發(fā)布時間：2018-06-08 22:20

  本文選題：創(chuàng)業(yè)板 + IPO抑價�。� 參考：《東北財經(jīng)大學(xué)》2013年碩士論文

【摘要】：2009年10月底我國成功推出創(chuàng)業(yè)板,這為我國證券市場注入了新鮮的血液,對推動我國資本市場的不斷發(fā)展和完善也將起到舉足輕重的作用。然而,剛剛起步的創(chuàng)業(yè)板也同樣面臨著各種問題。如上市企業(yè)資金超募現(xiàn)象、高管離職套現(xiàn)現(xiàn)象、散戶不理性投資導(dǎo)致的套牢現(xiàn)象等等,這些現(xiàn)象無疑會影響到我國創(chuàng)業(yè)板的健康發(fā)展,那么產(chǎn)生這些問題的真正根源是什么——IPO抑價。創(chuàng)業(yè)板新股抑價幅度大且長期居高不下,發(fā)行價格和交易價格與股票內(nèi)在價值的嚴(yán)重偏離對我國高新技術(shù)企業(yè)乃至資本市場的健康發(fā)展都將帶來不利的影響：第一,一級市場上的穩(wěn)賺不賠,極大提高了新股申購的無風(fēng)險收益,致使大量本來可以用在生產(chǎn)流通領(lǐng)域的資金進(jìn)入一級市場,助長投機(jī)泡沫的同時導(dǎo)致證券市場資金不能合理的配置,創(chuàng)業(yè)板的資源配置功能大大削弱。第二,一級市場上購買在二級市場上賣掉獲利,這種短期套利行為吸引巨額資金短期內(nèi)進(jìn)出創(chuàng)業(yè)板,勢必造成股市非正常的波動。本來創(chuàng)業(yè)板市場的投資風(fēng)險大于主板市場,這樣會進(jìn)一步加大投資創(chuàng)業(yè)板的風(fēng)險,既不利于投資者的投資,也不利于企業(yè)的長期發(fā)展。第三,創(chuàng)業(yè)板IPO高抑價現(xiàn)象是以過高的發(fā)行收益率泡沫為支撐的,隨著時間的推移,股票價格終究是會向其內(nèi)在價值回歸的。當(dāng)泡沫破裂的時候,創(chuàng)業(yè)板必定受到?jīng)_擊,并且很可能會波及主板市場,對我國資本市場的發(fā)展造成致命的打擊。 IPO抑價現(xiàn)象很復(fù)雜,市場有效假說和套利定價理論等這些傳統(tǒng)的經(jīng)濟(jì)學(xué)理論已經(jīng)不足以解釋這一復(fù)雜的現(xiàn)象。雖然非對稱信息理論模型一直在學(xué)術(shù)界盛行,但是所有關(guān)于IPO抑價理論都過分強(qiáng)調(diào)了自己的理論解釋而忽視其他理論對IPO抑價的解釋。同時,我國證券市場發(fā)展起步晚,大部分個人投資者的投資行為很不理性,造成股票二級市場不完全有效,這也就大大削弱了非對稱理論對IPO的解釋能力。行為金融學(xué)卻能在市場不完全有效得情況下對IPO抑價做出解釋,因此該理論也會在以后的研究中不斷得到應(yīng)用和發(fā)展。 從現(xiàn)有的實(shí)證研究來看,主要使用OLS和主成分分析法來檢驗(yàn)一級市場的抑價。這些回歸使用的解釋變量都是實(shí)際的發(fā)行價,因而,當(dāng)一級市場存在人為折價發(fā)行時,這些回歸方程就已經(jīng)低估了IPO的真實(shí)價值,回歸結(jié)果當(dāng)然也就缺乏可信度。然而,隨機(jī)前沿模型卻能克服這些不足,為我們研究創(chuàng)業(yè)板IPO抑價現(xiàn)象開啟了一扇新的大門 本文在借鑒國內(nèi)外學(xué)者研究成果的基礎(chǔ)上,將創(chuàng)業(yè)板新股抑價在一二級市場上分開來研究。將檢驗(yàn)生產(chǎn)過程中技術(shù)效率的隨機(jī)前沿方法運(yùn)用到新股定價中來,應(yīng)用隨機(jī)前沿分析軟件Front4.1對IPO定價效率進(jìn)行了實(shí)證研究,以驗(yàn)證一級市場是否存在人為壓價發(fā)行新股的行為,將IPO抑價的主要原因定位到二級市場。 同時,在對IPO抑價解釋上,傳統(tǒng)經(jīng)濟(jì)學(xué)顯得越來越乏力,而行為金融學(xué)理論也越來越被人們接受。創(chuàng)業(yè)板新股”三高”現(xiàn)象與IPO高抑價現(xiàn)象并存,投資者的非理性情緒可能是重要的原因。一方面,我國創(chuàng)業(yè)板發(fā)行的新股都表現(xiàn)出“稀缺性”,大部分的投資者很難在一級市場上申購成功,這就把投資者對新股的盲目熱情帶到了二級市場,導(dǎo)致過度投機(jī),進(jìn)而推高了股票的首發(fā)價格。另一方面,我國證券市場起步較晚,國內(nèi)投資者素質(zhì)低,投資理論匱乏。這就導(dǎo)致對市場信息的反饋不理性,羊群效應(yīng)明顯。因此,本文首先尋找度量股票市場情緒的指標(biāo)和代表個股情緒的指標(biāo),然后通過主成分分析法來構(gòu)建投資者情緒綜合指標(biāo),然后在加入一些控制變量的情況下對創(chuàng)業(yè)板IPO抑價率進(jìn)行多元回歸,進(jìn)而來判斷投資者情緒是否是創(chuàng)業(yè)板IPO抑價的真正來源。 本文的主要結(jié)論如下：1.我國創(chuàng)業(yè)板IPO抑價不是來源于一級市場的抑價,更可能是源于創(chuàng)業(yè)板二級市場的溢價。2.投資者情緒是影響IPO抑價率的最主要的因素,我國創(chuàng)業(yè)板IPO抑價的真正原因是二級市場的溢價。3.我國創(chuàng)業(yè)板上市企業(yè)的數(shù)量和規(guī)模都偏小,股票供給不足,容易造成投資者通過投機(jī)炒作來提高二級市場的股票價格,從而導(dǎo)致新股的高抑價率。4.隨著時間的推移,新股發(fā)行的抑價率越來越低。
[Abstract]:At the end of October 2009, China successfully launched the gem, which has injected fresh blood into China's securities market and plays an important role in promoting the continuous development and improvement of China's capital market. However, the startups that have just started also face various problems, such as the phenomenon of excessive fund raising of listed enterprises and the phenomenon of turnover of senior executives, These phenomena will undoubtedly affect the healthy development of the gem in China. What is the real root of these problems is the IPO underpricing, the large and long term underpricing of the gem IPOs, the serious deviation between the issue price and the transaction price and the intrinsic value of the stock to our country The healthy development of the high and new technology enterprises and even the capital market will bring adverse effects: the steady earnings in the first, first level market will greatly improve the risk-free income of the new share purchase, resulting in a large number of funds that could have been used in the field of production and circulation to enter the first level market, thus contributing to the speculative bubble and the lack of funds in the securities market. With reasonable allocation, the resource allocation function of the gem is greatly weakened. The purchase of the second, first level market is sold in the two level market, and the short-term arbitrage attracts a huge amount of money to enter the gem for a short time, which will cause the abnormal volatility of the stock market. The venture capital market will have more investment risk than the main board market, which will further add to the market. The risk of the big investment gem is neither beneficial to the investor's investment nor to the long-term development of the enterprise. Third, the high price underpricing of the gem is supported by the high issuance rate of return bubble, and the stock price will eventually return to its intrinsic value after the passage of time. When the bubble burst, the gem must be washed out. Hitting, and likely to affect the main board market, will cause a fatal blow to the development of China's capital market.
The phenomenon of IPO underpricing is very complicated. The traditional economic theories, such as the market effective hypothesis and the arbitrage pricing theory, have not been enough to explain this complex phenomenon. Although the asymmetric information theory model has been prevalent in the academic world, all the theories about IPO underpricing have overemphasized the theoretical explanation of its own and ignored the other theories to IPO At the same time, the development of the securities market in China started late, and the investment behavior of most individual investors was irrational, which resulted in the incomplete effectiveness of the two level stock market, which greatly weakened the interpretation ability of the asymmetric theory to the IPO. This theory will also be applied and developed continuously in future research.
From the existing empirical study, OLS and principal component analysis are used to test the underpricing of the first class market. These regression variables are all actual issuing prices. Therefore, these regression equations have underestimated the true value of IPO when the first level market exists, and the regression results are certainly lack of credibility. However, the stochastic frontier model can overcome these shortcomings, which opens a new door for us to study the IPO underpricing phenomenon of gem.
On the basis of the research results of domestic and foreign scholars, this paper studies the IPO underpricing in the one or two level market. The stochastic frontier method of testing the technological efficiency in the production process is applied to the IPO pricing, and the IPO pricing efficiency is empirically studied by the stochastic frontier analysis software Front4.1, in order to verify the first level market. Whether there is a behavior of issuing new shares artificially at a price, and locate the main reason of IPO underpricing to the two tier market.
At the same time, in the explanation of the IPO underpricing, the traditional economics is becoming more and more weak, and the behavioral finance theory is more and more accepted. The phenomenon of the "three high" of the gem new shares and the IPO high underpricing phenomenon coexist, the irrational emotion of the investors may be the important reason. On the one hand, the new shares issued by the gem in our country all show the "scarcity". "Most of the investors are difficult to succeed in the first level market, which brings the blind enthusiasm of the investors to the two level market, which leads to excessive speculation and higher initial price of the stock. On the other hand, China's securities market starts late, the quality of the domestic investors is low, and the investment theory is scarce. This leads to the market information. The feedback is irrational, the herd effect is obvious. Therefore, this paper first seeks to measure the index of the stock market sentiment and the index representing the sentiment of the stock, and then constructs the investor sentiment index by the principal component analysis method, and then multiple regression on the IPO underpricing rate of the venture board in the case of some control variables. Investor sentiment is the real source of gem IPO underpricing.
The main conclusions of this paper are as follows: 1. the IPO underpricing of China's gem is not from the underpricing of the first level market, but also the premium.2. investor sentiment derived from the gem of the gem is the most important factor affecting the IPO underpricing rate. The real reason for the IPO underpricing of the gem in China is the premium of the two level market.3. in China's GEM listed enterprises. The quantity and scale are small and the stock supply is insufficient, it is easy to cause the investors to raise the stock price of the two level market by speculation, which leads to the high underpricing rate.4. of new shares, and the rate of underpricing of new stock issue is getting lower and lower as time goes on.
【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51

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本文編號：1997409