中國創(chuàng)業(yè)板市場IPO抑價現(xiàn)象實證研究.pdf

1、摘要作為證券研究領域的十大謎團之一，IPO抑價之謎是國內外金融學者研究的重點課題。相對于西方成熟資本市場和新興發(fā)展中國家資本市場來說，我國股票市場IPO抑價率明顯偏高。超高的IPO抑價率，不僅造成股票市場資金供給與需求矛盾加劇，資金配置效率低下，而且加大了新股價格波動性，給投資者帶來巨額損失。作為中小高新型企業(yè)上市融資的全新平臺，創(chuàng)業(yè)板市場的推出意義重大，但是創(chuàng)業(yè)板市場IPO高抑價現(xiàn)象也引起業(yè)內廣泛關注。因此，結合創(chuàng)業(yè)板自身特點，對我國

2、創(chuàng)業(yè)板市場IPO抑價現(xiàn)象進行研究，尋找影響其高抑價的因素，并在此基礎上進行有針對性的改革，具有深刻的理論意義和現(xiàn)實意義。論文以2009年lO月30日至2010年12月31日在創(chuàng)業(yè)板上市的153只新股作為研究樣本，從其招股說明書中選取能夠反應公司內在價值的多項財務指標對上市公司的發(fā)行價格和交易價格進行主成分回歸分析，以判斷高抑價率主要是由一級市場發(fā)行價格過低還是二級市場交易價格過高引起的。在此基礎上參考國內外有關IPO抑價的理論文獻，結合

3、我國創(chuàng)業(yè)板市場的實際情況，選取14個可能影響創(chuàng)業(yè)板IPO抑價率的因素，建立多元回歸線性模型，利用逐步回歸方法，剔除對IPO抑價率影響不顯著的因素，得到最優(yōu)解釋模型。實證結果發(fā)現(xiàn)，創(chuàng)業(yè)板市場發(fā)行價格和交易價格均與公司的內在價值存在偏離，一級市場定價效率過低和二級市場投機性太強共同造成創(chuàng)業(yè)板IPO高抑價率。在選取的14種可能影響到創(chuàng)業(yè)板抑價率的因素中，上市首日換手率、中簽率、申購日和上市日時間間隔、每股凈資產、籌資股本總額和流通股數量6個指

4、標通過了顯著性檢驗，因此，論文認為，投資者投機心理、發(fā)行人和投資者之間信息不對稱及創(chuàng)業(yè)板股票需求大于供給的矛盾是導致創(chuàng)業(yè)板高抑價率的重要原因。最后，論文根據實證研究結果，提出相應政策建議。關鍵詞：創(chuàng)業(yè)板；IPO抑價；定價合理性；逐步回歸；主成分分析AbstractAsoneofthetoptenpuzzlesinthefieldofsecuritiesresearchIPOunderpricingiSthekeyfinancialtop

5、icwhichthedomesticandforeignscholarsfocusedonComparedwithwesterncountries’maturecapitalmarketsandemergingdevelopingcountries’capitalmarkets，IPOunderpricinginChina’SstockmarketwassignificantlyhighUltrahigIlIPOunderpricing

6、，notonlycauseddeepcontradictionsbetweensupplyanddemandofthestockmarket，inefficientallocationoffunds，butalsoincreasedthevolatilityofnewsharesgivinginvestorshugelossesAsahighnewplatforillforsmallandmediumenterprisestaisefu

7、nds，GEM’Sestablishmenthasgreatsignificance，butthehi曲IPOunderpricingrateofGEMalsocausedwidespreadconcernThereforecombinedwiththeGEM’SowncharacteristicsstudyingthephenomenonofIPOunderpricingonthegrowthenterprisemarket，find

8、theimpactingfactorsforitshighunderpricingrateandonthisbasisfortargetedreformshasprofoundtheoreticalandpracticalsignificanceThePapertakes153newstockswhichpublicofferingsfromOctober30th，2009toDecember3lst，2010inGEMassample

9、s，selectinganumberoffinancialindicatorswhichCanresponsetheintrinsicValueofthelistedcompaniesandusingtheprincipalcomponentanalysismethodtoregresstheOfferingpriceandthetradingpriceaimtojudgetherateof11igIlunderpricingdeter

10、minedmainlybythelowofferingpriceinprimarymarketorhightradingpriceinsecondarymarketOnthisbasis，referringtodomesticandforeignIPOunderpricingtheories，combinedwithactualsituationoftheGEM，selecting14factorswhichmayaffectthera

11、teofIP0underpricingofGEMestablishingmultiplelinearregressionmodel，usingthestepwiseregressionmethod，excludingtheinsignificantfactorsonIPOunderpricing，getthebestexplanatorymodelTheempiricalresultsindicatedthattheOfferingpr

12、iceandthetradingpriceontheGEMdeviatedfromthecompany’SintrinsicvaluethelOWpricinge伍ciencyonprimarymarketandspeculativemoodonsecondarymarketisthecommoncauseofhi曲IPOunderpricingofGEMThe14selectedfactorswhichmayaffecttherate

13、ofunderpricingofGEM，turnoverratelistedonthefirstday10tteryrate，theintervalbetweenthepurchasingdateandthelistingdate，thenetassetspershare，totalsharecapitalsandnumberoftradablesharespassedthesignificanttestTherefore，invest

14、ors’speculation，informationasymmetrybetweenissuersandinvestorsandthecontradictionsbetweensupplyanddemandofthestockmarketonGEMistheimportantreasonforhighrateofunderpricingFinally，basedontheempiricalresults，givingthecorres