【摘要】：IPO抑價(jià)是指新股股票上市首日的收盤價(jià)明顯高于發(fā)行價(jià),從而導(dǎo)致上市首日股票收益率顯著地高于市場(chǎng)平均收益率的現(xiàn)象,中國(guó)證券市場(chǎng)自從建立之初,就一直飽受IPO抑價(jià)問(wèn)題的困擾,政府監(jiān)管部門針對(duì)IPO過(guò)程中的高抑價(jià)現(xiàn)象出臺(tái)了一系列新股發(fā)行價(jià)格改革,從審核制到市場(chǎng)詢價(jià)制,中國(guó)IPO高抑價(jià)現(xiàn)象依舊非常突出。一方面,作為新興資本市場(chǎng),中國(guó)股票市場(chǎng)個(gè)體投資者占有主要地位,其行為的非理性特征十分突出。同時(shí),在2010年前,中國(guó)股票市場(chǎng)缺乏做空機(jī)制,即使機(jī)構(gòu)投資者看到IPO首日價(jià)格偏離現(xiàn)象,也無(wú)法通過(guò)套利交易來(lái)消除價(jià)格偏差,所以非理性投資者行為對(duì)IPO定價(jià)具有決定性影響。另一方面,證券分析師經(jīng)過(guò)專業(yè)的金融、財(cái)務(wù)、行業(yè)知識(shí)培訓(xùn),以及掌握優(yōu)勢(shì)的信息渠道,有助于降低企業(yè)信息不對(duì)稱,從而降低權(quán)益資本成本,促進(jìn)資本市場(chǎng)合理配置資源。本文基于行為金融理論結(jié)合分析師的信息供給和制度變遷等因素考察了中國(guó)IPO抑價(jià)之謎。本文使用2006年到2015年所有在中國(guó)上海、深圳證券交易所上市的IPO公司為研究樣本,采用因子分析法、相關(guān)性分析、多元回歸等方法研究了投資者情緒、分析師跟進(jìn)以及分析師預(yù)測(cè)價(jià)的分歧度和準(zhǔn)確性對(duì)中國(guó)IPO抑價(jià)率的影響,進(jìn)一步地,本文觀察了2009年和2014年中國(guó)IPO監(jiān)管制度的變更對(duì)IPO抑價(jià)的影響。本文研究發(fā)現(xiàn)投資者情緒與IPO抑價(jià)率顯著正相關(guān),隨著分析師跟進(jìn)數(shù)量的提高,投資者情緒與IPO抑價(jià)率正向關(guān)系進(jìn)一步加大。而分析師預(yù)測(cè)價(jià)的準(zhǔn)確性越低、分歧度越高,IPO抑價(jià)率越高,表明中國(guó)IPO市場(chǎng)也存在“贏者詛咒”現(xiàn)象;同時(shí)分析師預(yù)測(cè)價(jià)的分歧度越低,信息不對(duì)稱程度降低,投資者情緒與公司IPO抑價(jià)間的正向關(guān)系更強(qiáng)。在中國(guó)實(shí)行市場(chǎng)化詢價(jià)制度后,IPO抑價(jià)率顯著降低,也降低了投資者情緒與IPO間的正向關(guān)系。本文研究的政策啟示在于加強(qiáng)投資者理性投資教育、引進(jìn)市場(chǎng)化詢價(jià)以及減少信息不對(duì)稱能提高IPO定價(jià)效率,優(yōu)化資源配置效率。分析師作為資本市場(chǎng)信息傳遞的橋梁,其預(yù)測(cè)價(jià)的準(zhǔn)確性越高、意見(jiàn)分歧度越低,IPO抑價(jià)越低的結(jié)論表明加強(qiáng)信息披露,減少信息不對(duì)稱將有利于投資者更理性投資,減少IPO抑價(jià)率。
[Abstract]:IPO underpricing refers to the phenomenon that the closing price of new shares on the first day of listing is obviously higher than the issue price, which results in the return of stocks on the first day of listing being significantly higher than the average market return. It has been plagued by the problem of IPO underpricing. The government regulatory department has introduced a series of new issue price reform in the process of IPO. From the audit system to the market inquiry system, the high underpricing phenomenon of IPO in China is still very prominent. On the one hand, as a new capital market, individual investors in Chinese stock market play a dominant role, and the irrational characteristics of their behavior are very prominent. At the same time, before 2010, China's stock market lacked a short-selling mechanism, and even if institutional investors saw the IPO's first-day price deviation, they would not be able to eliminate it through arbitrage. So irrational investor behavior has decisive influence on IPO pricing. On the other hand, through professional training in finance, industry knowledge and information channels, securities analysts can help to reduce the information asymmetry of enterprises, thus reduce the cost of equity capital and promote the rational allocation of resources in the capital market. This paper examines the mystery of IPO underpricing in China based on behavioral finance theory, information supply and institutional changes. This paper uses all IPO companies listed on Shanghai and Shenzhen stock exchanges in China from 2006 to 2015 to study investor sentiment by factor analysis, correlation analysis and multiple regression analysis. Further, this paper examines the impact of changes in China's IPO regulatory regime on IPO underpricing in 2009 and 2014. This paper finds that investor sentiment is positively correlated with IPO underpricing rate, and the positive relationship between investor sentiment and IPO underpricing rate further increases with the increase of the number of analysts. The lower the accuracy of the analyst's forecast price, the higher the degree of divergence and the higher the underpricing rate, which indicates that there is also a winner-curse phenomenon in China's IPO market, and the lower the divergence of the predicted price, the lower the degree of information asymmetry. The positive relationship between investor sentiment and IPO underpricing is stronger. The IPO underpricing rate has been significantly reduced after the implementation of the market inquiry system in China, and the positive relationship between investor sentiment and IPO has also been reduced. The policy enlightenment studied in this paper lies in strengthening investor rational investment education, introducing market-oriented inquiry and reducing information asymmetry, which can improve the efficiency of IPO pricing and optimize the efficiency of resource allocation. As a bridge of information transmission in the capital market, the higher the accuracy of the forecast price, the lower the difference of opinion and the lower the IPO underpricing. The conclusion is that strengthening information disclosure and reducing information asymmetry will help investors to invest more rationally. Reduce IPO underpricing rate.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：B849;F832.51

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