文档介绍：广东商学院硕士学位论文基于流动性成本的 IPO 抑价研究

摘要
新股首次公开发行(IPOs,Initial Public Offerings)抑价又称为首日超额收
益,早已被证实为是世界各国普遍存在的现象。在国内外“新股抑价之谜”一直
是众多学者研究的焦点,很多经典理论研究成果被应用到各国股票市场上进行实
证检验,分别对抑价现象给予了不同程度的解释,并为新股发行中的参与各方的
行为模式提供了有价值的参考。
我国 IPO 现象有其特殊性,这不仅体现在我国高于成熟证券市场几十倍的异
常抑价水平上,还体现在我国证券市场上股权分置现象及带有浓重的政策性色彩
的制度上。这些特有的因素都成为了我国研究者对中国新股折价现象不断深入研
究的切入点。
虽然我国新股抑价问题已经得到了很多有价值的研究成果,但随着我国股权
分置改革成功后,新股发行上市首日超额收益依旧存在。本文从流动性成本角度
作为研究切入点,对新股抑价问题进行新的方面的研究,作为资产自身特性之一
的流动性一直是投资者选择投资对象的重要参考依据,而流动性在投资者资产组
合中的重要性也在很多早期的经典经济学著作中有所体现.
本文中将提出流动性成本存在的理由以及得出在这一成本存在下新股抑价
的必然性。

关键字:IPO;抑价;流动性成本

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广东商学院硕士学位论文基于流动性成本的 IPO 抑价研究
ABSTRACT
IPO Underpricing has been testified as a prevalent problem in the stock market
all over the world. IPO Underpricing is a puzzle, and makes so many scholars to
spend much time to work it out. There are many classic theories on this subject from
different aspects, and get satisfied test results. These theories provide value references
to explain this problem in depth.
IPO Underpricing problem is different from other mature stock market in China,
it has unique property. The problem is not only higher Underpricing level, but also be
related to the stock market system. All these particular politic facts are new points to
study this subject.
There are so many valuable studies on the problem of IPO Underpricing in
China. Though mon A stocks have been finished the essential reformation on
ownership split, the problem also exists. As the most important character of the asset,
liquidity is always the guide line to choose asset for investors. Liquidity effect on the
stock pricing has been testified in many essays.
The IPO underpricing problem was researched from the point of the liquidity
cost in this thesis. and the evidence that the liquidity cost is reflected in the IPO value
was testified. Because of the cost, IPO underpricing problem is inevitability.

Key word: IPO