本文選題：新股發(fā)行制度改革　切入點(diǎn)：定價(jià)效率　出處：《新疆財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：新股發(fā)行定價(jià)效率一直是我國(guó)證券市場(chǎng)中研究的焦點(diǎn)問(wèn)題，隨著上市公司業(yè)績(jī)變臉、新股破發(fā)、高市盈率、新股首日遭爆炒等等問(wèn)題出現(xiàn)，暴露出新股發(fā)行定價(jià)鏈條上的種種弊端，是當(dāng)前中國(guó)證券市場(chǎng)上最受關(guān)注和討論的焦點(diǎn)之一，也是監(jiān)管層近20年來(lái)幾經(jīng)改革我國(guó)新股發(fā)行制度的重要因素。有效市場(chǎng)理論認(rèn)為，判斷證券價(jià)格的有效性依據(jù)是：信息是影響證券價(jià)格唯一因素，信息能在各個(gè)時(shí)期各個(gè)時(shí)間點(diǎn)準(zhǔn)確無(wú)誤反映證券的內(nèi)在價(jià)值，且影響證券價(jià)格變化的信息能自由進(jìn)入市場(chǎng),也就是說(shuō),證券定價(jià)是否有效主要體現(xiàn)在價(jià)格能夠?qū)π畔⑦M(jìn)行有效反應(yīng)。 本文研究背景正處于我國(guó)即將啟動(dòng)新一輪的新股發(fā)行制度改革窗口期，此時(shí)對(duì)我國(guó)二十多年以來(lái)的歷次改革情況和改革效果進(jìn)行回顧和總結(jié)具有重要的現(xiàn)實(shí)意義。 通過(guò)分析研究歷次新股發(fā)行制度改革在定價(jià)機(jī)制上的變革路徑，我們發(fā)現(xiàn)，我國(guó)新股定價(jià)呈市場(chǎng)化發(fā)展趨勢(shì)，，雖然定價(jià)效率期間有所反復(fù)，但整體上看出現(xiàn)本質(zhì)上改觀。從2001年3月證監(jiān)會(huì)正式取消了股票發(fā)行審批制到2005年初開始實(shí)施詢價(jià)制，我國(guó)新股發(fā)行的定價(jià)方式在詢價(jià)制下不斷完善。從2009年啟動(dòng)的新一輪兩個(gè)階段新股發(fā)行制度改革，使得我國(guó)新股發(fā)行定價(jià)機(jī)制趨于成熟，通過(guò)不斷擴(kuò)大詢價(jià)對(duì)象的范圍，提高主承銷商配售自主權(quán)，加強(qiáng)信息披露與監(jiān)督機(jī)制，細(xì)化市場(chǎng)主體權(quán)利與責(zé)任，很大程度上提高了新股定價(jià)效率。為量化這幾次改革實(shí)施的實(shí)際效果，我們以股價(jià)對(duì)信息反映程度為標(biāo)準(zhǔn)衡量新股定價(jià)效率，應(yīng)用Roll股價(jià)波動(dòng)非同步性測(cè)度模型對(duì)新股發(fā)行首日收益率進(jìn)行實(shí)證檢驗(yàn)，結(jié)果顯示我國(guó)新股發(fā)行市場(chǎng)化改革的確取得一定的成果，我國(guó)新股定價(jià)機(jī)制在不斷完善過(guò)程中，實(shí)證結(jié)果也證明新股定價(jià)只有走市場(chǎng)化改革的道路，充分發(fā)揮市場(chǎng)主體在定價(jià)過(guò)程中的主體作用，減少行政的人為干預(yù)，才能提升股價(jià)信息含量，提高我國(guó)新股定價(jià)效率，促進(jìn)資本市場(chǎng)優(yōu)化配置。
[Abstract]:The efficiency of IPO pricing has always been the focus of research in China's securities market. With the performance change of listed companies, the breaking of new shares, the high price-earnings ratio, the explosion of new shares on the first day, and so on, It is one of the most concerned and discussed focuses in China's securities market at present. It is also an important factor for the regulatory layer to reform the new issue system of our country several times in the past 20 years. The basis for judging the validity of securities price is that information is the only factor affecting the price of securities, information can accurately reflect the intrinsic value of securities at every time point in each period, and the information that affects the change of security price can enter the market freely. That is to say, whether the securities pricing is effective or not is mainly reflected in the effective response of the price to the information. The research background of this paper is in the window period of the new round of new issue system reform in our country. It is of great practical significance to review and summarize the history and effect of the reform in our country for more than 20 years. Through the analysis and study of the reform of the IPO system in the reform of the pricing mechanism, we find that the pricing of new shares in China shows a trend of market-oriented development, although the pricing efficiency has been repeated during the period. On the whole, however, there has been a fundamental change. From March 2001, when the Securities Regulatory Commission formally abolished the stock issuance approval system, it began to implement the inquiry system in early 2005. Since 2009, the new round of two stages of new stock issue system reform has made the pricing mechanism of new issue of new stock in our country tend to mature, by expanding the range of the target of inquiry continuously, the pricing method of new issue of new stock in our country has been improved continuously under the inquiry system. In order to quantify the actual effect of these reforms, the rights and responsibilities of the market subjects are refined by enhancing the autonomy of the placement of the principal underwriters, strengthening the mechanism of information disclosure and supervision, and improving the efficiency of the pricing of new shares to a great extent. We measure the pricing efficiency of new shares by the degree of information reaction of stock price, and apply the non-synchronism measure model of Roll stock price fluctuation to make an empirical test on the first-day yield of new shares. The results show that some achievements have been made in the market-oriented reform of new stock issuance in our country. In the process of the continuous improvement of the pricing mechanism of new shares, the empirical results also prove that the pricing of new shares only takes the road of market-oriented reform. Only by giving full play to the main role of the market main body in the pricing process and reducing the administrative artificial intervention can the information content of the stock price be raised, the pricing efficiency of new shares be improved, and the optimal allocation of capital market be promoted.
【學(xué)位授予單位】：新疆財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 劉曉峰;李梅;;IPO詢價(jià)制在中美實(shí)施效果的比較及博弈分析[J];國(guó)際金融研究;2007年02期

2 袁知柱;吳粒;鞠曉峰;;股價(jià)信息含量對(duì)企業(yè)資源配置效率影響實(shí)證研究[J];東北大學(xué)學(xué)報(bào)(自然科學(xué)版);2012年11期

3 張永任;李曉渝;;R~2與股價(jià)中的信息含量度量[J];管理科學(xué)學(xué)報(bào);2010年05期

4 林忠國(guó);韓立巖;李偉;;股價(jià)波動(dòng)非同步性——信息還是噪音?[J];管理科學(xué)學(xué)報(bào);2012年06期

5 毛宗平,川文;我國(guó)新股發(fā)行定價(jià)效率實(shí)證研究[J];現(xiàn)代經(jīng)濟(jì)探討;2004年02期

6 劉煜輝,熊鵬;股權(quán)分置、政府管制和中國(guó)IPO抑價(jià)[J];經(jīng)濟(jì)研究;2005年05期

7 陳夢(mèng)根;毛小元;;股價(jià)信息含量與市場(chǎng)交易活躍程度[J];金融研究;2007年03期

8 劉志遠(yuǎn);鄭凱;何亞南;;詢價(jià)制度第一階段改革有效嗎[J];金融研究;2011年04期

9 肖曙光;蔣順才;;我國(guó)A股市場(chǎng)高IPO抑價(jià)現(xiàn)象的制度因素分析[J];會(huì)計(jì)研究;2006年06期

10 鄧召明;我國(guó)股票發(fā)行定價(jià)效率實(shí)證研究[J];南開經(jīng)濟(jì)研究;2001年06期

本文編號(hào)：1576509