【摘要】：本文在國(guó)內(nèi)外IPO抑價(jià)理論研究的基礎(chǔ)上，總結(jié)了創(chuàng)業(yè)板的發(fā)展現(xiàn)狀，然后結(jié)合異質(zhì)信念理論對(duì)創(chuàng)業(yè)板現(xiàn)行的IPO發(fā)行制度進(jìn)行一般性分析，明確了創(chuàng)業(yè)板IPO各參與方和新股價(jià)格行為之間的關(guān)系，以及在目前的IPO發(fā)行制度中各個(gè)參與方之間異質(zhì)信念的產(chǎn)生原因和對(duì)IPO抑價(jià)的影響。在一般性分析結(jié)論的基礎(chǔ)上，，本文根據(jù)目前IPO發(fā)行制度，構(gòu)建了一個(gè)基于異質(zhì)信念理論的創(chuàng)業(yè)板IPO定價(jià)及抑價(jià)模型，對(duì)創(chuàng)業(yè)板IPO抑價(jià)問(wèn)題進(jìn)行深入分析。根據(jù)創(chuàng)業(yè)板IPO抑價(jià)模型得到的幾個(gè)結(jié)論表明，IPO主要參與方的先驗(yàn)信念異質(zhì)和后驗(yàn)信念異質(zhì)都會(huì)引起IPO抑價(jià)現(xiàn)象。根據(jù)異質(zhì)信念形成原因，本文選取合適的先驗(yàn)異質(zhì)信念代理變量和后驗(yàn)異質(zhì)信念代理變量后，對(duì)創(chuàng)業(yè)板IPO抑價(jià)問(wèn)題進(jìn)行了實(shí)證分析，實(shí)證結(jié)果與異質(zhì)信念對(duì)創(chuàng)業(yè)板IPO高抑價(jià)問(wèn)題的理論解釋相一致。這表明，基于行為金融學(xué)的異質(zhì)信念理論對(duì)IPO抑價(jià)問(wèn)題具有相當(dāng)充分的解釋能力，創(chuàng)業(yè)板IPO高抑價(jià)現(xiàn)象很大程度上是因?yàn)镮PO各參與方的異質(zhì)信念行為。IPO高抑價(jià)現(xiàn)象不利于資本市場(chǎng)資源的有效配置。本文根據(jù)先驗(yàn)異質(zhì)信念和后驗(yàn)異質(zhì)信念形成的原因和對(duì)IPO抑價(jià)率的影響，從新股發(fā)行機(jī)制改革層面，對(duì)解決創(chuàng)業(yè)板IPO高抑價(jià)問(wèn)題提出了相關(guān)政策建議。
[Abstract]:Based on the research of IPO underpricing theory at home and abroad, this paper summarizes the development status of gem, and then analyzes the current IPO issuing system of gem with heterogeneous belief theory. This paper clarifies the relationship between IPO participants and new stock price behavior in gem, and the causes of heterogeneous beliefs among participants in the current IPO issuance system and their influence on IPO underpricing. On the basis of the general analysis conclusion, according to the current IPO issue system, this paper constructs a IPO pricing and underpricing model based on the heterogeneous belief theory, and analyzes the IPO underpricing problem in the gem. According to several conclusions of gem IPO underpricing model, it is shown that both priori belief heterogeneity and posteriori belief heterogeneity will cause IPO underpricing phenomenon. According to the reason of heterogeneity belief, this paper analyzes the problem of IPO underpricing in gem by selecting appropriate agent variables of prior heterogeneity belief and posteriori heterogeneity belief agent. The empirical results are consistent with the theoretical explanation of high IPO underpricing in gem based on heterogeneous beliefs. This indicates that the heterogeneous belief theory based on behavioral finance has sufficient ability to explain the IPO underpricing problem. The phenomenon of high underpricing in gem is largely due to the heterogeneous belief behavior of IPO participants. The phenomenon of high underpricing is not conducive to the effective allocation of capital market resources. Based on the reasons of the formation of prior heterogeneity belief and posteriori heterogeneity belief and its influence on IPO underpricing, this paper puts forward some relevant policy suggestions to solve the problem of high underpricing of IPO in gem from the perspective of new issue mechanism reform.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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