【作者】 宋琳；

【导师】 胡志强；

【作者基本信息】 武汉大学 ， 金融工程， 2021， 硕士

【摘要】 国内外学者对IPO浪潮的主要表现之一——IPO市场发行量时序波动性进行了深入研究,认为IPO发行量时序波动是大量企业选择最优上市时机并作用于整个市场的结果,并据此提出了多种经典理论假说。影响企业上市时机选择的因素有很多,由于中国股票市场存在严重信息不对称且噪音交易者多,导致中国股市受更强的投资者需求预期驱动,且随着中国注册制改革的稳步推进,IPO市场化程度加深,投资者需求将进一步在平衡股票市场供需关系中起主导作用,成为影响IPO时机选择的关键因素。另外,随着我国创新驱动发展战略的实施,企业上市后的创新绩效表现对其能否在资本市场健康存活愈发重要,而全要素生产率即技术进步率,能够体现企业技术创新能力,且相比其他传统上市创新绩效评价指标更能综合衡量创新投入和产出绩效,凸显资本服务实体经济的作用,因此本文以投资者需求预期为出发点研究IPO上市时机选择,并选取全要素生产率来衡量企业在不同时机上市后的创新绩效表现,具有一定理论和现实意义。在理论研究方面,本文构建了在面临不同投资者需求预期时,不同创新质量企业的上市时机选择模型。由模型推出企业IPO的时机取决于上市前投资者需求预期和企业创新质量即创新投资项目的多少,当预期需求较高时,所有企业都会上市;相反当预期需求较低时,低创新质量企业会推迟IPO,而高创新质量企业会在项目净现值足够高时继续上市,即投资者需求预期的高低影响IPO数量从而造成时序波动。同时企业创新质量的高低意味着企业创新投资机会的多少,能够影响企业后续创新绩效表现,利用全要素生产率作为创新绩效衡量指标,可得出不同投资者需求预期下IPO的企业上市后全要素生产率表现不同。在实证研究层面,本文以2010-2019年间A股上市的所有企业为总样本,根据IPO发行制度改革进程将总样本期分为2010年1月-2012年11月和2014年1月-2019年12月两个时间段,并将2019年7月-2019年12月科创板上市企业单列为子样本。利用信息不对称程度和投资者非理性乐观情绪作为投资者需求预期的代理变量,将投资者需求预期分别与决定IPO的企业数量和上市后全要素生产率建立OLS回归,得出如下结论:第一,投资者需求预期与决定IPO的企业数量显著正相关,从而导致IPO发行量时序波动的形成;第二,决定上市时投资者需求预期与企业上市后全要素生产率显著负相关;第三,在市场化程度更高的科创板IPO的企业,其上市后的全要素生产率对投资者需求预期带来的正向影响的敏感度更高。更多还原

【Abstract】 Scholars at home and abroad have conducted in-depth research on the time series volatility of IPO market,one of the main manifestations of IPO wave.They believe that the time series volatility of IPO is the result of a large number of enterprises choosing the optimal listing time and acting on the whole market,and put forward a variety of classical theoretical hypotheses.There are many factors that affect the timing of listing.Due to the serious information asymmetry and the large number of noise traders in China’s stock market,China’s stock market is driven by stronger investors’ demand expectation.With the steady progress of China’s registration system reform and the deepening of IPO marketization,investors’ demand will further play a leading role in balancing the supply and demand of the stock market and become an important factor The key factors affecting IPO timing.In addition,with the implementation of China’s innovation driven development strategy,the innovation performance of listed companies becomes more and more important for their healthy survival in the capital market.The total factor productivity(TFP),namely the rate of technological progress,can reflect the enterprise’s technological innovation ability.Compared with other traditional listed innovation performance evaluation indicators,it can comprehensively measure the innovation input and output performance,and highlight the capital service reality Therefore,it is of theoretical and practical significance to study the timing of IPO listing based on investor demand expectation,and to select total factor productivity to measure the innovation performance of enterprises after listing at different times.In the aspect of theoretical research,this paper constructs the timing selection model of enterprises with different innovation quality in the face of different investor demand expectations.When the expected demand is high,all enterprises will be listed;on the contrary,when the expected demand is low,low innovation quality enterprises will delay IPO,while high innovation quality enterprises will continue to be listed when the NPV of the project is high enough,that is,the expected demand of investors is high High and low affect the number of IPOs,resulting in timing fluctuations.At the same time,the level of innovation quality means the number of innovation investment opportunities,which can affect the subsequent innovation performance of enterprises.Using total factor productivity as a measure of innovation performance,it can be concluded that the performance of total factor production rate of IPO enterprises after listing is different under different investor demand expectations.In the empirical research level,this paper takes all A-share listed enterprises from 2010 to 2019 as the total sample,divides the total sample period into two periods from January 2010 to November 2012 and from January 2014 to December2019 according to the reform process of IPO issuance system,and lists the enterprises on the science and Technology Innovation Board from July 2019 to December 2019 as the sub sample.Using the degree of information asymmetry and investors’ irrational optimism as the proxy variables of investors’ demand expectation,this paper establishes OLS regression between investors’ demand expectation and the number of enterprises that decide IPO and the total factor productivity after IPO,and draws the following conclusions: first,investors’ demand expectation is significantly positively correlated with the number of enterprises that decide IPO,which leads to the fluctuation of IPO circulation Secondly,there is a significant negative correlation between the investors’ demand expectation and the total factor productivity after IPO;thirdly,the total factor productivity after IPO is more sensitive to the positive impact of investors’ demand expectation in the technology innovation board with higher degree of marketization.更多还原