本文選題：新股抑價(jià) + 影響因素分析��； 參考：《華東師范大學(xué)》2013年碩士論文

【摘要】：新股抑價(jià)發(fā)行是全球股票市場(chǎng)普遍存在的現(xiàn)象,國外學(xué)者對(duì)此進(jìn)行了大量研究,并提出了多種理論和假說。我國證券市場(chǎng)自建立起,也一直存在著較高的新股發(fā)行抑價(jià)率,過高的抑價(jià)率不僅妨礙了資本市場(chǎng)對(duì)資源進(jìn)行優(yōu)化配置的功能,還引起巨額資金無序流動(dòng)、過度投機(jī)等現(xiàn)實(shí)問題。針對(duì)上述問題,我國證券監(jiān)管部門近些年先后多次推出新股發(fā)行制度改革,旨在提高資本市場(chǎng)效率控制抑價(jià)水平,但目前這一改革在向前推進(jìn)過程中飽受各方爭(zhēng)議。為此,本文期望就上述難題做一些有益的探索,在總結(jié)和回顧國內(nèi)外已有研究文獻(xiàn)基礎(chǔ)上之,本文緊密聯(lián)系了中國A股市場(chǎng)的實(shí)際,對(duì)我國2009年以來深圳證券交易所的中小板、創(chuàng)業(yè)板市場(chǎng)IPO抑價(jià)的原因和影響因素進(jìn)行研究探索,然后通過實(shí)證檢驗(yàn)來評(píng)判新股發(fā)行制度改革取得的成果與存在的不足,進(jìn)而提出進(jìn)一步改革的建議,具有很強(qiáng)的現(xiàn)實(shí)指導(dǎo)意義。 本文共分為如下五章：第一章是引言部分,給出了本文的研究背景、文獻(xiàn)綜述、論文結(jié)構(gòu)安排和研究思路,使得讀者對(duì)全文有一個(gè)總體的認(rèn)識(shí),同時(shí)還介紹了本文的創(chuàng)新之處；第二章是相關(guān)的理論介紹,分別從傳統(tǒng)金融理論和行為金融理論對(duì)IPO抑價(jià)的研究進(jìn)行了系統(tǒng)的梳理展示,為后文建立分析模型提供理論依據(jù),之后對(duì)已有的文獻(xiàn)進(jìn)行了簡(jiǎn)要的評(píng)述；第三章選取從2009年7月至2012年9月深圳證券交易所中小板、創(chuàng)業(yè)板市場(chǎng)上的769家IPO公司為樣本,運(yùn)用Eviews軟件,在傳統(tǒng)的IPO抑價(jià)影響因素的研究成果上建立多元線性回歸模型,分別對(duì)歷次新股發(fā)行制度改革分三個(gè)階段的數(shù)據(jù)進(jìn)行了實(shí)證分析,再利用貝葉斯模型平均方法對(duì)多元線性回歸模型的各個(gè)解釋變量分階段做檢驗(yàn)；第四章對(duì)各個(gè)階段下IPO抑價(jià)程度、新股弱勢(shì)現(xiàn)象做參數(shù)檢驗(yàn),評(píng)判新股發(fā)行制度改革取得的成果與不足；最后一章給出研究結(jié)論、提出建議,在總結(jié)全文的基礎(chǔ)上,針對(duì)如何降低A股市場(chǎng)IPO抑價(jià)、提高證券市場(chǎng)運(yùn)行效率提出相應(yīng)的政策建議。
[Abstract]:IPO underpricing is a common phenomenon in the global stock market, which has been studied extensively by foreign scholars, and many theories and hypotheses have been put forward. Since the establishment of China's securities market, there has always been a relatively high underpricing rate of new stock issuance. The excessive underpricing rate not only hinders the function of the capital market in optimizing the allocation of resources, but also causes a huge amount of capital to flow out of order. Excessive speculation and other practical problems. In order to improve the efficiency of the capital market to control the underpricing level, China's securities regulatory authorities have introduced a number of reforms in recent years to control the underpricing level. However, the reform has been subject to controversy in the process of advancing. Therefore, this paper expects to do some useful exploration on the above problems. On the basis of summarizing and reviewing the existing research literature at home and abroad, this paper closely links with the reality of China's A-share market, and gives a close account of the small and medium-sized board of Shenzhen Stock Exchange since 2009. The reasons and influencing factors of IPO underpricing in gem market are studied and explored, and then the achievements and shortcomings of the reform of IPO system are judged by empirical test, and further suggestions for further reform are put forward. Has the very strong realistic instruction significance. This paper is divided into five chapters: the first chapter is the introduction part, gives the research background, the literature review, the thesis structure arrangement and the research thought, causes the reader to have a general understanding to the full text, at the same time has introduced this article innovation; The second chapter is the related theoretical introduction, respectively from the traditional financial theory and behavioral finance theory of IPO underpricing research on a systematic display, for the subsequent establishment of the analysis model to provide a theoretical basis. The third chapter selects 769 IPO companies in Shenzhen Stock Exchange from July 2009 to September 2012, and uses Eviews software as a sample. Based on the traditional research results of the factors influencing IPO underpricing, this paper establishes a multivariate linear regression model, and makes an empirical analysis on the data of three stages of the previous IPOs system reform. Then the Bayesian model average method is used to test the various explanatory variables of multivariate linear regression model in stages. Chapter four makes a parameter test on IPO underpricing degree and IPO weakness phenomenon in each stage. The last chapter gives the research conclusion, puts forward the suggestion, on the basis of summing up the full text, aiming at how to reduce the IPO underpricing in A-share market. To improve the efficiency of the securities market to put forward the corresponding policy recommendations.
【學(xué)位授予單位】：華東師范大學(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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