本文關(guān)鍵詞：我國(guó)A股市場(chǎng)IPO行業(yè)板塊效應(yīng)實(shí)證分析　出處：《西南財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： IPO行業(yè)板塊效應(yīng) 事件研究法 IPO抑價(jià) 行業(yè)競(jìng)爭(zhēng)

【摘要】：在中國(guó)證券市場(chǎng)發(fā)展的幾十年間,我國(guó)股票市場(chǎng)歷經(jīng)了許許多多的波瀾曲折。中國(guó)股市自從開放以后,到目前為止,已經(jīng)8次暫停了IPO。而對(duì)于中國(guó)股市重啟IPO是好是壞,市場(chǎng)上的人們各有各的看法。一方面來(lái)看,市場(chǎng)上有人對(duì)IPO重啟有爭(zhēng)議,這表明IPO對(duì)股市很可能有某種負(fù)面影響,另一方面來(lái)看,IPO重啟又有著它的必然性。在這個(gè)背景下,研究IPO對(duì)中國(guó)股市的影響是有意義的,而本文主要研究的是IPO的行業(yè)板塊效應(yīng)。 本文的研究對(duì)實(shí)際投資有現(xiàn)實(shí)的指導(dǎo)意義,當(dāng)市場(chǎng)上出現(xiàn)了公司IPO時(shí),投資者可以做出更加理性的分析,通過(guò)分析IPO公司的企業(yè)特征、整個(gè)市場(chǎng)的投資環(huán)境、IPO公司所在的行業(yè)情況等,作出自己明智的判斷,從而及時(shí)地調(diào)整投資組合,提前賣出未來(lái)很有可能減值的資產(chǎn)組合來(lái)規(guī)避風(fēng)險(xiǎn)損失,提前買入未來(lái)很有可能升值的資產(chǎn)組合以獲取利潤(rùn)收益。而已經(jīng)在A股市場(chǎng)上上市的企業(yè),則能夠據(jù)此來(lái)判斷哪些將要IPO的企業(yè)可能會(huì)在上市后對(duì)自身股價(jià)產(chǎn)生沖擊,從而提前采取措施,避免將要IPO的企業(yè)對(duì)自身產(chǎn)生不利影響。 本文從理論上對(duì)產(chǎn)生IPO行業(yè)板塊的原因和影響IPO行業(yè)板塊效應(yīng)的因素進(jìn)行了詳細(xì)的分析和闡述。本文通過(guò)分析,認(rèn)為產(chǎn)生IPO行業(yè)板塊效應(yīng)的的正的影響因素是IPO抑價(jià),除此之外,還有產(chǎn)生IPO行業(yè)板塊效應(yīng)的負(fù)的影響因素——IPO使得行業(yè)競(jìng)爭(zhēng)加劇,并認(rèn)為IPO行業(yè)板塊效應(yīng)是在這兩種主要的因素的綜合作用下產(chǎn)生的。 IPO抑價(jià)現(xiàn)象是指首次公開發(fā)行的股票上市后(一般指第一天)的市場(chǎng)交易價(jià)格遠(yuǎn)高于發(fā)行價(jià)格,發(fā)行市場(chǎng)與交易市場(chǎng)出現(xiàn)了巨額的價(jià)差,導(dǎo)致首次公開發(fā)行存在較高的超額收益率。從IPO公司在交易市場(chǎng)上首日的交易情況來(lái)看,IPO公司發(fā)行的“新股票”在二級(jí)市場(chǎng)上首日收盤價(jià)格往往存在過(guò)高的情況。有許多學(xué)者對(duì)這種現(xiàn)象進(jìn)行過(guò)分析,并發(fā)現(xiàn)在我國(guó)股票市場(chǎng)和國(guó)外相對(duì)成熟的股票市場(chǎng)上都存在著這種現(xiàn)象。這就使得IPO公司發(fā)行的“新股票”首日收盤價(jià)和同行業(yè)其他可比上市公司股價(jià)相比出現(xiàn)了“溢價(jià)”現(xiàn)象。面對(duì)這種情況,理性的投資者會(huì)在IPO公司真正上市之前,采取行動(dòng),調(diào)整投資組合,從而在IPO公司真正上市之前的一段時(shí)間內(nèi),同行業(yè)的其他可比上市公司的股票價(jià)格就會(huì)受到影響。其中的理論邏輯在于：這種新股票“溢價(jià)”的存在使得同行業(yè)其他已上市公司股票價(jià)格與該新股票相比,顯得相對(duì)“低估”、“便宜”了,而且,新股票的這種“溢價(jià)”現(xiàn)象不會(huì)很快就被市場(chǎng)調(diào)整回來(lái),而是往往持續(xù)一段時(shí)間,于是,在這段時(shí)間內(nèi),IPO公司所在行業(yè)內(nèi),IPO公司發(fā)行的新股票和已經(jīng)上市的同行業(yè)內(nèi)公司的老股票存在著相對(duì)的價(jià)差,這就會(huì)導(dǎo)致和新股票相比,相對(duì)“低估”、“便宜”的老股票的價(jià)格最終上漲。因此,市場(chǎng)上理性的投資者或者投機(jī)者們預(yù)期到,IPO公司發(fā)行的新股票使得同行業(yè)其他已上市公司的股票價(jià)格相對(duì)“低估”、“便宜”,他們就會(huì)提前反應(yīng),在IPO公司真正上市之前買入同行業(yè)的“低估”、“便宜”的老股票,進(jìn)而會(huì)對(duì)行業(yè)板塊的收益產(chǎn)生正的影響。 從IPO使得行業(yè)競(jìng)爭(zhēng)加劇這方面來(lái)分析,一個(gè)公司選擇上市,往往表明公司可以通過(guò)上市獲得比保持現(xiàn)狀(不上市)更多的利益。例如,公司通過(guò)上市可以增強(qiáng)自身的資本規(guī)模,改善對(duì)自身的治理,提高自身的知名度和品牌效應(yīng),進(jìn)而增強(qiáng)自身的競(jìng)爭(zhēng)力。公司通過(guò)自身IPO,獲取更強(qiáng)的競(jìng)爭(zhēng)能力以后,很有可能會(huì)擠壓同行業(yè)其他上市公司的利潤(rùn)空間,打破現(xiàn)存的市場(chǎng)競(jìng)爭(zhēng)格局。因此,一個(gè)行業(yè)內(nèi),出現(xiàn)了新的公司IPO上市,這對(duì)于同行業(yè)的其他已上市公司來(lái)說(shuō),會(huì)加劇行業(yè)內(nèi)的競(jìng)爭(zhēng)程度,是一個(gè)“壞消息”,很有可能對(duì)行業(yè)內(nèi)其他已上市公司的股票收益率產(chǎn)生負(fù)的、不好的影響。 本文認(rèn)為,我們觀察到的IPO行業(yè)板塊效應(yīng)是正還是負(fù),取決于這兩種因素哪個(gè)更強(qiáng)。此外,本文還由這兩個(gè)因素引出了諸如規(guī)模IPO、是否和同行業(yè)其他公司同時(shí)IPO、前三個(gè)月內(nèi)該行業(yè)IPO次數(shù)、市場(chǎng)狀況、IPO企業(yè)的財(cái)務(wù)杠桿、公司IPO之前的表現(xiàn)、承銷商聲譽(yù)、行業(yè)的競(jìng)爭(zhēng)激烈程度這些更細(xì)節(jié)方面的因素,由此對(duì)我們判斷IPO行業(yè)板塊效應(yīng)提供了判斷的方向和依據(jù)。 本文根據(jù)事件研究法的研究方法,具體按照Fama、Fisher、Jensen和Roll(1969)股票分割研究中的市場(chǎng)模型方法來(lái)進(jìn)行研究,對(duì)我國(guó)2006年6月到2013年12月這一段時(shí)間內(nèi)的IPO行業(yè)板塊效應(yīng)進(jìn)行了實(shí)證研究。本文依照證監(jiān)會(huì)行業(yè)分類標(biāo)準(zhǔn),對(duì)所有樣本的行業(yè)劃分至少都在第二級(jí),大部分樣本劃分到了更詳細(xì)的第三級(jí)。并且在此基礎(chǔ)上,本文剔除可能影響研究準(zhǔn)確性的行業(yè)和IPO股票,最終留下了20個(gè)行業(yè),共98個(gè)樣本IPO股票,遵循了采用事件研究法時(shí),事件在窗口期內(nèi)的“純潔性”的原則。本文在數(shù)據(jù)時(shí)間跨度的選取上,選取了每個(gè)樣本IPO公司招股開始日前90天,IPO公司所在行業(yè)板塊的日收益率數(shù)據(jù),這樣能夠比較好的反映出公司IPO上市前,IPO公司所在行業(yè)板塊的收益率的趨勢(shì)。而IPO公司所在行業(yè)板塊的收益率,則是根據(jù)這90天的交易日內(nèi),將IPO公司所在行業(yè)板塊包含的公司的日收益率的數(shù)據(jù)進(jìn)行等權(quán)平均(這段時(shí)間內(nèi)并沒有交易的公司除外)。然后把IPO公司所在行業(yè)板塊包含的公司的日收益率對(duì)這90天交易日內(nèi)市場(chǎng)的平均日收益率數(shù)據(jù)進(jìn)行回歸,其中,市場(chǎng)的平均日收益率數(shù)據(jù)是根據(jù)滬深A(yù)股市場(chǎng)上所有交易的股票的等權(quán)平均計(jì)算出來(lái)的�；貧w出的模型的阿爾法和貝塔值經(jīng)過(guò)t檢驗(yàn),發(fā)現(xiàn)在1%的置信水平下是顯著的,表明回歸模型的擬合性良好。于是,本文通過(guò)將招股開始日到IPO公司真正上市前一天內(nèi),市場(chǎng)的平均日收益率數(shù)據(jù)代入到歸回模型中,計(jì)算出招股開始日到IPO公司真正上市前一天這段時(shí)間內(nèi),IPO公司所在行業(yè)板塊的預(yù)測(cè)正常日收益率。最后,用招股開始日到IPO公司真正上市前一天這段時(shí)間內(nèi),實(shí)際算出的IPO公司所在行業(yè)板塊的日收益率,減去IPO公司所在行業(yè)板塊的預(yù)測(cè)正常日收益率,得出招股開始日到IPO公司真正上市前一天這段時(shí)間內(nèi)IPO公司所在行業(yè)板塊的日超額收益率,并對(duì)日超額收益率進(jìn)行累計(jì),得出累計(jì)超額收益率。計(jì)算出的累計(jì)超額收益率是本文判斷IPO行業(yè)板塊效應(yīng)的指標(biāo)。如果累計(jì)超額收益率為零,則說(shuō)明我國(guó)滬深A(yù)股市場(chǎng)上不存在IPO行業(yè)板塊效應(yīng)；反之,如果累計(jì)超額收益率不為零,則能夠說(shuō)明我國(guó)滬深A(yù)股市場(chǎng)上存在著IPO行業(yè)板塊效應(yīng)。并且若累計(jì)超額收益率為正,則說(shuō)明公司IPO真正上市前的一段時(shí)間內(nèi),行業(yè)板塊存在著正的超額收益,通過(guò)提早買入行業(yè)板塊組合的股票,投資能夠取得超額收益；若累計(jì)超額收益率為負(fù),則說(shuō)明公司IPO真正上市前的一段時(shí)間內(nèi),行業(yè)板塊存在著負(fù)的超額收益,通過(guò)避免買入IPO公司所在行業(yè)板塊的股票的組合,能夠使投資避免遭受損失,進(jìn)一步,如果市場(chǎng)上存在著做空行業(yè)板塊股票的方法,那么便可做空IPO公司所在行業(yè)板塊的股票組合,從而獲取超額收益。最終的實(shí)證研究結(jié)果顯示,我國(guó)存在比較明顯的IPO行業(yè)板塊效應(yīng),并且大多數(shù)表現(xiàn)為正的IPO行業(yè)板塊效應(yīng),少數(shù)表現(xiàn)為負(fù)的IPO行業(yè)板塊效應(yīng)。從時(shí)間上來(lái)看,2006年到2011年間,平均來(lái)講,表現(xiàn)出正的IPO行業(yè)板塊效應(yīng),而從2012年到2013年,平均來(lái)講,表現(xiàn)出負(fù)的IPO行業(yè)板塊效應(yīng)。
[Abstract]:The development of the securities market in Chinese decades, China's stock market has experienced many twists and turns. Since the stock market Chinese waves after the opening, so far, has been suspended for 8 IPO. and China stock market IPO restart is good or bad, people on the market each have their own views. On the one hand, the market some people have dispute to restart the IPO, suggesting that IPO on the stock market is likely to have a negative impact, on the other hand, IPO restart again with the inevitability of it. In this context, research on the influence of IPO on Chinese stock market is significant, and this paper mainly studies the effect of IPO plate industry.
This study has practical guiding significance to the actual investment, when there is IPO on the market, investors can make more rational analysis, through the analysis of characteristics of the enterprises of IPO company, the whole market investment environment, IPO company in the industry situation, make their own judgment, to timely adjust the investment portfolio. The future is likely to sell in advance the impairment of asset portfolio to avoid the risk of loss, the future is likely to buy ahead of the appreciation of the portfolio to obtain profits. And has been listed in the A stock market of the enterprise, can according to judge which will IPO companies may be listed on its stock price impact, thus take measures in advance, avoid will IPO companies have an adverse effect on itself.
This paper gives a detailed analysis and explanation of the causes and effects of IPO industry plate plate effect of IPO industry factors in theory. Through the analysis, factors that produce plate effect of IPO industry is the influence of IPO underpricing, in addition, also produce plate effect IPO industry negative impact factors IPO makes the industry competition, and that the plate effect IPO industry is the result of comprehensive effect of these two major factors.
IPO underpricing refers to the phenomenon of IPO shares after the listing (generally refers to the first day) the market price is much higher than the issue price, issue market and trading market appeared huge price, lead to the initial public offering higher excess returns. From the IPO company in the trading market on the first day of trading, IPO company issued the "new shares" in the two grade market closing price are too high. Many scholars have conducted analysis of this phenomenon, and found that the stock market in our country and abroad relatively mature stock market exists this phenomenon. This makes the IPO company issued a "new stock" the first day closing price and the same industry other than the stock price of listed companies compared to the emergence of the "premium" phenomenon. In the face of this situation, rational investors will take action in the real IPO company before listing, adjustment The investment portfolio, resulting in real IPO company prior to the listing of a period of time, with the rest of the industry can be more than the stock prices of the listed companies will be affected. This is the theoretical logic: the existence of this new stock "premium" with other industries listed companies stock price compared with the new stock is relatively "undervalued", "cheap", but not the "new stock premium" phenomenon will soon be back market adjustment, but often continue for some time, so during this time, IPO company, IPO company issued new shares and listed companies in the industry have the same old there is a relative stock price, which will lead to new stock and compared, relatively undervalued "," cheap "old stock prices will eventually fall. Therefore, the market rational investors or speculators expected to IPO The new stock issue with other industries has been listed on the company's stock price is relatively undervalued, "cheap", they will react in advance, IPO company in the same industry really listed before buying "undervalued", "cheap" old stock, and thus will have a positive impact on the industry sector earnings.
From the IPO industry competition in this area to analyze, a company listed, listed companies can often show than to maintain the status quo (not listed) more benefits. For example, the company listed can strengthen their capital scale, improve the management of their own, to raise awareness and their own brand, and enhance the competitiveness of their own. The company through its own IPO, get stronger competition ability, is likely to squeeze with other industries listed companies profit margins, to break the existing pattern of market competition. Therefore, one of the industry, the emergence of new IPO companies, which for other listed companies in the same industry, will the degree of competition in the industry, is a "bad news", it is possible for the rest of the industry has been listed on the company's stock returns have a negative impact, not good.
This paper argues that IPO industrial effect we observed is positive or negative, depending on these two factors is the strongest. In addition, this paper also introduced by these two factors such as scale IPO, and other companies in the same industry at the same time IPO, three months before the IPO industry market conditions, the Financial Times. The lever of IPO company, IPO company's performance before, underwriter reputation factors, degree of industry competition of these more details, which provide the direction and determine the basis for us to judge plate effect of the IPO industry.
According to the method of event study, according to Fama, Fisher, Jensen and Roll (1969) stock market segmentation model in the study of methods to study, makes an empirical research on the effect of IPO plate industry in December 2013 this period of time for China to June 2006. According to the SFC industry classification standard for all the sample by industry are at least second, most of the samples into the third level in more detail. And on this basis, this may affect the accuracy of the research from industry and IPO stock, eventually leaving 20 industries, a total of 98 samples of IPO stock, followed by the event study method, in the event window during the period of "purity" principle. This paper selected the time span of data on each sample selected IPO company began 90 days before the date of the prospectus, the daily returns of IPO company in the industry sector, the To better reflect the company IPO before the listing, rate of return of IPO company in the industry sector trends. IPO company and the industry sector yields, is based on the 90 days of trading days, the industry of IPO company, the plate contains the daily return data in equal weight average (this time not trading company). Then you return the IPO company company plate contains the rate on the 90 day trading days the market average daily return data regression, the market average daily return data is based on the Shanghai and Shenzhen A shares market on all stock trading the weight average calculated. The regression model of Alfa and Berta value after t test, found under 1% confidence level is significant, showed that the fitting of the regression model. Then the good day to IPO, through the public offering Our true the day before the listing, the market average rate of return on revenue data into the model, calculate the start date to the IPO company stock moves really the day before listing this time, IPO's industry sector forecast normal daily return rate. Finally, by offering day to IPO company before listing a real this period of time, the actual daily return IPO calculated the industry sector rate minus the IPO company in the industry sector to forecast the normal rate of return on excess returns on stocks began to moves to IPO true the day before listing this time IPO's industry sector and the cumulative rate. The excess rate of return, the cumulative excess return rate. Calculate the cumulative abnormal return is the judgment of plate effect IPO industry index. If the cumulative excess return rate is zero, then China's Shanghai and Shenzhen A stock market does not exist in IPO On the contrary, if the effect of the industry sector; the cumulative excess return rate is not zero, is able to explain China's Shanghai and Shenzhen A stock market there is a plate effect of the IPO industry. And if the cumulative excess return is positive, the company really IPO listed before a period of time, the industry sector has positive excess return by early composite plate stock to buy the industry, investment can obtain excess returns; if the cumulative abnormal return is negative, the company really IPO listed before a period of time, the industry sector has a negative excess return, through the combination of IPO company in the industry to avoid buying stocks, can make the investment to avoid losses further, if the market exists, short industry sector stocks, so it can short the IPO company stocks portfolio to obtain excess returns. The final empirical results show In China, there is obvious effect of the industry IPO plate, and most showed IPO positive plate effect of industry, few of them show a negative IPO plate effect industry. From the view of time, from 2006 to 2011, on average, showed a positive effect of IPO plate industry, from 2012 to 2013, average that showed a negative IPO plate effect industry.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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