【作者】 梁洪昀；

【导师】 宋逢明；

【作者基本信息】 清华大学 ， 数量经济学， 2002， 博士

【摘要】 本文紧密结合我国股票市场的实际情况，指出A股一级市场投资收益的取得具备一定特殊性。投资者无需像在二级市场进行投资那样，要对公司及市场进行分析，或者进行信息搜集等活动，而只需将资金简单地平均分配至各只拟发行的新股中，便可以取得较低风险下比较可观的投资收益。造成这种特殊性的原因可以分为多个方面，最重要的包括一二级市场之间巨大而稳定的价差；包括被巨额申购资金和上网定价发行方式平均化了的投资收益；还包括一二级市场投资收益的相对独立性，等等。这一特性使得资金及投资者在一二级市场出现分离成为可能。在一定条件下，某些股票市场投资者和他们持有的资金将仅投至一级市场，唯一进入二级市场的行为便是待新股上市后迅速将其抛售。“战略投资者”的引入也并未从根本上解决这一问题，而仅仅起到了推迟一部分股票抛售时间的作用。本文采取模型推导与实证研究相结合的方法，首先构建了一个股票市场投资者预期效用最大化模型，通过对它的讨论，分析了短期内出现一二级市场资金及投资者分离现象的可能性与条件。之后，通过以事件研究为主的实证分析对模型的立论基础和某些推论进行了检验。研究比较全面地涉及了与首次公开发行（IPO）相关的多方面问题，如抑价、新股上市后长期表现等等，对我国A股一级市场进行了全方位的考察。本文最突出的特点在于，没有简单套用以西方成熟市场为基础得出的理论，而是借鉴其研究方法，以我国股票市场的某些具体特性为基础进行立论，透过较为独特的视角对A股一二级市场的分离性特征进行了描述。了解这种特性，有助于理解我国股票市场当中存在的问题，明确其有待进一步完善的地方，为股市今后的健康发展提供参考。更多还原

【Abstract】 By considering the actual situation of the stock market of China, this paper suggests that there is a specific characteristic in acquiring earnings in the primary market. Investors do not need to analyze the corporation or the market, nor do they need to collect information. They can receive considerable earnings at a low risk by equally dividing their money to the new issues. There are several reasons for this particularity, including the huge and stable price gap between the primary and secondary market, the rate of return averaged by both the immense amount of subscribing funds and the issuing method and the individuality of the earnings between the primary and the secondary markets. Such a specific characteristic makes it possible for the separation of both the investors and the funds between the primary and the secondary markets. Under certain circumstances, some of the investors never make secondary market investment; they only subscribe new issues and sell them out as soon as they are listed. The introduction of "strategic investors" does not completely sovle this problem, but simply delays the time to sell the new issues.This paper makes both theoretical and empirical investigation to the stock market of China. A model is formed and analyzed at the beginning to discuss the possibility and condition that the phenomenon of fund and investor separation between the primary and secondary markets emerges. Then both the basis and some of the inferences are tested through empirical studies. Many IPO related problems in China are involved, such as underpricing, the long-term performance of IPO and so on.The most prominent feature of this paper is that it does not simply apply the theories based on western markets; on the contrary, it presents its arguments on the basis of the characteristics of the domestic stock market and describes the seperation of the primary and secondary markets of A-share stocks. Knowing such a paricularity is very helpful to understand the problems in the stock market of China to provide references for its future development.更多还原