文档介绍：华中科技大学
硕士学位论文
我国中小板IPO抑价问题的实证研究
姓名:石丽娟
申请学位级别:硕士
专业:金融学
指导教师:刘方池
2010-05-17
华中科技大学硕士学位论文
摘要
近几十年来,国内外研究学者对金融异象进行了大量研究,IPO 抑价现象是其中
一个热点问题。在中国股票市场,IPO 抑价程度远远高于西方发达国家,这与我国股
票市场发展时间较短、运行机制缺乏效率和某些特定历史因素有关。
本文研究了中小板自创建以来的抑价程度,按照股票一级市场因素和二级市场
因素分别设置了代理变量,其中一级市场因素选取了发行规模、发行日距上市日之
间的间隔、发行中签率和发行市盈率四个解释变量,二级市场因素选取了新股上市
首日换手率和大盘指数两个解释变量。以股权分置改革为分界点,本文比较分析了
各解释变量对 IPO 抑价率的影响程度在两个时段的差别,发现股权分置改革前,上
市首日换手率和大盘指数是造成抑价现象的主要因素,而股权分置改革后,发行市
盈率、发行日距上市日时间间隔和大盘指数是主要影响因素。接下来,在股权分置
改革后的模型中引入 IPO 公司前一年资产负债率和承销商声誉两个解释变量对模型
进行改进,发现承销商声誉与 IPO 抑价率是负相关的,与国内大部分学者的研究结
果相反,但与国外学者的研究结论吻合。最后,根据实证研究结果,本文针对性地
提出了几条政策建议。

关键词:中小板 IPO抑价承销者声誉
I
华中科技大学硕士学位论文
Abstract
In recent decades, the domestic and foreign researchers have conducted a large
number of studies, including the phenomenon of IPO underpricing. In China, IPO
underpricing is more serious than in Western developed countries, which is related to the
lack of efficient operating mechanism and some specific historical factors.
In this paper, I make a research of IPO underpricing in SME market. In accordance
with the stock market, we select the issue size, the interval between the listing date and
issue date, lotrate and PE to reflect the first market factor, and the first day of IPO turnover
and the market index to reflect the second market factor. To put the tradable share reform
as a cutoff point, I make parative analysis of explanatory variables on the rate of
IPO underpricing level and find that the first day of IPO turnover and the market index are
the main factors pre-split share structure reform, but PE, interval and market index are the
main factors after the split share reform. Next, I introduce asset-liability ratio and
underwriter reputation to improve the second model and find that underwriter reputation
and IPO underpricing is negatively correlated, different from the finding of domestic
research results, but consistent with the conclusions of the study abroad. Final