【作者】 杨建平；

【导师】 金秀；

【作者基本信息】 东北大学 ， 金融学， 2007， 硕士

【摘要】 新股定价是否合理将影响资本是否被有效利用,IPO抑价程度直接反映了新股定价的准确性与合理性。因此研究IPO抑价问题产生的根本原因,对于指导股票市场投资者形成正确的价值投资理念,规避发行市场发行风险,减少交易市场股价泡沫都有着十分重要的现实意义。本文以1999年至2007年410只在沪市证券交易所首次公开发行的新股为样本,采用实证分析的方法检验了我国上证A股市场IPO的抑价现象。主要作了以下工作：(1)实证研究数据选择和处理。通过引入虚拟变量、因子分析等方法对定性数据和定量数据进行了前期处理。(2)实证研究。结合单因素分析和其他学者的研究,提出9个实证研究假说,并采用逐步回归法建立了多元回归模型,对IPO抑价程度的影响因素进行了多因素分析。进一步研究发行制度改革对IPO抑价程度及IPO市场结构的影响。(3)在实证研究的基础上,从IPO主体的不同角度分析了各自的行为动机,IPO抑价程度偏高实际上受到整个股票市场内诸多因素的共同影响,IPO抑价问题的实质是由政府有意创造的发行市场制度性偏低定价和在交易市场中投资者过度投机共同作用的结果。针对转变监管部门监管理念、完善首次公开发行制度、完善信息披露制度、抑制投资者的过度投机四个方面,提出了解决IPO抑价问题的对策建议。更多还原

【Abstract】 Whether the new share pricing is reasonable will affect whether the resources are used effectively, and the degree of IPO directly reflect the accuracy and rationality of the new share pricing. Therefore there is extremely vital and practical significance to study the real reason of IPO underpricing so we can instruct the market to form the correct value investment idea, avoid issue risk of the market, and reduce the stock price bubbles of trading market.This article uses 410 new stocks of initial public offerings in Shanghai from 1999 to 2007 as a data, and does empirical study to test the phenomenon of IPO underpricing in China A-shares market. The main works done in this article include:(1) In the part of empirical study design, we screen explanatory variables from three aspects of the intrinsic value information, the issue information and the market environmental information and use dummy variable method and factor analysis to process the data in advance.(2) In the part of empirical study, after one-factor analysis, we propose 9 hypotheses, use stepwise method to establish the multi-dimensional return model and do multi-factors analysis about the influence factor of IPO underpricing. From the aspect of pricing decision-making diversities between market main bodies, we study IPO underpricing resulted from information asymmetry, as well as the reform of stock issue system how to reflect IPO underpricing degree and IPO market structure.(3) On the basic of empirical study, aiming at issue market, utilize information economics method to analyze the gaming process among the market main bodies and the formation mechanism of IPO underpricing. In view of the trading market, we have proven investor’s non-rationality and excessive speculation by using behavior economic.Finally,in view of changing supervising notion, consummating the issue pricing system, also the information disclosure system and restraining speculation of investor, propose suggestions about solving the problem of IPO underpricing.更多还原