【作者】 郑建红；

【导师】 古国耀；

【作者基本信息】 暨南大学 ， 金融学， 2004， 硕士

【摘要】 国内外学者通过大量实证研究表明，新股发行价格低估是世界各国证券市场中一种普遍存在的现象，无论是发达国家成熟市场还是发展中国家的新兴市场，都存在显著的新股发行价格低估现象。 中国股市是一个处在转轨经济中的新兴市场，具有很大的不确定性，信息不对称严重。在回顾前人已有研究成果和深入考察中国A股IPO市场的发展历程基础上，本文以1997至2002年中国沪市A股IPO市场405只新股为研究样本，对中国A股市场新股首同收益现象进行了实证研究。实证结果表明，我国A股市场IPO过高的首日收益能较好地由不确定性模型解释。此外，核准制的实施并未对新股收益产生显著影响。在实证基础上，本文结合中国现实对新股高收益现象进行进一步分析后表明，核准制的审批制色彩导致实质上的市场化程度不高、信息披露的不规范、市场过度投机炒作、特殊的上市公司股权结构及股票定价基础的不合理，都进一步说明了新股收益过高的深层次原因。最后，提出了提高我国新股发行定价效率的有关政策建议。 本文在进行研究分析时一直注意紧扣市场与制度因素，在现有研究成果和中国股市的具体实情基础上建立了不确定性回归模型，并探讨我国IPO发行制度的市场化演变(以核准制的实施为代表)是否对新股首日收益产生了深刻影响，从而深入分析其内在原因。而这正是本文的特色之处。更多还原

【Abstract】 A large number of empirical results have shown that IPOs have been underpriced in the capital markets of different countries. This phenomenon not only exists in the developed countries, but also in the developing countries.The stock market in China is a new developing market in the process of transformation with high uncertainty and large information asymmetry. After studing the development of Chinese A share initial public offerings (IPOs) market, we investigate the IPOs underpricing in China by using the data of new issues in Shanghai Securities from January 1997 to December 2002 based on the former researches. The empirical result indicates that A share IPOs underpricing could be explained by the uncertainty model. Furthermore, our study finds that it is the institution defect of new issue market, Imperfect information disclosure, over speculation of the investors, abnormal equity structure of the issuers and the unreasonable pricing base that can explain why IPO returns are too high. At last, we suggest some measures to improve the IPO efficiency in China.There are three characteristics in this thesis. Firstly, our analysis is loosely linked with the market factors and the institutional factors. Secondly, we set up an uncertainty model to explain the high returns on IPOs in the stock market of China. Thirdly, we probe into the inner reasons for abnormal short-run returns on IPOs by approaching the influence of IPO systems on new issues.更多还原