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| 论文编号： | 3400 | |
| 作者编号： | 2120092372 | |
| 上传时间： | 2011/6/10 11:25:49 | |
| 中文题目： | IPO抑价对股票流动性影响的研究 | |
| 英文题目： | The Influence of IPO Underpricing | |
| 指导老师： | 黄福广 | |
| 中文关键字： | IPO抑价;流动性;信息不对称;信息瀑布 | |
| 英文关键字： | IPO Underpricing, Liquidity, Information Asymmetry, Information cascades | |
| 中文摘要： | 本文从信息传递和股权结构两条路径出发，研究IPO抑价对股票流动性的影响机制。首先，做出若干概念界定，包括市场参与者和交易规则等；其次，分析影响股票流动性的市场层面因素和公司层面因素，寻找影响股票流动性的内在因素；最后，结合IPO抑价的流动性需求理论，探索IPO抑价对二级股票市场产生的影响，从而找到IPO抑价对股票流动性产生影响的机制。 基于这个研究思想，本文设计了实证研究模型。选取的被解释变量是二级市场股票流动性，解释变量是IPO抑价率和信息不对称。控制变量包括影响后市股票流动性的其他因素，从公司层面有反映公司信息不对称的资产特征、公司预期成长和财务稳健型因素；从市场层面有二级市场交易量、市场平均价格、收益率标准差。应用多元回归模型来解释IPO抑价对股票流动性的影响作用，为理论分析框架提供了较强的实证数据支持。 最后，本文实证检验了我国股市IPO抑价对股票流动性的影响作用。论文选取2006年6月恢复股权融资至2010年12月在上海证券交易所首次公开发行和交易的公司为样本，研究结果表明新股IPO抑价与股票流动性显著正相关，事前信息不对称与股票流动性正相关。说明了发行人为了引起投资者超额认购需求，利用“信息瀑布”效应和信息在投资者之间的非自由流通，有动机压低新股发行价格，最终达到增加二级市场流动性的目的。本文研究结论对于我国股市的中小投资者具有一定的实践指导意义，有助于引导理性投资。 | |
| 英文摘要： | According to the two paths of the information asymmetry and ownership structure, this paper studies the influence mechanism of IPO underpricing to stock liquidity. Firstly, I make several research presuppositions, including market participants and trading rules; Secondly, the analysis of stock market liquidity factors in the aspects of company level and market microstructure to find out the systematic factors to stock liquidity; finally, considering IPO underpricing liquidity demand theory, explore the impact of IPO underpricing on the secondary stock market in order to find IPO underpricing impact on stock liquidity mechanism. According to this research idea, I devise some research models to examine it. The dependent variable is the stock liquidity in the secondary market, the independent variables are the IPO underpricing ratio and information asymmetry. Control variables include market microstructure factors to stock liquidity and corporate characteristics like assets, profitability, etc. Then, I devise empirical models. I utilize a series of multi-regression models to interpret the influence of IPO underpricing to liquidity and provides a strong empirical data to support the theoretical framework. Finally, the dissertation tests the relationship between IPO underpricing and stock liquidity. I choose 68 companies listed in Shanghai Stock Exchanges from the year of 2006 to 2009. The empirical result suggests that: IPO underpricing is positively related with stock liquidity and information asymmetry is positively related with stock liquidity. We made the conclusion that the issuers have the demand for over-subscription from investors, by using the "information cascades" effect and the information asymmetry between investors, have an incentive to drive down the initial offerings price, and ultimately to increase secondary market liquidity. This conclusion for small and medium investors in China stock market has some practical guidance to help guiding rational investment. | |
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