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中国资本市场IPO首日破发及市场表现研究

发布时间:2019-01-11 12:47
【摘要】:2010年中国资本市场开始出现了大量新股首日破发现象,到2012年新股首日破发现象依然普遍,金融界和学术界都普遍认为三高发行(高发行价、高市盈率、高募资额)是新股大量破发的主要原因,经过理论分析并非如此,那究竟是什么原因导致最近三年新股大量破发,破发新股的市场表现与未破发新股又有何差异?由于破发是国内最近三年才大量出现的异常现象,国内外对破发现象的研究均较少,本文旨在探索三高发行对新股破发的影响,挖掘其他影响新股破发以及破发程度的因素,然后分析破发与未破发股票在市场上的表现差异,一方面充实国内关于破发方面的研究,另一方面也对投资者认识新股破发和参与市场投资具有实践意义。 本文选择2010年和2011年在国内上市的625个IPO样本,其中首日破发样本116个。首先,本文分析了三高发行以及IPO五个利益相关者(发行公司、风险投资机构、承销商、机构投资者、一般投资者)对首日破发的影响;然后,选取破发样本分析部分因素对破发程度的影响;最后,本文比较了破发股票与未破发股票上市后一年的市场表现差异,进一步通过实证分析首日破发以及其他因素对股票上市后市场表现的影响。 本文主要研究结论如下:(1)三高发行并不会导致新股更容易破发,发行市盈率越高、募资规模越大,反而不容易破发;(2)IPO五个利益相关者中,承销商经验越丰富越不容易破发,机构投资者认购越积极越容易破发,一般投资者认购越积极越不容易破发,发行公司和风险投资对破发没有显著影响;(3)破发公司上市后平均超额收益率高于未破发公司,上市后120个交易日,累计超额收益率差值最大高达8%-9%,首日破发对上市后市场表现具有显著的正向影响,首日破发是投资者的过度反应;(4)一般投资者的新股投资情绪越高,新股越不容易破发,但是上市后的市场表现却更差。
[Abstract]:In 2010, China's capital market began to see a large number of first-day breakups of new shares, and by 2012, the phenomenon of first-day breakups of new shares was still widespread. The financial and academic circles generally agreed that the three high issues (high issue price, high price-earnings ratio, high price-to-earnings ratio), High amount of fund-raising) is the main reason for a large number of new shares broken, after theoretical analysis is not the case, what is the reason for the recent three years a large number of new shares break, break the market performance of new shares and not broken new shares and what is the difference? As breaking is an abnormal phenomenon in China only in the last three years, and there is little research on it at home and abroad, this paper aims to explore the influence of the three high issuance on the breaking of new shares, and to excavate other factors that affect the breaking of new shares and the degree of breaking. Then the paper analyzes the difference between broken and unbroken stocks in the market. On the one hand, it enriches the domestic research on break, on the other hand, it has practical significance for investors to understand new stock break and participate in market investment. This paper selects 625 IPO samples listed in China in 2010 and 2011, of which 116 are first-day breaking samples. First of all, this paper analyzes the impact of the three high issues and the five stakeholders of IPO (issuing company, venture capital institution, underwriter, institutional investor, general investor) on the first-day break. Then, the influence of some factors on the degree of breakage is analyzed. Finally, this paper compares the difference of market performance between broken stock and unbroken stock one year after listing, and further analyzes the influence of the first day break and other factors on the market performance after listing. The main conclusions of this paper are as follows: (1) the issuance of the three high issues will not lead to more easily break the IPO, the higher the price-earnings ratio, the larger the size of the fund-raising, but not easy to break; (2) among the five stakeholders of IPO, the more experienced the underwriters are, the less likely they are to break, the more active the institutional investors are, the easier it is to break, and the more active the retail investors are, the less likely they are to break. The issuing company and venture capital have no significant influence on the breakage; (3) the average excess rate of return after listing of broken hair company is higher than that of unbroken company, 120 trading days after listing, the accumulative excess yield difference is as high as 8- 9, and the first day break has significant positive influence on the market performance after listing. The first-day break was an overreaction from investors; (4) the higher the sentiment of new stock investment, the harder it is to break new stock, but the worse the market performance is after listing.
【学位授予单位】:复旦大学
【学位级别】:硕士
【学位授予年份】:2013
【分类号】:F832.51;F224

【参考文献】

相关期刊论文 前3条

1 付诗涵;陈琛;;中国证券市场过度反应现象实证研究[J];求索;2011年11期

2 刘硕;;我国股票市场新股破发现象原因浅析——基于Swarm的机构投资者行为探讨[J];商业时代;2010年28期

3 陆瑶;赵宇烨;;合资承销商影响新股破发率的实证研究[J];投资研究;2012年01期



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