本文關(guān)鍵詞： 新股折價(jià) 首次公開(kāi)發(fā)行 噪聲交易 非理性投資者　出處：《復(fù)旦大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：首次公開(kāi)發(fā)行日新股的成交價(jià)格高于發(fā)行價(jià)格的現(xiàn)象被稱為IP0折價(jià)現(xiàn)象。從上世紀(jì)七十年代Relv等學(xué)者第一次注意到這一問(wèn)題開(kāi)始,許多學(xué)者通過(guò)不同的研究視角對(duì)新股折價(jià)問(wèn)題進(jìn)行了深入分析與探討。統(tǒng)計(jì)結(jié)果表明新股折價(jià)現(xiàn)象在發(fā)達(dá)國(guó)家還是發(fā)展中國(guó)家的資本市場(chǎng)上是普遍存在的。我們通常認(rèn)為資本市場(chǎng)是相對(duì)具有更高定價(jià)效率的場(chǎng)所,而新股折價(jià)現(xiàn)象的存在是與其價(jià)格發(fā)現(xiàn)的功能相矛盾的。國(guó)內(nèi)外學(xué)者一般通過(guò)發(fā)行市場(chǎng)和二級(jí)市場(chǎng)兩個(gè)角度對(duì)新股折價(jià)現(xiàn)象進(jìn)行相關(guān)研究。 國(guó)外學(xué)者構(gòu)建了許多精巧的模型對(duì)資本市場(chǎng)折價(jià)現(xiàn)象提出了自己的解釋,但是其解釋理論是否可以用于國(guó)內(nèi)市場(chǎng)呢?我們認(rèn)為,首先國(guó)內(nèi)資本市場(chǎng)本身處于不斷發(fā)展完善的過(guò)程中,監(jiān)管體系的完善與成熟程度與國(guó)外資本市場(chǎng)有著較大的差別,其次我國(guó)資本市場(chǎng)自設(shè)立以來(lái)短短20余年的時(shí)間,發(fā)展時(shí)間相對(duì)較短,數(shù)據(jù)的全面性和完整性不假,最后國(guó)內(nèi)資本市場(chǎng)上的投資者的資金實(shí)力、受教育程度、投資理念和理性程度似乎與國(guó)外投資者有著較大差別,我們認(rèn)為對(duì)于像我國(guó)這樣經(jīng)濟(jì)轉(zhuǎn)型期的資本市場(chǎng)難以用現(xiàn)有理論進(jìn)行解釋說(shuō)明。為此,我們選取了2000-2010年之間我國(guó)證券市場(chǎng)上上市發(fā)行的新股作為研究對(duì)象,對(duì)折價(jià)現(xiàn)象是否存在及其原因進(jìn)行了分析。文章第一部分我們首先回顧了現(xiàn)有的國(guó)內(nèi)外學(xué)者的解釋理論,比較其發(fā)展脈絡(luò)與差異,之后分析了我國(guó)資本市場(chǎng)各方參與者(機(jī)構(gòu)、散戶、上市公司等)進(jìn)行了分析,通過(guò)選取多個(gè)公司財(cái)務(wù)指標(biāo)以及聲望指標(biāo)對(duì)我國(guó)新股折價(jià)現(xiàn)象進(jìn)行回歸分析,研究結(jié)果表明我國(guó)資本市場(chǎng)上的新股折價(jià)現(xiàn)象的主要形成原因是二級(jí)市場(chǎng)上行為人的非理性交易行為(噪聲交易),而與一級(jí)市場(chǎng)上的機(jī)構(gòu)(投行、VC)聲望的影響則并不顯著。在此基礎(chǔ)上,我們分析這一現(xiàn)象的成因在于散戶的理性程度不足、投資知識(shí)欠缺,以及證券市場(chǎng)上政府監(jiān)管和信息披露機(jī)制的不完善。針對(duì)這一現(xiàn)象,我們?cè)谖恼碌淖詈笠徊糠种嗅槍?duì)投資者、投行、政府等各方提出了一系列政策建議。
[Abstract]:The phenomenon that the transaction price of new shares on the day of initial public offering is higher than the issue price is called IP0 discount phenomenon. Since -30s, Relv and other scholars have noticed this problem for the first time. Many scholars have analyzed and discussed the discount of new shares from different angles of view. The statistical results show that the phenomenon of IPO discount is common in the capital markets of developed and developing countries. Capital markets are generally considered to be relatively more efficient places for pricing. However, the existence of new stock discount is contradictory to its function of price discovery. Scholars at home and abroad generally study the phenomenon of new stock discount from the perspective of issuing market and secondary market. Foreign scholars have constructed many sophisticated models to explain the discount phenomenon of capital market, but can the explanation theory be used in the domestic market? In our opinion, first of all, the domestic capital market itself is in the process of continuous development and perfection, and the degree of perfection and maturity of the regulatory system is quite different from that of the foreign capital market. Secondly, China's capital market since the establishment of a short period of more than 20 years, relatively short development time, the integrity and integrity of the data, the final domestic capital market investors' capital strength, education. The investment idea and rational degree seem to have the big difference with the foreign investor, we think that the capital market in the economic transition period like our country is difficult to explain with the existing theory. For this reason. From 2000 to 2010, we choose the new shares listed in China's securities market as the research object. The first part of the article reviews the existing domestic and foreign scholars' explanation theory, compares its development context and difference. Then it analyzes the participants (institutions, retail investors, listed companies, etc.) in the capital market of our country, and analyzes the discount phenomenon of new shares in our country by selecting a number of financial indicators and prestige indicators. The results show that the main cause of IPO discount in China's capital market is the irrational trading behavior (noise trading) of the actors in the secondary market, and the primary market institutions (investment banks). The influence of VC-based reputation is not significant. On this basis, we analyze the causes of this phenomenon is the lack of rational degree of retail investors, lack of investment knowledge. In the last part of this paper, we put forward a series of policy suggestions for investors, investment banks, governments and other parties.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51

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