【摘要】：新股在一級(jí)市場(chǎng)由承銷商和發(fā)行公司確定的發(fā)行價(jià)格遠(yuǎn)遠(yuǎn)低于二級(jí)市場(chǎng)的上市首日交易價(jià)格，新股認(rèn)購(gòu)者能夠獲得超額回報(bào)的一種現(xiàn)象稱為IPO抑價(jià)現(xiàn)象。針對(duì)IPO抑價(jià)的原因，不同的學(xué)者提出不同的假說(shuō)。常見(jiàn)的理論假說(shuō)有信息不對(duì)稱理論、信息對(duì)稱理論、行為金融學(xué)理論和其他理論如制度理論、博弈論和股權(quán)分配假說(shuō)等。然而，上述理論都是以國(guó)外成熟資本市場(chǎng)為背景提出，如果針對(duì)新興資本市場(chǎng)IPO抑價(jià)現(xiàn)象進(jìn)行研究時(shí)，上述理論是否適用需要進(jìn)一步探討。 本文首先對(duì)中國(guó)IPO制度下各參與方的行為進(jìn)行了分析，構(gòu)建了中國(guó)IPO抑價(jià)研究的分析框架，然后基于信息不對(duì)稱理論對(duì)機(jī)構(gòu)投資者與IPO抑價(jià)之間的關(guān)系進(jìn)行了理論分析，并結(jié)合我國(guó)實(shí)際情況提出了本文的四個(gè)假設(shè)：參與詢價(jià)的機(jī)構(gòu)投資者數(shù)量與抑價(jià)率顯著正相關(guān)或負(fù)相關(guān)；向一般法人、基金配售份額占發(fā)行規(guī)模的比例與抑價(jià)率顯著負(fù)相關(guān)或正相關(guān)，最后以中國(guó)A股市場(chǎng)2010年到2012年上市公司為研究樣本對(duì)研究假設(shè)進(jìn)行實(shí)證檢驗(yàn)。 實(shí)證結(jié)果表明，參與詢價(jià)的機(jī)構(gòu)投資者數(shù)量越多，IPO抑價(jià)水平越高；向一般法人、基金配售的股份越多，IPO抑價(jià)水平越低。這說(shuō)明，參與詢價(jià)的機(jī)構(gòu)數(shù)越多，抑價(jià)率越高，詢價(jià)機(jī)構(gòu)存在不誠(chéng)信報(bào)價(jià)現(xiàn)象。同時(shí)，我們也發(fā)現(xiàn)網(wǎng)下參與配售的機(jī)構(gòu)投資者能有效降低抑價(jià)率，提高新股定價(jià)效率。機(jī)構(gòu)投資者對(duì)一級(jí)市場(chǎng)定價(jià)的介入一定程度上改善了IPO定價(jià)效率。與個(gè)人投資者相比，機(jī)構(gòu)投資者更為專業(yè)、擁有更多的信息且對(duì)市場(chǎng)發(fā)展趨勢(shì)把握更好。通過(guò)成熟的機(jī)構(gòu)投資者參與詢價(jià)，可以使得發(fā)行定價(jià)更為合理，而機(jī)構(gòu)投資者參與配售，不僅能穩(wěn)定上市價(jià)格，從長(zhǎng)遠(yuǎn)來(lái)看，還可以與上市公司形成戰(zhàn)略聯(lián)盟，介入公司的管理，更好地促使上市公司的發(fā)展。文章的最后，對(duì)我國(guó)現(xiàn)行新股定價(jià)制度進(jìn)行評(píng)價(jià)，，并給出適當(dāng)?shù)慕ㄗh。
[Abstract]:The IPO price determined by underwriters and issuing companies in the primary market is much lower than the first day trading price of the secondary market. A phenomenon in which the underwriters and issuers can obtain excess returns is called the IPO underpricing phenomenon. According to the reasons of IPO underpricing, different scholars put forward different hypotheses. Common theoretical hypotheses include information asymmetry theory, information symmetry theory, behavioral finance theory and other theories such as institutional theory, game theory and equity allocation hypothesis. However, the above-mentioned theories are put forward on the background of foreign mature capital markets. If we study the phenomenon of IPO underpricing in emerging capital markets, the applicability of these theories needs to be further explored. This paper first analyzes the behavior of the participants in China's IPO system, constructs an analytical framework for the study of IPO underpricing in China, and then analyzes the relationship between institutional investors and IPO underpricing based on the theory of information asymmetry. According to the actual situation of our country, this paper puts forward four hypotheses: the number of institutional investors participating in the inquiry has a significant positive or negative correlation with the underpricing rate; To the general legal person, the proportion of the fund allotment share to the issue size is significantly negatively correlated or positively correlated with the underpricing rate. Finally, the research hypotheses are tested empirically with the listed companies in the Chinese A-share market from 2010 to 2012 as the research samples. The empirical results show that the more institutional investors participate in the inquiry, the higher the level of IPO underpricing; to the general legal person, the more shares placed by funds, the lower the level of IPO underpricing. This shows that the more the number of institutions involved in the inquiry, the higher the underpricing rate is, and the dishonest quotation phenomenon exists in the inquiry institution. At the same time, we also find that institutional investors involved in placing can effectively reduce the underpricing rate and improve the pricing efficiency of new shares. The intervention of institutional investors in primary market pricing improves the efficiency of IPO pricing to a certain extent. Compared with individual investors, institutional investors are more professional, have more information and have a better grasp of market trends. Through the participation of mature institutional investors in inquiry, the issue pricing can be made more reasonable, and the institutional investors' participation in placing can not only stabilize the listing price, but also form a strategic alliance with listed companies in the long run. Involvement in the management of the company, better promote the development of listed companies. At the end of the paper, the author evaluates the current pricing system of new shares in China and gives some appropriate suggestions.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F275;F832.51

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