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论文编号：	899
作者编号：	2120071993
上传时间：	2009/5/22 14:47:51
中文题目：	中国资本市场IPO抑价与流动性关
英文题目：	Research on IPO Underpricing a
指导老师：	黄福广
中文关键字：	首次公开发行；抑价；流动性；股
英文关键字：	Initial Public Offerings; Unde
中文摘要：	首次公开发行(IPO)抑价，是指多数新股上市首日市场收盘价或上市初期的交易价格远远超过其IPO时的发行价格。IPO抑价现象在各国资本市场普遍存在，但发展中国家比发达国家严重得多，我国资本市场IPO抑价现象尤其突出。 传统理论主要从信息不对称角度提出了投资银行信息垄断模型、传信模型等有影响力的理论，取得了一定的成果。但是单纯依靠这些理论却无法很好解释市场数据。随着流动性逐渐被国外理论界认为是继风险、收益之后资产定价的第三个维度，基于流动性解释IPO抑价的理论取得了重大突破。 本文通过对流动性假说进行修正，对于非完全流动性市场下发行价格与后市价格的形成进行研究。在对中国发行上市制度、流动性与投资者特征进行分析的基础上，本文理论模型将“公司偏好流动性”的假设放松为“公司根据自身特征会在流动性收益与控制权收益、噪声交易风险之间进行权衡”，并认为公司根据其对股权结构的权衡来设定发行价格：偏好流动性收益的公司会设定较低的发行价格来增加非知情投资者比例，形成分散的股权结构，从而促进后市流动性的提高，进而提高上市初期价格，形成较高的IPO抑价；偏好控制权的公司则通过设定较高的发行价格以避免股权稀释，降低噪声交易风险，形成较低的IPO抑价。 此外，本文还使用中国资本市场IPO数据，对理论模型进行了实证检验。结果表明：上市前盈利能力影响IPO抑价；上市首日超额回报与发行公司股权集中度显著负相关；后市流动性则与IPO抑价水平显著正相关，支持本文理论。 本文尝试将公司财务学、资产定价以及市场微观结构三方面结合起来，具有一定的理论创新性：将股权分散模型拓展为权衡模型；回答了“赢家诅咒”理论未解答的为什么要对非知情投资者进行补偿的问题；将IPO抑价作为公司向市场传递控制权偏好或流动性偏好的信号，以股权结构作为中间变量考察IPO抑价与后市流动性的关系。
英文摘要：	IPO underpricing is an anomaly in capital markets that most IPO shares’ closing prices on the first day of listing or a few days after are significantly higher than their offer prices. IPO underpricing is popularly an existence in all the capital markets of the world and is even graver in developing countries. The underpricing of IPO is especially high in China. Theoretical achievements have been made to understand factors affecting IPO underpricing, of which extensive bodies have focused on asymmetric information among issuing firms, underwriters, and different investors. But empirical findings, together with other surveys have been put explanations of asymmetrical information into doubt. As a result, it is difficult to explain market evidences when counting on theories of asymmetric information dependently. But when liquidity has been considered as key factor in asset pricing besides risk and return, researches in this direction have provided with IPO underpricing literature with more plausible models. This paper extends current liquidity theory, and makes contribution to the study of listed prices and aftermarket prices determining process. This paper first gives an analysis of the listed mechanisms, liquidity situation and investors characteristics, and then deduces a model by loosing the condition that firms prefer liquidity to the one that contains trade offs among liquidity benefit, ownership control and noise trader risks based on the companies’ own situations, and then choose the optimal ownership structure. For the firms which prefer liquidity, they will set relative lower than fundamental prices to attract uninformed traders, and further build up ownership dispersion, which will enhance the aftermarket liquidity, and raise the aftermarket prices; vice versa. Using IPO data from Chinese capital markets, this paper gives an empirical test for the theoretical model. The results of the empirical tests suggest that the profitability before listing affect the level of IPO underpricing; the first-day return is significantly negatively related to the ownership concentration of the issuing companies; aftermarket liquidity is significantly positively related to the level of IPO underpricing, which are all supportive evidences of the theories in this paper. This paper managed to connect the research in corporate finance, asset pricing and market microstructure, and makes contribution both theoretically and empirically. This paper extended ownership dispersion model to a trade-off model; answered the questions given by Winner’s Curse model about why informed traders get compensated. And this paper uses IPO underpricing as a signal to the public about the firms’ preference about control or liquidity.
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