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1、 I II III 摘摘 要要 企业第一次公开发行股票被称作首次公开发行（Initial Public Offerings， IPO） ，是股份公司由少数人持股转变为公众持股的重要步骤。首次公开发行中 的许多现象一直是人们关注和研究的热点，其中被人们称为“新股之谜” （New Issue Puzzle）的IPO抑价现象就是当今金融界的研究热点之一。IPO的抑价现象不 仅令证券监管部门、发行企业、承销商、投资者以及证券分析师十分关注，而且 吸引了众多理论界学者对其进行了大量的研究探讨。 IPO抑价现象在所有股票市场普遍存在， 只是各个国家和地区之间的抑价幅 度各不相同。一般而言，与发达资本市场相
2、比，新兴市场IPO抑价现象更为严重。 其中，我国IPO抑价程度是最高的。有统计资料表明，在美国、英国、法国等发 达国家的IPO抑价程度为10%-20%之间时，我国的IPO平均首日报酬率从高达388% 下降至135%， 抑价现象虽然有所缓和， 但与发达资本市场相比仍然存在很大差距。 因此，测度我国股票市场目前IPO抑价程度、寻找我国新股抑价现象的形成原因 以及提出政策建议来缩短与发达资本市场的差距是本文的研究重点。 本文的主要 内容如下： 第一章，首先介绍了IPO抑价问题的研究背景,包括IPO的重大意义、IPO抑价 现象的普遍性以及IPO抑价所带来的问题， 并针对该问题阐述了本文的研究意义。 其
3、次，介绍了本文的研究思路和研究方法，并勾画出了本文的研究框架。最后， 指出了本文的研究创新与不足。第二章，主要从信息的不对称、承销商的声誉和 投资者的情绪三个角度综述了国内外有关IPO抑价问题的研究文献。第三章，在 阐述了IPO抑价理论的基础上， 对我国IPO抑价现象的形成原因及其影响进行了初 步分析。该部分详细介绍了我国特殊的新股审核制度和新股定价制度，指出这种 特殊的新股发行制度可能是造成我国新股抑价的主要原因。第四章，选取了2000 年1月1日至2008年12月31日在沪深两市上市的727只新股为样本，从信息的不对 称、 承销商的声誉、我国特殊的新股发行制度以及我国投资者的情绪四个角度进
4、 行了实证分析。第五章,在得出实证结论的基础上，从财务管理的角度出发，给 IV 发行新股的上市公司提出了降低新股抑价率的政策建议。 本文的创新点及特色也 正在于此：从财务管理的角度出发，站在微观参与者的立场上，针对发行新股的 上市公司提出自己的政策建议，指导我国的上市公司对IPO进行合理定价，促进 资本市场资源的优化配置。 本文通过研究发现：中国IPO新股首日收益率总体水平为111.29%，与以往统 计结果相比，新股抑价发行现象已经有所缓和。但是与发达资本市场相比，仍然 存在一定的差距。其中，我国沪市新股首日收益率总体水平为93.94%，2000年 2008年新股首日收益率从总体上来说是逐渐下
5、降的， 这说明我国沪市发行市场在 不断成熟。我国深市新股首日收益率总体水平为80.08%，比沪市要低出接近14 个百分点，但是通过将沪深两市进行深入地对比可以发现，深市新股首日收益率 的波动明显高于沪市新股首日收益率的波动。 信息的不对称导致了我国股票市场 IPO的抑价，而承销商的声誉和作用、我国股票市场特殊的新股审核制度和新股 定价制度以及二级市场的投机氛围显著影响了我国股票市场IPO的抑价程度。 关键词：关键词：IPO；抑价发行；首日收益率；上市公司 III Abstract Enterprises first public issuance of stocks is called an
6、Initial Public Offerings (IPO). It is an important step to change the minority stake in the companys shares to the public ownership. A great amount of phenomena of the IPO have always been the heated topic, paid attention and researched by many people. The so-called “New Issue Puzzle“ of IPO under-p
7、ricing phenomenon is one of todays heated topics researched in financial world. IPO under-pricing phenomenon is not only drew much attention by securities regulatory department, issuing enterprise, underwriter, investors and securities analysts, but also attracted many theoretical scholars to make a
8、 great deal of research and discussion on it. IPO under-pricing phenomenon exists in all stock market. The range of the under-pricing is the only difference between the various countries and regions. Generally speaking, compared with the developed capital market, emerging markets IPO under-pricing p
9、henomenon is more serious. And in China, such phenomenon is the highest degree. As the statistical data showing, the range of the IPO under-pricing is during 10%20% in America, England, and France etc. Chinas first return average rate of IPO drops from 388% to 135%. Although the under-pricing phenom
10、enon has been eased somewhat, it still has a very big disparity compared with the developed capital market. Therefore, the focal point of this thesis is to measure the degree of IPO under- pricing in Chinas stock market, to find out the causes of the high under-pricing of the new stock and put forwa
11、rd policy suggestions to shorten the gap with the developed capital market.The main contents of this thesis include as follows: Chapter , at fi rst i nt roduces the research background including the significance of IPO,the universality of IPO under-pricing phenomenon and the problems brought by IPO
12、under-pricing phenomenon , and elaborates the research meaning of IPO under-pricing.Second introduces the ideas and methods of this thesis and draws the out line of research framework.Last points out the innovation and deficiencies.Chapter , summaries the research literatures at home and abroad in I
13、V detail about the IPO under-pricing problem from three angles of the asymmetry of information, the underwriters reputation and the emotion investors.Chapter , on t he basis of the theory of IPO under-pricing, giving a preliminary analysis on the cause and influence of such phenomenon in China.This
14、part introduces the special IPO system in China and points out this special IPO system may be the pain reason of IPO under-pricing phenomenon in China.Chapter, sel ect i ng 727 samples in Shanghai market and Shenzhen market of January 1, 2000 to December 31st, 2008 and choose four items - The asymme
15、try of information, the underwriters reputation, the special IPO system in China and the emotion Chinese investors - to confirm and analyze the point; Chapter, on t he basis of the conclusion, to provide some policy suggestions for the new listed companies to drop the rate of new stock from the fina
16、ncial management part. And Chapter i s j ust t he i nn thesis. The view of this thesis: Chinas first return average rate of IPO is 111.29%. Compared with the previous statistical results, the new stock under-pricing phenomenon has been eased somewhat. But compared with developed capital market, there is still a gap. Shanghai markets first return average rate overall level is 93.94%. 2000-2008 the first new from overall yield is gradually diminishing. It shows that Shangh
