanism has made substantial progress through several reforms, basically In view of the remarkable influence of irrational behavior of investors on IPO premium, this paper puts forward the following suggestions: First, cancel our stock market as soon as possible Short sale restrictions. Second, more stringent letters Interest rate disclosure system. Third, set up strict 4. Strengthening the education of investors and encouraging institutions to vote The purpose of this paper is to study the IPO market in the background of China's GEM market not perfect. The research of initial income, combining behavioral finance with information asymmetry theory, the different angles of price and premium as well as the leading person of noise traders, provides a new viewpoint for the comprehensive explanation of IPO initial income, which is helpful to enrich the relevant research in the IPO field of our country, and further Perfect the stock market of our country, make more reasonable investment policy, safeguard the stability of China's securities market and society
【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224
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