本文關(guān)鍵詞：IPO抑價(jià)與后市流動(dòng)性關(guān)系研究　出處：《南京航空航天大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： IPO抑價(jià) 后市流動(dòng)性 股權(quán)結(jié)構(gòu) 信息不對(duì)稱

【摘要】：IPO抑價(jià)是全球資本市場(chǎng)上的一個(gè)普遍現(xiàn)象，無論是發(fā)展中國(guó)家新興的證券市場(chǎng)，還是發(fā)達(dá)國(guó)家接近有效的成熟的證券市場(chǎng)。中國(guó)證券市場(chǎng)自成立以來一直具有較高的新股發(fā)行抑價(jià)率。過高的IPO抑價(jià)不僅會(huì)造成二級(jí)市場(chǎng)的震蕩，帶來巨額資金無序流動(dòng)、激化市場(chǎng)參與者矛盾，使市場(chǎng)充斥著投機(jī)氛圍等種種現(xiàn)實(shí)問題，更從根本上妨礙資本市場(chǎng)資源配置功能的發(fā)揮。國(guó)外關(guān)于新股發(fā)行抑價(jià)的理論和實(shí)證研究己經(jīng)比較成熟，很多學(xué)者從多個(gè)角度探索了新股抑價(jià)的原因并提出了相應(yīng)的對(duì)策，但都是以成熟市場(chǎng)為基礎(chǔ)。而我國(guó)作為典型的新興資本市場(chǎng)，市場(chǎng)機(jī)制還不完善，機(jī)構(gòu)投資者發(fā)展還不成熟，資本市場(chǎng)流動(dòng)性也存在很多限制，因此能否適用國(guó)外這些理論還有待考證。 Booth和Chua（1996）提出的“流動(dòng)性促進(jìn)假說”與Ellul和Pagano（2006）的“非流動(dòng)性補(bǔ)償假說”從兩個(gè)對(duì)立的角度解釋了IPO抑價(jià)。前者認(rèn)為IPO抑價(jià)導(dǎo)致的股權(quán)分散促進(jìn)了后市流動(dòng)性，，IPO抑價(jià)是因，后市流動(dòng)性是果；而后者認(rèn)為IPO抑價(jià)是對(duì)信息不對(duì)稱帶來的后市非流動(dòng)性和流動(dòng)性風(fēng)險(xiǎn)的補(bǔ)償，后市非流動(dòng)性是因，IPO抑價(jià)是果。隨后國(guó)外很多學(xué)者都選取不同的樣本對(duì)這兩個(gè)假設(shè)進(jìn)行了檢驗(yàn)，但沒有得出統(tǒng)一的結(jié)論。這兩種截然不同的研究結(jié)論給人們帶來了困惑，也值得我們?cè)俅尾粩嗟纳钊胩接憽?本文在總結(jié)國(guó)內(nèi)外研究現(xiàn)狀的基礎(chǔ)上，首先分析了這兩個(gè)假說的理論機(jī)理，然后選取2006到2011年中國(guó)滬深交易所上市的IPO公司的分筆高頻交易數(shù)據(jù)，運(yùn)用橫截面多元回歸方法，對(duì)這兩個(gè)假說在中國(guó)的適用性進(jìn)行了實(shí)證檢驗(yàn)，并試圖尋找我國(guó)IPO高抑價(jià)的真正原因。本文得到的主要研究結(jié)論有以下三點(diǎn)： （1）“流動(dòng)性促進(jìn)假說”在中國(guó)市場(chǎng)并不成立。IPO抑價(jià)并不會(huì)促進(jìn)股權(quán)分散，但分散的股權(quán)會(huì)帶來后市流動(dòng)性水平的提高；另外在控制股權(quán)結(jié)構(gòu)的前提下，IPO抑價(jià)對(duì)后市流動(dòng)性沒有促進(jìn)作用，相反，IPO抑價(jià)程度越大，后市流動(dòng)性水平反而越低。 （2）“非流動(dòng)性補(bǔ)償假說”在中國(guó)市場(chǎng)部分適用。國(guó)外廣泛流行的“信息不對(duì)稱理論”并不能解釋我國(guó)的IPO高抑價(jià)現(xiàn)象，在我國(guó)，IPO抑價(jià)其實(shí)是對(duì)后市非流動(dòng)性和流動(dòng)性風(fēng)險(xiǎn)的補(bǔ)償，但這種非流動(dòng)性并不是由信息不對(duì)稱引起的。 （3）股票價(jià)格、交易量、市場(chǎng)價(jià)值、收益波動(dòng)率都是影響流動(dòng)性的重要因素；公司規(guī)模與股權(quán)分散度正相關(guān)，但公司成立年限對(duì)股權(quán)結(jié)構(gòu)沒有顯著的影響；公司規(guī)模、公司成立年限、IPO時(shí)流通股比例都與抑價(jià)率顯著正相關(guān)，中簽率與IPO抑價(jià)顯著負(fù)相關(guān)，承銷商聲譽(yù)與IPO抑價(jià)之間的關(guān)系不太顯著。
[Abstract]:IPO underpricing is a common phenomenon in global capital markets, whether it is emerging securities markets in developing countries. Since the establishment of the Chinese securities market, the IPO underpricing rate has been high. Too high IPO underpricing will not only cause the secondary market shock. Bring huge amount of capital disorderly flow, intensify the contradictions of market participants, so that the market is full of speculative atmosphere and other practical problems. Foreign theoretical and empirical research on IPO underpricing has been more mature. Many scholars have explored the reasons of IPO underpricing from many angles and put forward corresponding countermeasures, but all of them are based on the mature market. However, as a typical emerging capital market, the market mechanism is not perfect in China. Institutional investors are not mature and there are many restrictions on capital market liquidity, so whether these theories can be applied to foreign countries remains to be verified. "liquidity Promotion hypothesis" proposed by Booth and Chuawei (1996) and Ellul and Paganoy 2006). The "non-liquidity compensation hypothesis" explains the IPO underpricing from two opposite angles. The former believes that the dispersion of shares caused by IPO underpricing promotes liquidity in the future. IPO underpricing is due to the future liquidity is the result; The latter believes that the IPO underpricing is the compensation for the future market illiquidity and liquidity risk brought by asymmetric information, and the aftermarket illiquidity is the reason. IPO underpricing is the result. Subsequently, many foreign scholars selected different samples to test the two hypotheses, but did not come to a unified conclusion. Also worth us to continue to explore in depth again. On the basis of summing up the current research situation at home and abroad, this paper first analyzes the theoretical mechanism of these two hypotheses. Then selected from 2006 to 2011 IPO listed in the Shanghai and Shenzhen Stock Exchange of China's high-frequency trading data, using cross-sectional multivariate regression method. This paper empirically tests the applicability of these two hypotheses in China and tries to find out the real reasons for the high underpricing of IPO in China. I.P.O. underpricing will not promote the dispersion of shares, but the dispersed equity will bring about a higher level of liquidity in the future; In addition, under the premise of controlling the ownership structure, IPO underpricing does not promote the liquidity, on the contrary, the greater the degree of IPO underpricing, the lower the liquidity level. The "non-liquidity compensation hypothesis" is partly applicable in the Chinese market. The widely used "information asymmetry theory" abroad can not explain the phenomenon of high IPO underpricing in China. IPO underpricing is actually compensation for future market illiquidity and liquidity risk, but this illiquidity is not caused by asymmetric information. 3) Stock price, trading volume, market value and return volatility are all important factors affecting liquidity; The size of the company is positively correlated with the degree of equity dispersion, but the company's founding years have no significant impact on the ownership structure; The size of the company, the proportion of outstanding shares and the underpricing rate are all positively correlated with the underpricing rate, the success rate is negatively correlated with the IPO underpricing, and the relationship between underwriter reputation and IPO underpricing is not significant.
【學(xué)位授予單位】：南京航空航天大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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