中國(guó)創(chuàng)業(yè)板市場(chǎng)IPO抑價(jià)現(xiàn)象實(shí)證研究.pdf

1、摘要作為證券研究領(lǐng)域的十大謎團(tuán)之一，IPO抑價(jià)之謎是國(guó)內(nèi)外金融學(xué)者研究的重點(diǎn)課題。相對(duì)于西方成熟資本市場(chǎng)和新興發(fā)展中國(guó)家資本市場(chǎng)來(lái)說(shuō)，我國(guó)股票市場(chǎng)IPO抑價(jià)率明顯偏高。超高的IPO抑價(jià)率，不僅造成股票市場(chǎng)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(jià)格波動(dòng)性，給投資者帶來(lái)巨額損失。作為中小高新型企業(yè)上市融資的全新平臺(tái)，創(chuàng)業(yè)板市場(chǎng)的推出意義重大，但是創(chuàng)業(yè)板市場(chǎng)IPO高抑價(jià)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(diǎn)，對(duì)我國(guó)

2、創(chuàng)業(yè)板市場(chǎng)IPO抑價(jià)現(xiàn)象進(jìn)行研究，尋找影響其高抑價(jià)的因素，并在此基礎(chǔ)上進(jìn)行有針對(duì)性的改革，具有深刻的理論意義和現(xiàn)實(shí)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(shuō)明書中選取能夠反應(yīng)公司內(nèi)在價(jià)值的多項(xiàng)財(cái)務(wù)指標(biāo)對(duì)上市公司的發(fā)行價(jià)格和交易價(jià)格進(jìn)行主成分回歸分析，以判斷高抑價(jià)率主要是由一級(jí)市場(chǎng)發(fā)行價(jià)格過(guò)低還是二級(jí)市場(chǎng)交易價(jià)格過(guò)高引起的。在此基礎(chǔ)上參考國(guó)內(nèi)外有關(guān)IPO抑價(jià)的理論文獻(xiàn)，結(jié)合

3、我國(guó)創(chuàng)業(yè)板市場(chǎng)的實(shí)際情況，選取14個(gè)可能影響創(chuàng)業(yè)板IPO抑價(jià)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(duì)IPO抑價(jià)率影響不顯著的因素，得到最優(yōu)解釋模型。實(shí)證結(jié)果發(fā)現(xiàn)，創(chuàng)業(yè)板市場(chǎng)發(fā)行價(jià)格和交易價(jià)格均與公司的內(nèi)在價(jià)值存在偏離，一級(jí)市場(chǎng)定價(jià)效率過(guò)低和二級(jí)市場(chǎng)投機(jī)性太強(qiáng)共同造成創(chuàng)業(yè)板IPO高抑價(jià)率。在選取的14種可能影響到創(chuàng)業(yè)板抑價(jià)率的因素中，上市首日換手率、中簽率、申購(gòu)日和上市日時(shí)間間隔、每股凈資產(chǎn)、籌資股本總額和流通股數(shù)量6個(gè)指

4、標(biāo)通過(guò)了顯著性檢驗(yàn)，因此，論文認(rèn)為，投資者投機(jī)心理、發(fā)行人和投資者之間信息不對(duì)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(jià)率的重要原因。最后，論文根據(jù)實(shí)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(jià)；定價(jià)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