【摘要】：2010年中國(guó)資本市場(chǎng)開(kāi)始出現(xiàn)了大量新股首日破發(fā)現(xiàn)象,到2012年新股首日破發(fā)現(xiàn)象依然普遍,金融界和學(xué)術(shù)界都普遍認(rèn)為三高發(fā)行(高發(fā)行價(jià)、高市盈率、高募資額)是新股大量破發(fā)的主要原因,經(jīng)過(guò)理論分析并非如此,那究竟是什么原因?qū)е伦罱晷鹿纱罅科瓢l(fā),破發(fā)新股的市場(chǎng)表現(xiàn)與未破發(fā)新股又有何差異?由于破發(fā)是國(guó)內(nèi)最近三年才大量出現(xiàn)的異�，F(xiàn)象,國(guó)內(nèi)外對(duì)破發(fā)現(xiàn)象的研究均較少,本文旨在探索三高發(fā)行對(duì)新股破發(fā)的影響,挖掘其他影響新股破發(fā)以及破發(fā)程度的因素,然后分析破發(fā)與未破發(fā)股票在市場(chǎng)上的表現(xiàn)差異,一方面充實(shí)國(guó)內(nèi)關(guān)于破發(fā)方面的研究,另一方面也對(duì)投資者認(rèn)識(shí)新股破發(fā)和參與市場(chǎng)投資具有實(shí)踐意義。 本文選擇2010年和2011年在國(guó)內(nèi)上市的625個(gè)IPO樣本,其中首日破發(fā)樣本116個(gè)。首先,本文分析了三高發(fā)行以及IPO五個(gè)利益相關(guān)者(發(fā)行公司、風(fēng)險(xiǎn)投資機(jī)構(gòu)、承銷商、機(jī)構(gòu)投資者、一般投資者)對(duì)首日破發(fā)的影響；然后,選取破發(fā)樣本分析部分因素對(duì)破發(fā)程度的影響；最后,本文比較了破發(fā)股票與未破發(fā)股票上市后一年的市場(chǎng)表現(xiàn)差異,進(jìn)一步通過(guò)實(shí)證分析首日破發(fā)以及其他因素對(duì)股票上市后市場(chǎng)表現(xiàn)的影響。 本文主要研究結(jié)論如下：(1)三高發(fā)行并不會(huì)導(dǎo)致新股更容易破發(fā),發(fā)行市盈率越高、募資規(guī)模越大,反而不容易破發(fā)；(2)IPO五個(gè)利益相關(guān)者中,承銷商經(jīng)驗(yàn)越豐富越不容易破發(fā),機(jī)構(gòu)投資者認(rèn)購(gòu)越積極越容易破發(fā),一般投資者認(rèn)購(gòu)越積極越不容易破發(fā),發(fā)行公司和風(fēng)險(xiǎn)投資對(duì)破發(fā)沒(méi)有顯著影響；(3)破發(fā)公司上市后平均超額收益率高于未破發(fā)公司,上市后120個(gè)交易日,累計(jì)超額收益率差值最大高達(dá)8%-9%,首日破發(fā)對(duì)上市后市場(chǎng)表現(xiàn)具有顯著的正向影響,首日破發(fā)是投資者的過(guò)度反應(yīng)；(4)一般投資者的新股投資情緒越高,新股越不容易破發(fā),但是上市后的市場(chǎng)表現(xiàn)卻更差。
[Abstract]:In 2010, China's capital market began to see a large number of first-day breakups of new shares, and by 2012, the phenomenon of first-day breakups of new shares was still widespread. The financial and academic circles generally agreed that the three high issues (high issue price, high price-earnings ratio, high price-to-earnings ratio), High amount of fund-raising) is the main reason for a large number of new shares broken, after theoretical analysis is not the case, what is the reason for the recent three years a large number of new shares break, break the market performance of new shares and not broken new shares and what is the difference? As breaking is an abnormal phenomenon in China only in the last three years, and there is little research on it at home and abroad, this paper aims to explore the influence of the three high issuance on the breaking of new shares, and to excavate other factors that affect the breaking of new shares and the degree of breaking. Then the paper analyzes the difference between broken and unbroken stocks in the market. On the one hand, it enriches the domestic research on break, on the other hand, it has practical significance for investors to understand new stock break and participate in market investment. This paper selects 625 IPO samples listed in China in 2010 and 2011, of which 116 are first-day breaking samples. First of all, this paper analyzes the impact of the three high issues and the five stakeholders of IPO (issuing company, venture capital institution, underwriter, institutional investor, general investor) on the first-day break. Then, the influence of some factors on the degree of breakage is analyzed. Finally, this paper compares the difference of market performance between broken stock and unbroken stock one year after listing, and further analyzes the influence of the first day break and other factors on the market performance after listing. The main conclusions of this paper are as follows: (1) the issuance of the three high issues will not lead to more easily break the IPO, the higher the price-earnings ratio, the larger the size of the fund-raising, but not easy to break; (2) among the five stakeholders of IPO, the more experienced the underwriters are, the less likely they are to break, the more active the institutional investors are, the easier it is to break, and the more active the retail investors are, the less likely they are to break. The issuing company and venture capital have no significant influence on the breakage; (3) the average excess rate of return after listing of broken hair company is higher than that of unbroken company, 120 trading days after listing, the accumulative excess yield difference is as high as 8- 9, and the first day break has significant positive influence on the market performance after listing. The first-day break was an overreaction from investors; (4) the higher the sentiment of new stock investment, the harder it is to break new stock, but the worse the market performance is after listing.
【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;F224

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本文編號(hào)：2407150