【作者】 杨高峰；

【导师】 杨思群；

【作者基本信息】 清华大学 ， 政治经济学， 2005， 硕士

【摘要】 股票定价是股票首次公开发行研究重中之重的问题,不仅关系到股票能否顺利发行达到股权融资的目的,而且会影响到股票市场自身的运转效率。首次公开发行的股票普遍存在初始收益率过高的现象,尤其我国股市初始收益率更是成倍高于成熟资本市场平均水平,初始收益率过高是由于股票发行价格与上市价格的价差过大造成的,也就是股票被低价发行,简称抑价。对于公司股票首次公开发行时定价过低造成高额初始回报的问题,国内外有很多理论对此进行了解释,如赢者诅咒假说、公司价值信号传递假说、信息不对称假说、承销商规避风险假说和分散股权假说等。我国的股票市场与西方研究所依托的市场情况不尽相同,国内学者对这个问题也有过一些研究。本文就是在这些基础之上,结合我国股票市场可流通比例小、限制发行市盈率和投机性投资居多等情况,对我国首次公开发行定价问题做深入的分析和检验。通过检验发现与初始收益率相关的不仅有公司特质因素(如公司资产、筹资额度和可流通比例等),而且发行前的一些市场公众信息因素也有比较大的相关性(如上市前一年发行股票的等权收益率)。还发现首次公开发行股票上市首日收益率的相关因素非常多且影响关系复杂。通过检验初始定价区间中值和上市首日开盘价价差?P与公司特质因素、公众信息因素之间的相关关系,检验了承销商在定价过程中是如何对待公众信息的。模型中?P与两方面的信息均有相关性,说明承销商在确定初始价格区间和发行价时没有将所有可用的信息纳入定价,而是故意忽略掉了一些可用信息。文章还检验了?P与发行前不同时间段内发行的股票收益率之间的关系,从结果我们有理由做出假设:在招股说明书公告发布的一个时间段以前,承销商就已经确定了初始价格区间,而最终发行价格往往等于这个价格上限或完全相等。从文章研究结果我们可以说这一时间段我国首次公开发行定价过程是低效的。本文第一部分是关于初始收益率过高情况的简介以及理论解释;第二部分介绍了股票首次公开发行一般采取的发行方式和定价方式,以及我国股票发行市场的状况;第三部分检验了与初始回报率相关的因素,以发现发行过程中须关注的问题;第四部分检验了?P相关的因素,考察了承销商在发行过程中是如何对待可用的信息;第五部分对定价研究总结并提出了相应的建议。更多还原

【Abstract】 Stock price is always the important subject of finance researching field. And thepricing is the key point in the process of Initial Public Offering. It is not only relatedto successful offering, but also to the efficiency of whole stock market. The initialreturns are generally too high, a universal phenomenon in the IPOs. Especially, in ourstock market, initial returns are frequently times than counterpoint of mature capitalmarket. The reason is that the gap between the initial price and the offering price isexcessively great. In other words, the stock is offered with a low price, called asunderpricing.Some researches have been made out to interpret underpricing in IPOs, such asthe Winner Curse Hypothesis, the Signaling Hypothesis, Information AsymmetryHypothesis, the Risk Avoidance Hypothesis, the Ownership Dispersion Hypothesis,and etc. Some inland researches have studied in this field based on the difference inour stock market. This paper goes did into the IPO pricing. We found that initialreturns are related to firm-special characteristics and market-special characteristics.Moreover, we find that the first date returns are worked on by complex factors.We defined the price update from the medium of initial price range to the firstdate startup price. Relations are found among the price update and public information.According to this result, we know that underwriters did not incorporate completeinformation into the initial price range. Through checked up the connections amongthe price update and different phase returns of IPOs, We suppose that underwritersmake certain the initial price at a former time. Based on above analysis we can saythat the pricing process is absent efficient.The first portion introduces the status of high initial returns and existinginterprets. The second portion recommends the offer methods. The third portionfocuses on the relation between initial returns and information learned before. Thefourth portion proves how the underwriters deal with the public information. The lastsummary chapter gives some results and suggestions.更多还原