本文選題：創(chuàng)業(yè)板 + 多因素模型��； 參考：《沈陽理工大學(xué)》2012年碩士論文

【摘要】：創(chuàng)業(yè)板是我國多層次資本市場的重要組成部分，其發(fā)展直接影響到整個資本市場的發(fā)展，而股票初始發(fā)行是關(guān)系到整個創(chuàng)業(yè)板市場健康穩(wěn)定發(fā)展的重要環(huán)節(jié)，所以，股票初始發(fā)行的過程至關(guān)重要。本文的研究是為了得出適合創(chuàng)業(yè)板初始發(fā)行定價的估價模型，為發(fā)行人和承銷商協(xié)商定價提供參考,協(xié)助發(fā)行人合理有效融資，協(xié)助機構(gòu)投資者在參與股票初始發(fā)行定價的過程中能夠做出合理的判斷，以及協(xié)助個人投資者選擇具有投資價值的股票。 我國股票市場經(jīng)過多年的發(fā)展，投資者的投資理念日趨成熟，價值投資正逐步成為證券投資的主流理念。多因素模型廣泛應(yīng)用于許多研究領(lǐng)域,在股票定價領(lǐng)域內(nèi)的核心思想是通過某些特定方法篩選出能夠體現(xiàn)股票內(nèi)在價值的因素，并體現(xiàn)這些因素與股票價格之間的關(guān)系。本文在國內(nèi)外相關(guān)研究的基礎(chǔ)上，對IPO定價相關(guān)理論和我國創(chuàng)業(yè)板IPO定價現(xiàn)狀進行深入研究，并結(jié)合我國創(chuàng)業(yè)板實際情況，提出多因素模型的建立方法：第一、以代表公司內(nèi)在價值的財務(wù)指標為基礎(chǔ)，采用主成分分析法，將這些指標濃縮成幾個主成分因子；第二、采用多元逐步回歸分析方法，以公司上市后二十日均價為因變量，主成分因子為自變量，，進行回歸分析，建立多因素模型，并對模型進行檢驗；第三、將模型應(yīng)用于樣本以外的公司，進行實際應(yīng)用檢驗。研究發(fā)現(xiàn)：多因素模型在應(yīng)用檢驗的過程中，應(yīng)用的效果比較好，說明了模型的適用性比較好。最后結(jié)合本文所作的市場分析和實證研究結(jié)果，對我國的創(chuàng)業(yè)板IPO定價提出了一些建議。
[Abstract]:The gem is an important part of the multi-level capital market in our country. Its development directly affects the development of the whole capital market, and the initial issuance of stocks is an important link in the healthy and stable development of the whole gem market. The process of initial share issuance is crucial. The purpose of this study is to obtain a valuation model suitable for the initial issue pricing of the gem, to provide a reference for the issuer and the underwriter to negotiate the pricing, and to help the issuer to raise funds reasonably and effectively. Assist institutional investors in the process of participating in the initial issue pricing process to make a reasonable judgment, as well as to assist individual investors to choose stocks with investment value. With the development of stock market for many years, the investment idea of investors is maturing day by day, and the value investment is gradually becoming the mainstream idea of securities investment. Multi-factor model is widely used in many research fields. The core idea in the field of stock pricing is to screen out the factors that can reflect the intrinsic value of the stock through some specific methods and to reflect the relationship between these factors and the stock price. On the basis of domestic and foreign related research, this paper makes a deep research on the theory of IPO pricing and the current situation of IPO pricing in China's gem. Combining with the actual situation of gem in our country, this paper puts forward the method of establishing multi-factor model: first, Based on the financial indicators representing the intrinsic value of the company, the principal component analysis (PCA) is used to concentrate these indicators into several principal component factors. Secondly, the multivariate stepwise regression analysis is used to take the average price of twenty days after the listing of the company as a dependent variable. The principal component factor is independent variable, the regression analysis is carried out, the multi-factor model is established, and the model is tested. Thirdly, the model is applied to the company outside the sample for the practical application test. It is found that the application of the multifactor model is better in the process of application test, which shows that the model is more applicable. Finally, based on the market analysis and empirical results of this paper, some suggestions on the IPO pricing of gem in China are put forward.
【學(xué)位授予單位】：沈陽理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1897740