中国上证A股IPO折价实证研究—不同发行准入制度下的比较分析

【作者】 訾猛；

【导师】 李洁明；

【作者基本信息】 复旦大学 ， 国民经济学， 2008， 硕士

【摘要】 IPO折价是指股票的发行价格低于上市首日价格,从而产生正的初始回报的现象。IPO折价问题普遍存在于全球新股发行市场,到目前为止,IPO折价仍然是困扰金融学界的难题,国内外许多学者从不同的理论和实证角度对这一现象进行了解释。全文共分为五章:第一章为绪论,简单介绍了本文的背景意义、研究思路及特点等。第二章为国内外文献综述,介绍了国外关于IPO折价的理论以及国内外的实证研究结果,并对国内外理论及实证结果进行了简要评价。第三章为发行制度概述,简单阐述了不同的股票发行制度以及各种制度的特点及影响。第四章为IPO折价实证研究部分,分四阶段研究了我国在不同发行制度下的IPO折价特征。通过研究我们发现我国证券市场IPO折价率呈现两个主要特征:一是其绝对值远远高于国外市场平均水平;二是近年来有逐年下降的趋势,但仍处于高位运行状态。同时,我们发现随着发行制度的完善,大部分指标的显著性逐渐增强,更具有解释能力。第五章为结论与政策建议,深入分析了我国IPO折价的深层次原因,包括:发行制度不健全;股票供给不足;投资者不够成熟;券商没有发挥中介机构应有的作用。并据此提出政策建议,为股市的健康发展提供政策参考。更多还原

【Abstract】 IPO(Initial public offerings) underpricing refers to the phenomenon that the issue price is lower than the first-day market closing price, which brings the positive initial returns. The problem of BPO underpricing exists in the global new stock issuing market universally, until now, it is still a puzzle of the kingdom of finance, many native and foreign scholars have explained the phenomenon from different angles both theoretically and empirically.The paper is divided into five chapters:The first chapter is introduction, which introduces the paper’s background, meaning, train of thought and characteristics etc..The second chapter is the domestic and foreign review of literature, which introduces foreign theories of IPO underpricing and the empirical research both at home and abroad.The third chapter is summary of issue institution, which introduces different issue institutions and their characteristics.The fourth chapter is empirical research, which studies the IPO underpricing characteristics in different issue institutions from four stages. Then we find that our countries’ stock market IPO underpricing has two main characteristics: one is that its absolute value is even more higher than the average value of foreign market; another is that it presents downward trend, but still lies in high level. Meanwhile,we find that most of the indexes’ significance is increasing gradually and its explanation is much stronger.The fifth chapter is conclusion and policy suggestions, analyses the deep-seated reasons of IPO underpricing, which include: the imperfect issue institution; the undersupplying of the stock; the immature investors; the securities company don’t play their role as the intermediaries. Tthen according to the reasons, we give some suggestions for the stock market’s healthy development.更多还原