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(lǐng)域的十大謎團之一，IPO抑價之謎是國內(nèi)外金融學(xué)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(nèi)廣泛關(guān)注。因此，結(jié)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(jìn)行研究，尋找影響其高抑價的因素，并在此基礎(chǔ)上進(jìn)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(yīng)公司內(nèi)在價值的多項財務(wù)指標(biāo)對上市公司的發(fā)行價格和交易價格進(jìn)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(chǔ)上參考國內(nèi)外有關(guān)IPO抑價的理論文獻(xiàn)，結(jié)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(jié)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(nèi)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(chǎn)、籌資股本總額和流通股數(shù)量6個指

4、標(biāo)通過了顯著性檢驗，因此，論文認(rèn)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(dǎo)致創(chuàng)業(yè)板高抑價率的重要原因。最后，論文根據(jù)實證研究結(jié)果，提出相應(yīng)政策建議。關(guān)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