本文關鍵詞：我國創(chuàng)業(yè)板新股長期弱勢現(xiàn)象的實證研究　出處：《湖南大學》2012年碩士論文　論文類型：學位論文

  更多相關文章： 創(chuàng)業(yè)板 新股長期弱勢 首日抑價率 可操縱性短期應計利潤 投資者情緒

【摘要】：本文選擇2009年10月-2011年12月期間在創(chuàng)業(yè)板上市的280家IPOs作為樣本，研究其上市后的市場表現(xiàn)以及影響因素。通過實證研究發(fā)現(xiàn)，我國創(chuàng)業(yè)板市場也存在著“新股長期弱勢”現(xiàn)象：無論是包含首日抑價率還是排除首日抑價率的市場表現(xiàn)都呈現(xiàn)出長期弱勢現(xiàn)象。 影響新股市場表現(xiàn)的因素有很多，本文結合中國證券市場的特點，選擇信號假說、事前不確定性假說、盈余管理假說、投資者情緒假說以及IPO效應假說所對應的代理變量作為新股市場表現(xiàn)的影響因素，通過對影響因素的分析可以檢驗這些假說是否能夠解釋我國新股弱勢現(xiàn)象。本文先對影響因素以及相對應的各收益指標進行分組，然后對各組進行獨立樣本檢驗，最后對所有的影響因素進行穩(wěn)健性檢驗，研究發(fā)現(xiàn)：首日抑價率與長期收益顯著負相關，這有悖于信號理論，同時每股收益對長期收益影響不顯著，沒有起到公司質量信號的功能；可操縱性短期應計利潤及其交叉項與長期收益顯著負相關，并且交叉項的系數(shù)較大，這說明投資者對上市公司的未來收益過于樂觀，，而發(fā)行者往往在發(fā)行前進行盈余管理，上市后財務表現(xiàn)差于預期，投資者熱情減退，股票收益下降；發(fā)行規(guī)模和直接控股股東所持比例都與長期收益顯著正相關，而這兩個指標是事前不確定性假說的代理變量，這說明投資者可以分析這兩個指標來減少事前的不確定性，獲得較高收益；與上市前一年相比，公司的總資產(chǎn)收益率、總資產(chǎn)現(xiàn)金回收率、主營業(yè)務增長率以及資產(chǎn)周轉率都有顯著下降，并且主營業(yè)務增長率與長期收益顯著正相關；投資者情緒對一年期的收益率沒有顯著影響，對兩年期的收益率影響顯著，但在單因素分析中中并沒有呈現(xiàn)出該假說所認為的投資者情緒越高收益率就越低的趨勢。 最后針對本文研究結果提出相關政策與建議：一是完善發(fā)行定價制度，引入市場定價機制；二是完善證券市場信息披露機制；三是提高上市公司整體質量；四是進一步明確中介機構在證券發(fā)行中的相關責任，并加大對違法違規(guī)行為的處罰力度；五是加快機構投資者的發(fā)展。
[Abstract]:This paper selects 280 IPOs listed on the gem from October 2009 to December 2011 as a sample to study the market performance and influencing factors after listing. There is also the phenomenon of "long-term weakness of new shares" in China's gem market: whether it includes the first-day underpricing rate or the exclusion of first-day underpricing rate, the market performance shows a long-term weakness phenomenon. There are many factors that affect the performance of the new stock market. This paper combines the characteristics of China's securities market, the selection signal hypothesis, the prior uncertainty hypothesis, the earnings management hypothesis. The proxy variables corresponding to the investor sentiment hypothesis and the IPO effect hypothesis are the factors influencing the performance of the new stock market. Through the analysis of the influencing factors, we can test whether these hypotheses can explain the weakness of the new stock in China. Firstly, this paper groups the influencing factors and the corresponding income indicators. Then the independent sample test for each group and the robustness test for all the influencing factors. The study found that: the first day underpricing rate and long-term income significantly negative correlation, which is contrary to the signal theory. At the same time, earnings per share has no significant impact on long-term earnings, and does not play the role of corporate quality signal; Maneuverability short-term accruals and their crossover items are significantly negatively correlated with long-term earnings, and the coefficient of cross-items is large, which indicates that investors are too optimistic about the future earnings of listed companies. The issuer often carries on the earnings management before the issue, after listing the financial performance is worse than expected, the investor enthusiasm drops, the stock income drops; Both the size of the issue and the proportion of the direct controlling shareholders are significantly positively correlated with the long-term returns, and these two indicators are proxy variables of the prior uncertainty hypothesis. This shows that investors can analyze these two indicators to reduce the uncertainty in advance and obtain higher returns; Compared with the year before listing, the return rate of total assets, the cash recovery rate of total assets, the growth rate of main business and the turnover rate of assets are all significantly decreased, and the growth rate of main business has a significant positive correlation with long-term income. Investor sentiment has no significant effect on the one-year yield, but a significant impact on the two-year yield. But the univariate analysis does not show the hypothetical trend that the higher the investor sentiment, the lower the yield. Finally, this paper puts forward some relevant policies and suggestions: first, perfect the issue pricing system and introduce the market pricing mechanism; Second, perfect the mechanism of information disclosure in securities market; Third, to improve the overall quality of listed companies; Fourth, to further clarify the relevant responsibilities of intermediary institutions in securities issuance, and to increase the penalties for illegal acts; Fifth, accelerate the development of institutional investors.
【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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