股权分置改革前后中国IPO抑价的影响因素对比分析
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摘要
本论文研究的是我国股权分置改革的实施对A股首次公开发行(Initial Public Offering,简称IPO)抑价的影响问题。IPO抑价是指股票的发行价格低于上市首日价格,从而产生正的初始收益的现象。IPO抑价是全球新股发行市场普遍存在的现象,然而,中国IPO抑价水平大大高于成熟市场水平。目前,发行股票已成为越来越多企业融资的重要途径,过高的IPO抑价使得企业实际融资额大大减少,损害了企业的利益,也使股票市场的资源配置和融资功能大大降低,从而影响着证券市场的健康发展程度。因此,对我国IPO抑价现象进行研究,找出影响我国IPO抑价的重要因素并提出相应的对策,具有很强的理论和现实意义。
股权分置改革是中国上市公司资本市场的一项重大改革。研究这种变革是否会对影响抑价的因素产生影响,是否能使中国资本市场的抑价更加合理,更有利于市场的健康发展,是本文的写作目的所在。
本文采用规范研究和实证研究相结合的方法,首先对国外有关IPO抑价研究的理论模型和中国股市IPO抑价问题的研究文献进行了较细致的回顾,这对本文研究我国IPO抑价影响因素奠定了理论基础;然后以股权分置改革的实施为时间界限,从IPO发行上市的财务状况和基本情况、股票供求及市场环境、发行定价等方面选取了10个影响因素,利用Eviews和Excel应用软件,并运用修正Frisch法,对所选取的共261个样本进行了IPO抑价程度及其影响因素的描述统计分析和多元线性回归分析;客观地分析了我国股权分置改革前后IPO抑价影响因素的变化,并进行对比分析。最后提出本文的分析结论。
The paper study the effect of equity segmentation reform to Initial Public Offering (IPO) underpricing of A stock market in china。IPO underpricing is a phenomenon that the stock’s issue price is lower than the list price at the first day. so cause positive profit. IPO underpricing is a widespread phenomenon in global IPO market. but IPO underpricing level is more higher in china than in advanced market. at present , Issue stock has become the important financial channel to more and more corporations. High IPO underpricing makes financing for enterprises greatly reduce and damage the interests of enterprises, also makes the stock market allocation of resources and financing functions greatly decreased . This effects the healthy development of the stock market. Therefore, it is has a strong theoretical and practical significance that to study Chinese IPO underpricing phenomenon, to find important factors affect of IPO underpricing and bring corresponding method.
Equity segmentation reform is a momentous change to list corporation and capital market. it is the motive of the paper that to study the reform whether produce influence to the factor of underpricing , whether can make the underpricing more reasonable and more well to the stock market develop healthy.
The paper adopt theory study and demonstration study ,the firstly , it makes a more detailed review of the study to foreign IPO underpricing's theoretical model and the research literature of Chinese stock market IPO underpricing ,Then based these theories, the equity segmentation reform is a split ,selected 10 factors from list corporation finance、the stock supply and pricing . Using Eviews and Excel applications, and use modify Frisch method make the description of statistical analysis and multiple linear regression analysis to 261 selections. In external, analysis the change of the effect factors at before and after equity segmentation reform . Finally, it makes a compare analysis .The last, I will bring a conclusion.
股权分置改革是中国上市公司资本市场的一项重大改革。研究这种变革是否会对影响抑价的因素产生影响,是否能使中国资本市场的抑价更加合理,更有利于市场的健康发展,是本文的写作目的所在。
本文采用规范研究和实证研究相结合的方法,首先对国外有关IPO抑价研究的理论模型和中国股市IPO抑价问题的研究文献进行了较细致的回顾,这对本文研究我国IPO抑价影响因素奠定了理论基础;然后以股权分置改革的实施为时间界限,从IPO发行上市的财务状况和基本情况、股票供求及市场环境、发行定价等方面选取了10个影响因素,利用Eviews和Excel应用软件,并运用修正Frisch法,对所选取的共261个样本进行了IPO抑价程度及其影响因素的描述统计分析和多元线性回归分析;客观地分析了我国股权分置改革前后IPO抑价影响因素的变化,并进行对比分析。最后提出本文的分析结论。
The paper study the effect of equity segmentation reform to Initial Public Offering (IPO) underpricing of A stock market in china。IPO underpricing is a phenomenon that the stock’s issue price is lower than the list price at the first day. so cause positive profit. IPO underpricing is a widespread phenomenon in global IPO market. but IPO underpricing level is more higher in china than in advanced market. at present , Issue stock has become the important financial channel to more and more corporations. High IPO underpricing makes financing for enterprises greatly reduce and damage the interests of enterprises, also makes the stock market allocation of resources and financing functions greatly decreased . This effects the healthy development of the stock market. Therefore, it is has a strong theoretical and practical significance that to study Chinese IPO underpricing phenomenon, to find important factors affect of IPO underpricing and bring corresponding method.
Equity segmentation reform is a momentous change to list corporation and capital market. it is the motive of the paper that to study the reform whether produce influence to the factor of underpricing , whether can make the underpricing more reasonable and more well to the stock market develop healthy.
The paper adopt theory study and demonstration study ,the firstly , it makes a more detailed review of the study to foreign IPO underpricing's theoretical model and the research literature of Chinese stock market IPO underpricing ,Then based these theories, the equity segmentation reform is a split ,selected 10 factors from list corporation finance、the stock supply and pricing . Using Eviews and Excel applications, and use modify Frisch method make the description of statistical analysis and multiple linear regression analysis to 261 selections. In external, analysis the change of the effect factors at before and after equity segmentation reform . Finally, it makes a compare analysis .The last, I will bring a conclusion.
引文
[1]蒋顺才,蒋永明.我国新股发行制度变迁与IPO抑价的实证研究.海南大学学报,2005 ,13 (18):63-66
[2]俞颖.中国股市IPO收益率实证研究.陕西:陕西人民出版社,2006,10-15
[3]赵林茂.中国证券市场新股发行IPO效率.浙江金融,2005,2:10-11
[4]韩志国.纵论股权分置改革.中国证券报,2005,(6):8-8。
[5]陈柳钦,曾庆久.中国股市IPO抑价实证分析.贵州财经学院学报.2003, 4:20-24
[6] Rock. K. Why New Issue Are Underpricing .Journal of Financial Economics ,1986 , (15):187-212
[7] Baron. D. A model of the demand for investment banking advising and distribution services for new issues .Journal of Finance,1982, (2):955-976
[8] Welch. I. Seasoned offerings, imitation costs and the Underpricings of initial public offerings. Journal of Finance ,1989, (44):421-449
[9] Allen. F, Faulhaber. G. Signaling by under-pricing in the IPO market .Journal of Financial Economics,1989, (23):303-323
[10] Grinblatt. M, C. Hwang. Signaling and the pricing of new issues. Journal of Finance,1989 ,(44):393-420
[11]王晋斌.新股申购预期超额报酬率的测度及其可能原因的解释.经济研究,1997(12):17-24
[12]宋逢明,梁洪昀.发行市盈率放开后的A股市场初始回报研究.金融研究,2001,(2):94-100
[13]刘煌辉,熊鹏.股权分置、政府管制和中国IPO抑价.经济研究,2005(5): 87
[14]陈工孟,高宁.中国股票一级市场发行抑价的程度与原因.金融研究,2000, 8:1-12
[15]张庆伟,扬方步.中外新股抑价比较.税务与经济,2003,(04):25-30
[16]李博,吴世农.中国股市新股发行(IPOs)的初始收益率研究.南开管理评论,2000(5): 31-36
[17]黄新建.影响上市公司首次公开发行股票抑价的实证分析.财经理论与实践,2002(4): 34-36
[18]邹建.核准制下IPO抑价率及长期异常收益率影响因素研究.深交所研究报告.2004 ,9:13-16
[19]韩德宗,陈静.中国IPO定价偏低的实证研究.统计研究.2001(4) : 29-35
[20]毛立军.我国新股发行机制研究,中南大学学报,2004,(3): 22-30
[21]梁石.股权分置改革的成效-基于IPO定价影响因素的实证分析:[硕士学位论文].成都:西南财经大学,2007
[22]沈艺峰,陈雪颖.我国首次公开发行股票的实证研究.厦门大学学报:哲学社会科学版,2002,(2) ,79-87 ,1O1
[23]林涌,王力.新股发行及定价方式的市场化研究.财贸经济,2003,( 5) 18-19
[24]杨记军,赵昌文.定价机制、承销方式与发行成本[J],金融研究,2006(5):51-60
[25]张国莉.股权分置改革的原因及影响.时代经贸,2007 ,5(57):28-34
[26]王晓露.IPO抑价理论与实证研究综述.当代经济,2007,(5):24-25
[27]张晖.股权分置改革以来IPO抑价实证分析.甘肃金融,2007(3):27-29
[28]申海波.预期理论与资本市场.上海:上海财经大学出版社,2000,30-35
[29]马光秋.理性理论和预期理论的演进.商业研究,2004,19 (303):42-45
[30]张少杰,陈峰.投资者预期与我国股票市场的发展.特区经济,2005(8):101-102
[31]栾培强.我国新股发行初始收益率实证分析.金融数学现研究,2001,(1):34-37
[32]刘力,李文德.中国股市股票首次公开发行首日超额收益研究.中国会计与财务研究,2000,2(4):25-45
[33]刘建和,缪仁炳.中国股市价格形成机制:基于信息、投资者行为和量价关系的实证.浙江:经济管理出版社,2005,13-60
[2]俞颖.中国股市IPO收益率实证研究.陕西:陕西人民出版社,2006,10-15
[3]赵林茂.中国证券市场新股发行IPO效率.浙江金融,2005,2:10-11
[4]韩志国.纵论股权分置改革.中国证券报,2005,(6):8-8。
[5]陈柳钦,曾庆久.中国股市IPO抑价实证分析.贵州财经学院学报.2003, 4:20-24
[6] Rock. K. Why New Issue Are Underpricing .Journal of Financial Economics ,1986 , (15):187-212
[7] Baron. D. A model of the demand for investment banking advising and distribution services for new issues .Journal of Finance,1982, (2):955-976
[8] Welch. I. Seasoned offerings, imitation costs and the Underpricings of initial public offerings. Journal of Finance ,1989, (44):421-449
[9] Allen. F, Faulhaber. G. Signaling by under-pricing in the IPO market .Journal of Financial Economics,1989, (23):303-323
[10] Grinblatt. M, C. Hwang. Signaling and the pricing of new issues. Journal of Finance,1989 ,(44):393-420
[11]王晋斌.新股申购预期超额报酬率的测度及其可能原因的解释.经济研究,1997(12):17-24
[12]宋逢明,梁洪昀.发行市盈率放开后的A股市场初始回报研究.金融研究,2001,(2):94-100
[13]刘煌辉,熊鹏.股权分置、政府管制和中国IPO抑价.经济研究,2005(5): 87
[14]陈工孟,高宁.中国股票一级市场发行抑价的程度与原因.金融研究,2000, 8:1-12
[15]张庆伟,扬方步.中外新股抑价比较.税务与经济,2003,(04):25-30
[16]李博,吴世农.中国股市新股发行(IPOs)的初始收益率研究.南开管理评论,2000(5): 31-36
[17]黄新建.影响上市公司首次公开发行股票抑价的实证分析.财经理论与实践,2002(4): 34-36
[18]邹建.核准制下IPO抑价率及长期异常收益率影响因素研究.深交所研究报告.2004 ,9:13-16
[19]韩德宗,陈静.中国IPO定价偏低的实证研究.统计研究.2001(4) : 29-35
[20]毛立军.我国新股发行机制研究,中南大学学报,2004,(3): 22-30
[21]梁石.股权分置改革的成效-基于IPO定价影响因素的实证分析:[硕士学位论文].成都:西南财经大学,2007
[22]沈艺峰,陈雪颖.我国首次公开发行股票的实证研究.厦门大学学报:哲学社会科学版,2002,(2) ,79-87 ,1O1
[23]林涌,王力.新股发行及定价方式的市场化研究.财贸经济,2003,( 5) 18-19
[24]杨记军,赵昌文.定价机制、承销方式与发行成本[J],金融研究,2006(5):51-60
[25]张国莉.股权分置改革的原因及影响.时代经贸,2007 ,5(57):28-34
[26]王晓露.IPO抑价理论与实证研究综述.当代经济,2007,(5):24-25
[27]张晖.股权分置改革以来IPO抑价实证分析.甘肃金融,2007(3):27-29
[28]申海波.预期理论与资本市场.上海:上海财经大学出版社,2000,30-35
[29]马光秋.理性理论和预期理论的演进.商业研究,2004,19 (303):42-45
[30]张少杰,陈峰.投资者预期与我国股票市场的发展.特区经济,2005(8):101-102
[31]栾培强.我国新股发行初始收益率实证分析.金融数学现研究,2001,(1):34-37
[32]刘力,李文德.中国股市股票首次公开发行首日超额收益研究.中国会计与财务研究,2000,2(4):25-45
[33]刘建和,缪仁炳.中国股市价格形成机制:基于信息、投资者行为和量价关系的实证.浙江:经济管理出版社,2005,13-60