本文關鍵詞： IPO定價 創(chuàng)業(yè)板 破發(fā) 剩余收益模型 隨機邊界模型　出處：《陜西科技大學》2013年碩士論文　論文類型：學位論文

【摘要】：2009年10月30日，我國創(chuàng)業(yè)板市場正式推出，受到了市場各方的廣泛關注。時至今日，創(chuàng)業(yè)板在為資本市場做出突出貢獻的同時也暴露出很多問題，其中以“三高現(xiàn)象（高發(fā)行價、高市盈率、高募集金額）”最為嚴重。其中，高發(fā)行價是問題的核心所在。另外，“破發(fā)現(xiàn)象”也非常嚴重，給二級市場帶來了很大的風險。本文研究的目的就是探究在我國創(chuàng)業(yè)板市場上，IPO的定價是否合理地反映了企業(yè)股票的內在價值、“破發(fā)現(xiàn)象”的影響因素以及對應的政策和建議，以促進我國資本市場健康有序的發(fā)展，提高創(chuàng)業(yè)板市場的運行效率。 本文以創(chuàng)業(yè)板355家企業(yè)為樣本，通過理論分析和實證方法對IPO定價進行研究。在實證研究中運用了剩余收益模型、隨機邊界分析方法、分位數(shù)回歸法以及最小二乘法對定價的合理性進行研究。首先根據(jù)剩余收益模型對企業(yè)股票的內在價值進行了測量和評估，并利用隨機邊界模型分析了發(fā)行價格和企業(yè)股票內在價值之間的偏離程度，最后得出結論：IPO價格普遍高于企業(yè)股票的內在價值；IPO的抑價情況并不是由于一級市場的故意抑價產(chǎn)生。 在此基礎上，運用分位數(shù)回歸法進一步結合二級市場分析了抑價的真實影響因素。得出結論：抑價是因為二級市場的溢價造成的，以首日換手率為主要方式的投機行為是影響IPO抑價水平的最重要因素。 最后，對于存在“破發(fā)現(xiàn)象”的企業(yè)，分情況使用線性回歸方法探討總結了造成“破發(fā)現(xiàn)象”的相關影響因素。研究結果發(fā)現(xiàn)造成“首日破發(fā)”和“復權破發(fā)”的影響因素有很大的差異性。 本文創(chuàng)新點在于首次綜合運用了剩余收益法、隨機邊界分析方法和分位數(shù)回歸模型來研究創(chuàng)業(yè)板IPO定價合理性；首次深入分析了破發(fā)現(xiàn)象，將創(chuàng)業(yè)板破發(fā)的股票獨立出來進行研究，并細分為“首日破發(fā)”和“復權破發(fā)”兩種情形，，分析兩者的差異和原因。
[Abstract]:In October 30th 2009, China's gem market was officially launched, which has been widely concerned by all parties in the market. To this day, gem has made outstanding contributions to the capital market, but also exposed many problems. Among them, "three high phenomenon (high issue price, high price-earnings ratio, high raising amount)" is the most serious. Among them, high issue price is the core of the problem. In addition, "break" phenomenon is also very serious. The purpose of this study is to find out whether IPO pricing reflects the intrinsic value of enterprise stocks in China's gem market. In order to promote the healthy and orderly development of China's capital market and improve the operation efficiency of the gem market, the influencing factors and corresponding policies and suggestions of the "breakage phenomenon" are discussed in order to promote the healthy and orderly development of the capital market in China. In this paper, the gem 355 enterprises as a sample, through theoretical analysis and empirical methods to study the pricing of IPO. In the empirical study, the use of residual income model, stochastic boundary analysis method. Quantile regression method and least square method are used to study the rationality of pricing. Firstly, the intrinsic value of stock is measured and evaluated according to the residual return model. Using the stochastic boundary model, the paper analyzes the deviation degree between the issuing price and the intrinsic value of the enterprise stock, and finally draws the conclusion that the IPO price of 20% is generally higher than the intrinsic value of the enterprise stock. The underpricing of IPO is not due to deliberate underpricing in the primary market. On this basis, the quantile regression method is used to further analyze the real factors of underpricing combined with the secondary market. The conclusion is that the underpricing is caused by the premium in the secondary market. Speculative behavior with the first day turnover rate as the main way is the most important factor affecting the IPO underpricing level. Finally, for the existence of "break the phenomenon" of enterprises. By using linear regression method, this paper sums up the influence factors of "break". The results show that there are great differences between the factors of "first day break" and "return right break". The innovation of this paper is that the residual income method, stochastic boundary analysis method and quantile regression model are used for the first time to study the rationality of IPO pricing in gem. In this paper, the phenomenon of breaking hair is analyzed deeply for the first time, and the stock of gem break is studied independently, which is divided into two situations: first day break and repeat right break, and the difference and reason between them are analyzed.
【學位授予單位】：陜西科技大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F830.42

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本文編號：1472430