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我国中小板IPO抑价实证研究及基于行为金融的理论解释
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投资学
资产定价及行为金融资产定价及行为金融
        IPO抑价是全球新股发行市场普遍存在的现象,国外学者对这一现象进行了大量研究,并提出了多种理论和假说。中国IPO抑价现象长期高居不下,也吸引了众多学者对其进行了研究。在我国资本市场逐渐向世界开放、股权分置改革阶段性完成、越来越多的中小企业选择发行上市融资、创业板即将推出的背景下,对我国中小板IPO高抑价现象进行研究,找出影响我国中小企业板IP0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
        论文分为五个部分,第一章阐述了研究的目的和意义、介绍了研究内容和研究方法、论文的贡献以及研究思路;第二章对国外有关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详尽的回顾和评述,为我分析中小板IPO抑价原因奠定了扎实的理论基础;第三章把行为金融相关研究成果嵌合到IPO抑价的分析中。分析了投资者的各种认知偏差和非理性行为可能对IPO公司在一二级市场的定价产生重要影响,最后给出本文对中小板IPO抑价的逻辑解释假设;第四章首先简单介绍了我国中小企业板的发行上市制度及股权分置改革。选取了中小板市场成立以来发行的273只股票作为样本,运用Eviews作为分析工具,分别对股权分置前后两个阶段的数据进行了实证分析。最后一章给出研究结论、提出建议、并指出研究的不足和未来研究方向。研究结果表明:股权分置改革前后IP0抑价水平都很高,且波动幅度较大;股权分置改革前影响发行抑价的主要因素为上市首日换手率;股权分置改革后发行PE、发行中签率、上市前市场收益率对IPO抑价水平都有较显著的相关性;验证了投资者情绪是影响中小企业板IPO抑价高低的重要因素。 [英文摘要]:          The phenomenon of IPO underpricing is existed almost every capital market in the world. IPO underpricing in China is very serious. As China’s capital market are open to the world, more and more small companies choose to raise money on the capital market. The research of Chinese SME IPOs underpricing Phenomenon, identifying which factors have great affect on our IPO underpricing have strong theoretical and pratical significance.
        This article includes five chapters:
        First chapter is the introduction, which includes the background of the problem, the research statement of overseas and innerland, the innovation of this thesis; secondly I makes a more detailed review and comment of the study of foreign IPO underpricing, after that I review what the researchers of China had done in this field. And then, I Point out the weakness of their researchers and what I will do in my article. In the third part I give a brief introduce of SME. At the same time I Point out China stock market is a closed market and the investors in IPO market may behave some psychological biased and irrational behaviors, which may have great influent on the pricing of IPOs in the first and second market. In the fourth chapter, I use the eviews application, making the Statistical analysis on the selection of 273 IPOs, and constructing a multiplelinear model to make regression analysis on the samples. Finally,the conclusion is drawn, the suggestions are given and the limitations are postulated. The follow are the main conclusions in this dissertation: Before share-trading reform, the main factors of affecting the underpricing are the first day of stock exchange rate and After share-trading reform, the issue PE, the issue lot rate, return on market before the issue are all significant factors.
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