创业板IPO定价合理性的实证研究

›› 2016 ›› Issue (5): 41-52.

创业板IPO定价合理性的实证研究

刘强强, 黄顺武

合肥工业大学经济学院, 安徽合肥 230601

收稿日期:2016-07-17 出版日期:2016-09-15 发布日期:2016-09-24
作者简介:刘强强(1993-),男,甘肃天水人,合肥工业大学经济学院硕士研究生;黄顺武(1973-),男,安徽肥东人,合肥工业大学经济学院副教授,博士,研究方向为金融市场、国际经济。
基金资助:
国家社科基金项目“机构投资者报价与创业板新股审慎性定价研究”阶段性研究性成果（项目编号14BJY181）。

Empirical Research on the Rationality of the GEM IPO Pricing

LIU Qiang-qiang, HUANG Shun-wu

School of Economics, HeFei University of Technology, Hefei, Anhui 230601, China

Received:2016-07-17 Online:2016-09-15 Published:2016-09-24

摘要/Abstract

摘要： 以2009-2012年在创业板上市的354家企业为研究样本，从企业内在价值和市场风险价值两方面的视角出发，采用风险价值模型VaR、主成分分析法和EFF效率值考察了我国创业板IPO定价过程中的合理性。研究发现：为提高定价效率，市场风险应当纳入到IPO的发行机制中，且发现在考察期内市场风险对股票内在价值具有正向的加成作用；与市场价格相较而言，股票发行价格未能很好地反应出股票价值；当投资者意识到新股发行定价过程中有价值泡沫的出现时，会导致首日收益率降低乃至破发。

关键词: IPO, 创业板, VaR模型, 主成分分析法, EFF效率值, 可比公司法

Abstract: Based on the sample of 355 Gem listed companies from 2009 to 2012,this paper studies the rationality in the process of the Gem IPO pricing in our country by using VaR value at risk model and principal component analysis and efficiency value from two perspectives of enterprise internal value and market value at risk.The result indicate that market risk shall be incorporated in to the issue of IPO mechanism in order to improve the efficiency of pricing. It is found that the market risk has positive effect on the intrinsic value of the stock during the inspection period.The price of the share issue is difficult to reflect the value very well compared with the market price. When investors realize the value bubbles in the pr-ocess of IPO pricing, they would lead to lower yields on the first day, and even break.

Key words: IPO, Gem, VaR modle, principal component analysis, efficiency value, comparable company analysis

中图分类号:

F830.91

刘强强, 黄顺武. 创业板IPO定价合理性的实证研究[J]. , 2016(5): 41-52.

LIU Qiang-qiang, HUANG Shun-wu. Empirical Research on the Rationality of the GEM IPO Pricing[J]. , 2016(5): 41-52.

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