【作者】 张弛；

【导师】 陶亚民；

【作者基本信息】 上海交通大学 ， 金融学， 2010， 硕士

【摘要】 新股发行抑价现象几乎存在于所有资本市场,而中国股票市场的IPO首日超额收益尤为严重,新股不败神话一直都是市场上的热门话题。因此弄清楚造成我国IPO首日超额收益的原因和影响因素,并且对新股上市后长期的超额收益进一步分析,对我国新股发行定价方式的改进以及投资者对新股进行投资都具有现实意义。鉴于此,本文首先以现有的有关发行抑价以及长期表现的研究回顾为起点,对国内外研究成果进行综述,对已有研究进行分析归纳和总结。然后对我国A股市场首次公开发行的制度以及定价方式变迁进行概述。在充分了解研究对象和总结其他学者的研究成果及其不足之后,以2002年到2008年沪深A股的501只新股为研究样本,实证了IPO在不同因素影响下的首日超额收益,并进行了综合性的影响因素的总结分析。接下来,以2002年到2008年沪深A股501只新股上市后一年的表现为研究样本,研究了新股上市后长期表现的时间序列特征,并对新股长期超额收益率进行了分析。实证结果显示:(1)我国证券市场确实存在较高的首日超额收益,近年来虽然有逐年下降的趋势,但仍处于高位运行状态。并且中国新股首日超额收益与流动比率、上市等待期、发行价格、换手率、发行市盈率、发行规模等变量相关,并且受市场波动影响很大。而中国股票市场首日超额收益的真正根源主要在于中国发行审核制度的不完善以及二级市场的炒作。(2)我国新股长期表现确实存在长期弱势的现象,长期超额收益率随着时间的变化呈现出线性下降的趋势,而与自身的滞后变量关系不大。最后,在实证结果的基础上提出了我国新股抑价率应该包括抑价部分和溢价部分,西方的许多抑价理论在我国并不成立,我国首日超额收益溢价的成分居多。更多还原

【Abstract】 IPO underpricing phenomenon exists in almost all capital markets, while Abnormal Initial Return (AIR) in China’s stock market is particularly serious. The myth of AIR has been popular in the market all the time. Therefore, the influence factors on AIR and further analysis on IPO long-term performance has practical significance on instruction of IPO pricing and investment.In view of this, the paper starts from existing domestic and foreign review of research on underpricing and long-term performance. Then summarizing on China’s A-share IPO market system, as well as an overview of changes in pricing. Fully understand the object of study and summarize the research results of other scholars, the paper adopt 501 A-share companies from 2002 to 2008 for the study sample to analyze IPO AIR under the influence of different factors. In addition, the paper analyzes 1-year long-term performance of the same sample, by use of time series method.Empirical results show that: (1) the AIR of China’s securities market is extremely high in recent years, despite the falling trend. And the AIR is significantly influenced by liquidity ratios, listed waiting period, issue price, turnover, price-earnings ratio, issue size and other variables related to. At the same time, AIR is also subject to market fluctuations in a significant level. The results show that AIR in China’s stock market is mainly infuenced by regulation and speculation. (2) Performance of new stock in China’s stock market remains weak in the Long run. Long-term anormal return of the sample showed a linear downward trend, but not connected with their lagged variables.Finally, based on empirical results the paper conclude that the underpricing rate of China’s IPO should include part of underpricing and part of overpricing. And part of overpricing outweighs underpricing. That is different from West theory.更多还原