【作者】 王婷；

【导师】 胡志强；

【作者基本信息】 武汉大学 ， 金融工程， 2011， 博士

【摘要】 国外学者把新股发行市场上IPO公司在时间和行业上的聚集称为IPO浪潮,该现象在世界范围内的IPO市场上普遍存在。我国的IPO市场同样在不同时期表现出了IPO浪潮现象,但是,由于我国新股发行有着特殊的制度背景,其浪潮的表现形式与国外不尽相同。在理论上,本文从资本需求、宏观经济、行业发展、投资者情绪等方面分析了引发IPO浪潮的因素。由于我国的IPO发行节奏受到证监会严格控制,而证监会的新股发行审批决策与二级市场的行情具有极高的关联度,投资者作为资本市场资金供给方,其行为对证监会的发行审批节奏和公司的上市决策也有着重要影响,因此,本文除了利用国外现有理论分析我国IPO浪潮现象外,还针对我国A股市场,探讨了新股发行制度的转变和投资者表现对历次IPO浪潮产生的影响。本文认为IPO浪潮的形成是公司上市时机选择集中的结果,在此基础上,基于美式期权的思想建立了以公司价值最大化为目标的最优上市时机模型,并在模型中构造了公司审批等待时间这一变量来度量不同时期证监会审批时间对公司从提出申请到最终上市产生的时滞。在研究方法上,本文选取了沪、深两市1990年12月-2010年7月间的IPO数据进行实证分析。在对我国A股市场IPO浪潮的影响因素的实证分析中,选取GDP增长率、新增固定资产投资额、CPI增长率等宏观经济指标,企业景气指标等行业指标,以及货币供应量、股票指数走势、股市成交额等金融市场指标的进行了实证检验,逐一分析这些变量与IPO浪潮关联紧密度和对IPO数量波动影响的方向。在最优上市时机发生的市场条件的实证分析中,选择了市账比、市场回报率、市场回报率的波动率、市场总利润率、新公司超额回报率的不确定性、新公司超额市账比作为市场条件变量,分析了沪、深两市历次IPO浪潮发生时,这些市场条件变量在浪潮前后的变化,从而得到中国A股市场上,公司所选择的最优上市时机产生时所需要达到的市场条件。研究结果发现,新增固定资产投资、CPI增长率、货币供应量、交易所股价指数以及成交额均和IPO数量的变化有显著的因果关系,而GDP与IPO数量波动的相关性并不显著。固定资产投资相较于GDP更适合作为资本需求的代理变量。在IPO数量增长后居民消费价格指数会在短期内上升。此外,货币供应量的收放对股票市场的调节作用非常显著,其变化趋势和幅度对IPO数量变化趋势和幅度有引导作用,但在新股发行制度改革的特殊时期,制度的转变对于公司上市数量的影响更为直接和显著。研究还发现,当市场回报率的绝对值增加、市场回报率的波动性增加、新公司超额收益的波动率增加时,市场达到了最优上市条件,市场会观察到IPO数量的增多。这说明了我国的公司在进行IPO决策时,往往存在利用上市机会来追求短期收益的现象。造成这种现象的原因,在一定程度上市由于证监会暂停一级市场的IPO来调整二级市场下跌趋势,这种政策性的停发,使得IPO浪潮的形成的市场化程度降低,也造成了我国的公司在进行IPO时的圈钱行为,引发不良IPO浪潮的产生,这不利于市场的健康发展。因此,在我国的A股市场上,当需要调整IPO市场的发行节奏时,货币供应量是最迅速有效的政策工具,但制度的改革和转变对于公司是否提出IPO申请和证监会对公司的上市申请会具有更加直接的刺激作用。监管当局应对引发IPO浪潮的相关市场指标进行监控,对IPO审批节奏进行适当调整以平滑IPO的不利波动。更多还原

【Abstract】 Foreign scholars call clustering in time and industry in IPO market as IPO waves. IPO waves exist in many security markets in many countries, including China. While China’s IPO market has a special system as background, so the performance is in some extent different from foreign countries.This paper makes theoretical analysis on the factors that have influence on IPO waves, including capital demand factor, macroeconomic factor, industry development factor, and investor sentiment factor. Considering the specialty of the institution and system for China’s IPO issuing, the rhythm of IPO in China’s issuing market is strictly controlled by China Securities Regulatory Commission, and the approval of new share issuance is firmly associated with the stocks’prices in secondary market. Investors as the supply side on the capital market, their behavior have important impact on the issuing rhythm and the companies’listing decision. For the reasons above, this article then discusses the impacts of the changes in the way of issuing IPO and activities of investors on the performance of waves of IPO. This paper holds the view that the formation of the IPO waves is the clustering of the IPO market timing selection, and on this basis, establishes a optimal market timing model for the company with the to objective of maximizing the value of the company, based on the principle of American option, and a variable is set to measure the waiting time from IPO application to the Commission’s finally to approval in different periods.This paper selects the data in Shanghai and Shenzhen stock market from December 1990 to July 2010 between for empirical analysis. In the empirical analysis of IPO waves on the A-share market, the GDP growth, fixed investment, CPI growth rate as macroeconomic indicators, business climate indicators as industry indicators, and the money supply, stock index, the stock market turnover as financial market indicators are chosen, each of the extent and direction of the those variables’influence on the fluctuation of IPO volume is tested. In the empirical analysis of market timing, this paper choose a market/book ratio, market return, volatility of market returns, the total market profitability, the new company the uncertainty of the excess rate of return, the new company accounts as the indicators of market conditions, and makes comparisons on the change of those variables before and after the IPO waves in Shanghai and Shenzhen market, resulting the best market conditions when the optimal market timing opportunities arise.This paper established a optimal market timing for companies’IPOs based on the principle of American option, then use data on the Shanghai and Shenzhen stock markets between 1990-2010 to make empirical analysis on the impact factors on IPO volume volatility of China’s A share market and the optimum conditions for market timing of IPO.Study found that investment in fixed assets, CPI growth rates, money supply, market index and the turnover of IPO volume changes are significant causes and of IPO volume fluctuation. However, GDP growth rate has no obvious relationship with IPO volume. Fixed asset investment in GDP is more suitable as a proxy for capital needs than GDP. CPI growth index will rises shortly after IPO fluctuation. React of IPO volume on money supply’s is very significant, and a reformation is more direct and influential.The study also found that market reached the optimal conditions for listing when the absolute increase in market returns, increase in volatility of market returns, increase in the new company’s excess return volatility, and the market will observe an increase in the number of IPO. This shows phenomenon that firms in China often use listing opportunities to pursue short-term gains.Therefore, when the IPO issuing rhythm needs to be market, money supply is the most efficient and effective policy tool, but the reformation and institutional change will have a more direct effect. Stopping IPO issuing is a usually used tool to stop the declining of secondary market, and the effect is very significant. In China’s current system of issuing new shares, the policy plays an important role. There is often abuse of the opportunity windows during the IPO decision, triggering the occurrence of negative IPO waves. So suggestion is the authority should consistently monitor market indicators and make adjustments to the pace of the IPOs to smooth the negative fluctuations.更多还原