机构投资者持股比例与IPO抑价关系的实证研究

【作者】 刘娜；

【导师】 王满仓；

【作者基本信息】 西北大学 ， 国民经济学， 2013， 硕士

【副题名】基于来自A股的经验数据

【摘要】 IPO抑价现象普遍存在于各国资本市场并得到了众多学者的普遍关注,它不仅是资本市场定价效率的一种衡量尺度,而且能够在一定程度上测度资本市场融资功能是否得到很好地发挥。本文基于国内外学者在此方面研究的成果,从理论分析入手,以细化机构投资者类型的角度,提出研究假设,结合我国A股市场的发展情况,选取与IPO抑价有关的不同类型机构持股等为主要解释变量,同时引入能够代表IPO公司财务状况的相关变量,体现新股首日表现力和市场投资情绪的变量,以及制度因素等虚拟变量,从而构建以IPO抑价率为被解释变量的多元线性回归模型,并利用Statall.0和来自A股上市公司的面板数据,通过实证研究来分析各因素对IPO抑价的影响水平。本文试图证明不同机构持股对IPO抑价影响的程度,并寻找可能的原因,这将为新股发行制度的改革和促进不同类型的机构投资者协调健康地发展提供一些有益的建议。通过对A股上2005年到2012年上半年进行IPO的企业样本的研究,笔者发现：代表机构参与程度的机构持股总比例同代表IPO抑价水平的IPO抑价率正相关。券商、证券投资基金及其他机构投资者(包括财务公司、企业年金、非金融机构等等)与IPO抑价是正相关关系,这些机构的持股越高,IP0抑价率数值越大。而社保基金、QFII、保险公司这三类机构投资者经过本文的实证检验,它们的持股比例同IPO抑价存在负向变动关系,也就意味着这类机构的参与对IPO抑价具有降低作用。更多还原

【Abstract】 The phenomenon of IPO underpricing universally exists in all countries’capital markets and get the attention of numerous scholars, it is not only a measure of pricing efficiency of the capital market, but also to some extent can measure whether financing function of the capital market have played well.Based on the domestic and foreign scholars’research achievements in this aspect, start from theoretical analysis, use the perspective of institutional investors segmentent, this paper first put forward the research hypothesis.Combined with the development of China’s a-share market, this article selecting different types of institutional ownership related to IPO underpricing as the main explanatory variables, at the same time introduce related variables to represent the IPO company financial status, to reflect expression of New shares and market sentiment on the first day of IPO, and institutional factors as the virtual variables, to build multiple linear regression model which use IPO underpricing rate as explained variables, then make use of econometric software Stata11.0and panel data from a-share listed companies, through the empirical research to analyze the influence degree of various factors on the IPO underpricing. This paper tries to prove the Degree of different institutional ownership’impact on IPO underpricing degree, look for possible reasons for this,and such kind of reaserch may provide some useful Suggestions to the IPO system reform and promotion of harmonious healthy development of the different types of institutional investors.Using a database of IPOs on A-share stock market from2005to the first half2012as the research sample, the study found:institutional ownership proportion and the level of IPO underpricing are positive correlation. Brokerage, securities investment funds and other institutional investors (including financial companies, enterprise annuity, non-financial institutions, etc.) and the IPO underpricing are positive correlation, the proportion of institutional ownership is higher, the IPO underpricing rate is the greater. And through empirical test found,the social security fund, QFII and insurance companies, this three types of institutional investors have a negative relationship with IPO underpricing rate, can reduce the IPO underpricing rate.更多还原