本文選題：IPO抑價(jià)　切入點(diǎn)：承銷商聲譽(yù)　出處：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：首次公開募股(Initial Public Offerings,簡稱IPO)上市首日超額收益是資本市場存在的一種異�，F(xiàn)象。在五十余年的研究中,學(xué)者們就此問題提出了眾多不同的解釋。其中,一部分研究者以信息不對稱為切入點(diǎn),從承銷商的角度出發(fā)解釋IPO首日超額收益,主要研究承銷商聲譽(yù)對IPO首日超額收益的影響。 在新股的IPO過程中,承銷商擔(dān)負(fù)著“信息傳遞者”和“質(zhì)量認(rèn)證中介”的角色。西方主流金融理論認(rèn)為高聲譽(yù)承銷商降低了IPO過程中信息不對稱的程度,應(yīng)能夠降低IPO抑價(jià)率,即承銷商聲譽(yù)與IPO抑價(jià)率負(fù)相關(guān)。這一理論在西方發(fā)達(dá)資本市場得到了實(shí)證的支持。但從我國過去的實(shí)證研究來看,該理論在中國證券市場上并不成立。 本文以2004年2月實(shí)行保薦制到2010年9月30日滬深A(yù)股市場所有IPO為樣本,使用SAS等軟件,通過多種統(tǒng)計(jì)方法,得出了一系列結(jié)論： (1)承銷商聲譽(yù)和IPO抑價(jià)率顯著正相關(guān)。 換句話說,市場份額大的承銷商以更低的價(jià)格發(fā)行新股,這與西方經(jīng)典的信息不對稱理論相悖。過去的研究在得出不顯著或正相關(guān)的結(jié)論時(shí),就得出西方承銷商聲譽(yù)理論在國內(nèi)不適用的結(jié)論,但筆者希望對此做進(jìn)一步的解釋。承銷商是否通過自己在證券市場上的優(yōu)勢地位,通過低價(jià)配售新股,從而達(dá)到向關(guān)系客戶利益輸送的目的。通過實(shí)證檢驗(yàn),還得到以下兩個(gè)結(jié)論： (2)投資銀行市場份額越大,它所配售的比例越大。 (3)有法人配售的IPO,其在上市后12個(gè)月,特別是鎖定期到期前后,價(jià)格和成交量表現(xiàn)都明顯優(yōu)于無法人配售IPO。 通過以上三點(diǎn)結(jié)論,就描繪出了一幅完整的圖景：大投行通過自身在證券市場上的優(yōu)勢地位,以較低價(jià)格大量地配售給機(jī)構(gòu)投資者,而這些股票在鎖定期到期前后又有良好的量價(jià)表現(xiàn),方便投資者獲利套現(xiàn)。當(dāng)然,這些研究結(jié)論只是承銷商向機(jī)構(gòu)投資者利益輸送的必要而非充分條件,并不能因此就認(rèn)定一定存在利益輸送現(xiàn)象,未來還需要更為精確的研究。 研究表明,西方投資銀行聲譽(yù)理論在我國IPO市場上不成立,聲譽(yù)機(jī)制對承銷商行為缺乏約束力,并非承銷商聲譽(yù)越高,其所承銷的IPO抑價(jià)率越低。這可能與我國證券發(fā)行市場的制度和監(jiān)管等方面的缺陷有關(guān),本文還據(jù)此提出了若干政策建議。
[Abstract]:Initial Public offerings (IPO) on the first day of the IPO is an abnormal phenomenon in the capital market. In more than 50 years of research, scholars have put forward many different explanations on this issue. From the perspective of underwriters, some researchers explain the first day excess return of IPO from the point of view of information asymmetry, and mainly study the influence of underwriter reputation on the first day excess return of IPO. In the IPO process of new shares, underwriters play the roles of "information transmitter" and "quality certification intermediary". Western mainstream financial theory holds that high reputation underwriters reduce the degree of information asymmetry in the process of IPO. It should be able to reduce the underpricing rate of IPO, that is, the underwriter reputation is negatively correlated with the underpricing rate of IPO. This theory has been empirically supported in the western developed capital markets. This paper takes all IPO of Shanghai and Shenzhen A-share market as sample, using SAS and other software, through a variety of statistical methods, draws a series of conclusions, based on the recommendation system in February 2004 to September 30, 2010. (1) there was a significant positive correlation between underwriter reputation and IPO underpricing rate. In other words, underwriters with large market share offer new shares at lower prices, which is contrary to the classical theory of information asymmetry in the West. This paper draws the conclusion that the western underwriter reputation theory is not applicable in China, but I would like to explain it further. Do underwriters sell new shares at a low price through their dominant position in the securities market? In order to achieve the purpose of conveying the interests of relational customers. Through empirical testing, we also get the following two conclusions:. The larger the market share of investment banks, the larger the proportion of placing. The performance of IPO with legal person placing is obviously superior to that of IPO without legal person in 12 months after listing, especially before and after the expiration of lock period. Through the above three conclusions, a complete picture is drawn: big investment banks, through their dominant position in the securities market, place large quantities of money on the market to institutional investors at relatively low prices. And these stocks perform well before and after the expiration of the lock-up period, making it easier for investors to cash in. Of course, these findings are only a necessary, not sufficient, condition for underwriters to deliver benefits to institutional investors. It can not be concluded that there must be a phenomenon of benefit delivery, and more accurate research is needed in the future. The research shows that the western investment bank reputation theory is not established in the IPO market of our country, and the reputation mechanism lacks the binding force on the underwriter's behavior, so it is not the higher the underwriter's reputation is. The lower the underwriting rate of IPO is, the lower the underwriting rate is. This may be related to the defects in the system and supervision of China's securities issuance market. Based on this, some policy suggestions are put forward in this paper.
【學(xué)位授予單位】：復(fù)旦大學(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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