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论文编号：	6528
作者编号：	2120122537
上传时间：	2014/6/13 22:41:53
中文题目：	询价制的实施与我国A股IPO抑价率实证研究
英文题目：	Study on Excess Return of IPO under Enquiry System
指导老师：	姚颐
中文关键字：	询价制;IPO抑价;定价制度
英文关键字：	Enquiry system,;IPO underpricing; Pricing system
中文摘要：	IPO定价制度改革和创新的步伐从中国的股票市场建立之初到今天始终没有停止过。审批制在1999年的《证券法》颁布之前是我国发行新股惯常采用的制度，自此之后高层监管者开始探索使用核准制。一直以来学术界很多专家对IPO定价这一难题不断探索和论证分析，并且他们关注的主题是分析导致IPO抑价的主要因素。我国从2005年开始应用询价发行制度，截止目前，监管者进行了两次比较大的询价发行制度改革，在轻微降低IPO抑价的同时又衍生出新的问题，比如高市盈率现象时有发生、发行人高超募资金等新问题困扰我国资本市场的健康发展。国内不少专家认识到我国新股抑价现象的严重性并进行了很多有益的实证分析，然而从我国特殊的询价发行制度这个角度来研究IPO定价和抑价的理论文献却很少。基于此背景，实证分析我国询价制的实施对A股IPO抑价的影响就会对我国证券市场的现实和长远发展贡献力量。本文以委托代理理论为基础，并借助赢者诅咒理论、信号传递理论、承销商声誉理论,以我国资本市场股票发行定价制度改革的进程为主线，研究询价制在新股发行定价中的应用对新股上市首日收益率产生的作用，对询价制下询价区间宽度、发行价格相对于预期价格的调整、初步询价对象家数以及承销商声誉与新股上市首日收益率之间的关系进行了理论分析与实证研究。本文的研究是基于新股发行定价制度的改革为基础，选择2006年IPO重启至2008年IPO暂停期间在沪深两市首次公开发行上市的公司数据作为样本，对询价制的实施对IPO抑价的影响进行了实证分析。实证分析显示询价制的应用体现了高层监管者推进新股发行定价市场化改革的决心，但是由于我国未完全市场化的证券市场环境以及询价制本身的不完善导致询价发行机制的实施未能起到预期缓解IPO抑价现象的效果。由于参与询价的机构投资者专业能力的欠缺，缺乏丰富的询价经验，监管部门未能对其进行有效的约束等原因导致通过初步询价得出的询价区间过宽或偏离新股的内在价值。参与询价的机构投资者数量与新股上市首日收益率之间存在正相关关系。此外，本文还得出我国良好的承销商声誉并不能为有效降低IPO抑价率发挥积极作用。
英文摘要：	Since the establishment of securities market in China, the IPO pricing system has been constantly improved and perfected. Before the carrying out of 《securities law》 in 1999, the issue of new shares in China has been approval system, after gradual transition to the authorization. Many scholars has carried on the beneficial research and discussion on new pricing question, but mainly concentrated on explaining the reasons of IPO underprcing .Since the implementing of new inquiry mechanism in our country, there are manily had two major reform on inquiry issue mechanism. Although the phenomenon of IPO underpricing eased, a series of new problems occur. Many domestic scholars found and study IPO underpricing phenomenon in our country, but few people study the new pricing and underpricing combining the characteristics of our inquiry mechanism. In this case, it’s very significant to study the new enquiry system of IPO underprcing phenomenon in our country. This paper is based on the principal-agent theory, and the winner’s curse theory, signal transmission theory, underwriter’s reputation theory to the pricing system reform of our country’s capital market issuance process as the main line, analyzing the influence of the implementation of enquiry system on the IPO underpricing rate, the theoretical analysis and empirical test on the relationship among the inquiry range, the price adjustment, the preliminary inquiry object number, the underwriter reputation and the IPO underpricing rate. Based on the background of enquiry system reform, the data from 2006 to 2008 in Shanghai and Shenzhen stock exchange IPO as sample, empirical research on the relationship between China’s IPO underpricing and enquiry system . The results show that the enquiry system itself reflects the market reform of the pricing of new shares, but implements the enquiry system did not effectively reduce our new IPO underpricing. Institutional investors to participate in the IPO inquiry offer range is too wide, pricing power remains to be further improved. A preliminary inquiry object number and the rate of IPO underpricing is positively related to the reputation of underwriters, also has no significant influence on IPO underpricing. Finally, this paper will put forward policy recommendations, to further improve the enquiry system, in order to reduce the rate of IPO underpricing, improve stock market IPO pricing efficiency.
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