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  本文關鍵詞：我國新股發(fā)行制度變遷下的抑價研究　出處：《復旦大學》2012年碩士論文　論文類型：學位論文

  更多相關文章： 新股發(fā)行制度變遷 新股抑價發(fā)行準入 發(fā)行方式 發(fā)行定價

【摘要】：僅20年時間,我國股票市場就走過成熟股票市場上百年的發(fā)展旅程,并取令人矚目的成績。截至2011年底,上交所成為世界第四大證券交易所、亞洲第二大證券交易所,深交所成為涵蓋主板、中小板和創(chuàng)業(yè)板的多層次的資本市場平臺。創(chuàng)立至今二十年,我國股票市場正逐步從相對單一、封閉的小規(guī)模市場轉向多層次、開放的金融平臺,在國際上的影響力也不斷增強,并已成為全球重要的資本市場之一,為我國經(jīng)濟持續(xù)發(fā)展發(fā)揮了巨大的作用。然而我國股票市場也存在諸多弊病,新股發(fā)行抑價情況嚴重(首日收益率過高)即是其中之一。過高的新股發(fā)行抑價率說明一級市場與二級市場股票價格差異巨大,容易讓中小投資者對新股中簽形成過高心理預期,吸引大量資金常年集中“打新股”,導致資金在一級市場和二級市場之間無序流動,不利于股市健康發(fā)展。 過去二十年是我國股票市場摸索的二十年,也是不斷解決困擾股市發(fā)展各種問題的二十年。市場參與主體最為關心的新股發(fā)行體制改革歷經(jīng)多輪調整,從審批制到核準制,從各形式的網(wǎng)下發(fā)行到網(wǎng)上發(fā)行,從固定價格到詢價發(fā)行,那么這些制度推出對新股發(fā)行抑價問題有何影響,作為新股發(fā)行制度主要組成部分的發(fā)行準入、發(fā)行方式和發(fā)行定價制度對新股抑價現(xiàn)象又有什么影響,今后的政策應當注重哪些方面的改變?本文通過對新股發(fā)行制度變遷下的抑價問題研究,嘗試回答上述問題。 本文在前人研究的基礎上,探討新股發(fā)行制度對新股發(fā)行抑價現(xiàn)象是否存在影響,以及影響程度如何。本文著眼十研究新股發(fā)行制度三個具體方面——發(fā)行準入、發(fā)行方式和發(fā)行定價——對新股發(fā)行抑價的影響。參照以往學者對新股發(fā)行制度變遷階段的劃分,考慮新股發(fā)行制度在樣本期間的法規(guī)和實際操作的變化,本章把樣本期間劃分為若干階段。在分析每一方面對抑價的影響時,將原來的樣本根據(jù)此方面制度變遷階段劃分為對應的子樣本,對子樣本進行描述性統(tǒng)計分析,然后運用單過程ANOVA分析檢驗具體發(fā)行制度方面的變遷對新股抑價產(chǎn)生何種影響。借鑒前人對新股發(fā)行抑價研究中常用的研究方法,本文采用虛擬變量區(qū)分不同階段,同時引入新股發(fā)行價、募集資本等控制變量檢驗新股發(fā)行制度對抑價的作用。 我國股票作為新興市場,已經(jīng)經(jīng)歷了若干監(jiān)管變化。新股發(fā)行制度已經(jīng)走過幾個發(fā)展階段,從一開始對新股供應量、定價等方面的嚴格控制,逐步走向以市場為導向、市場決定發(fā)行的方向。隨著新股發(fā)行制度不斷變遷,我國新股發(fā)行抑價情況逐步減輕。 我國新股發(fā)行制度主要包括發(fā)行準入、發(fā)行方式和發(fā)行定價三大方面,新股發(fā)行制度變遷亦即這三方面的變遷。發(fā)行準入制度從審批制的額度管理轉變?yōu)橹笜斯芾?抑價情況沒有好轉；之后發(fā)行準入制度沿著市場化的方向變革,抑價因此不斷降低。新股發(fā)行方式的變革中,向二級市場配售是一次政策的倒退,新股發(fā)行抑價沒有在這一政策影響下明顯緩解,但總體看來發(fā)行方式的不斷改革減少了新股發(fā)行抑價程度。從抑價問題的角度看,新股定價制度的變革在詢價制度之前都沒有明顯成效,詢價制度的建立對于緩解新股發(fā)行抑價起到明顯作用。
[Abstract]:In just 20 years, China's stock market will mature stock market through hundreds of years of development journey, and remarkable achievements. By the end of 2011, to become the world's fourth largest stock exchange, Asia's second largest stock exchange, the Shenzhen Stock Exchange became the cover board, small board and gem multi-level capital market platform. Founded in twenty years, China's stock market is gradually from relatively single, closed small market to a multi-level, open financial platform, international influence is also growing, and has become one of the world's major capital market, plays an important role for the sustainable development of China's economy. However, I China's stock market also has many disadvantages, IPO underpricing is serious (high rate of return on the first day) is one of them. The high IPO underpricing rate shows a market with two market share price The difference is huge. It is easy for small and medium-sized investors to form excessive psychological expectations for new stocks, attracting large amounts of capital and concentrating on new shares all the year round, resulting in a disorderly flow of funds between the primary and the two tier markets, which is not conducive to the healthy development of the stock market.
In the past twenty years, China's stock market is constantly groping for twenty years, to solve all kinds of problems plagued the development of the stock market for twenty years. Market participants are most concerned about the IPO reform after several rounds of adjustment, from the examination and approval system to the approval system, from the form of the net issuance to the online issuance, issuance from the fixed price to the launch of the system inquiry, the impact on the IPO underpricing, as the IPO system mainly composed of the issuance of access part of the issuing and pricing system and what is the impact on the IPO underpricing phenomenon, the future policy should focus on what to change? Based on the price of restraining the issuing system the attempt to answer the above questions.
In this paper, on the basis of previous studies, to explore the system of issuing new shares for the IPO underpricing phenomenon exists, and how the degree of influence. This paper focuses on the research of the system of issuing new shares ten three specific aspects: the issuance of access, distribution and pricing -- impact on IPO Underpricing. With reference to the previous scholars on the issuing system the division stage, considering the changes of IPO system in the sample period regulations and the actual operation, this chapter of the sample period is divided into several stages. In the analysis of every aspect of the underpricing, the original sample according to the division of the system change stage to the corresponding sub sample, sub sample descriptive statistics the analysis, and then use ANOVA to test the change process of single specific distribution system in terms of the impact on the IPO underpricing. Previous research on IPO Underpricing In this paper, the commonly used research methods, in which virtual variables are used to distinguish different stages, are introduced to control the effect of IPO on underpricing.
China's stock as an emerging market, has experienced a number of regulatory changes. The IPO system has gone through several stages of development, from the beginning of the supply of new shares, pricing and other aspects of strict control, gradually moving towards market-oriented, the market decided to issue directions. With the changes of new stock issuance system, China's IPO the price gradually reduced.
China's IPO system mainly includes the issue of access, distribution and pricing of the issue in three aspects, i.e. change the issuing system of the three aspects. The issuance of access system from the quota management approval system into index management, underpricing is not improved; after the issuance of access system change along the direction of the market, so the underpricing continue to reduce. IPO reform, to two level market placement is a policy setback, IPO underpricing in the impact of this policy without apparent ease, but overall the issue continues to reform to reduce the IPO underpricing. From underpricing perspective, IPO pricing system the change has not obvious effect on the inquiry system before the establishment of the inquiry system for the mitigation of IPO underpricing has played a significant role.

【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51

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本文編號：1357775