中国创业板市场IPO的资本配置效率研究
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摘要
随着我国创业板股票市场的建立,我国多层次资本市场体系的逐步形成,建立创业板的必要性探讨已经成为过去的事情。对其关注点演变为：多层次资本市场的架构的进一步完善；多层次资本市场体系和创业板的运行和配置效率的提高。现有的研究侧重于前者,而对资本配置效率的研究明显被忽略,本文研究的关注点即选择对我国创业板资本配置效率的问题进行探讨。
本文严格遵循经典的实证论文框架,按照理论分析支撑实证检验、实证检验佐证理论分析结论的双重关系展开论文的研究。研究思路为：第1章阐述研究背景,提出研究问题。第2章相关研究文献梳理和第3章创业板市场IPO特征,共同构成文章的理论分析部分,为后续的研究提供理论依据。第4章“创业板IPO资本配置效率实证分析”评价我国创业板股票市场的资本配置效率。第5章研究创业板股票市场资本配置的起点-定价及定价效率。第6章对创业板股票市场IPO中投资者与资本配置效率研究,检验机构投资者在资本配置中的导向作用。第7章对创业板IPO上市公司与资本配置进行研究。第8章是研究的结论及提高我国创业板市场IPO资本配置效率的应对策略。文章围绕在投资、融资、资本配置与创业板IPO这一核心问题上,各章节的理论分析与实证检验是层层递进。其中,核心部分是第四章至第七章,分别探讨创业板IPO的投资、融资和资本配置效率的关系。
通过上述研究主要得出以下结论：
(1)证券市场资本配置是指通过证券市场的融资机制,促进资金合理流向发展前景好的行业或企业。本文按照资本逐利性原则,研究了中国创业板股票市场IPO的资本配置效率,分析创业板IPO融资与不同收益水平的行业产生的资本配置效率,指出我国创业板股票市场的资本配置效率相对较低。
(2)资本市场的定价效率对其资本配置功能的发挥具有决定性作用,文章利用多元线性回归分析了影响我国创业板股票市场定价效率的因素,分析结果表明显著影响超额抑价率的因素是首日换手率和中签率,投资者“从众”效应假说和投机-泡沫假说来解释我国创业板股票市场的IPO首日超额抑价率现象。
(3)按照创业板资金供应链关系,先从融资过程中的资本配置进行分析。通过分析创业板股票市场上投资者结构,指出我国创业板股票市场上以广大个人投资者为主,实证分析机构投资者与资本配置效率的关系,机构投资者对把握优质的上市公司起到了正向作用,但是弹性系数仍远小于1。
(4)按照创业板资金供应链关系,再从融资后的资本再配置进行分析。文章利用统计数据分析了创业板上市公司的融资效果,相对其他资本市场,IPO上市后显著提高了收入、毛利润率,但净利润率却没有得到显著提高。利用DEA方法综合评价了创业板股票市场的股权融资效率,发现存在着资金投入和产出的不均衡现象。文章在分析创业板机构投资者持股与资本再配置效率的关系时,从低效率融资是否得到抑制角度进行研究资本再配置效率的提高。通过实证检验机构投资者持股对上市公司低效率融资不具有制约作用,不能通过制约上市公司低效率融资从而达到提高资本再配置效率。
本文的创新之处主要体现在以下两方面：一是系统地用实证方法研究了中国创业板股票市场IPO资本配置效率,从资金供应链角度分析创业板IPO的资本配置效率。先分析创业板市场是否具备将投资者的资金合理导向收益率高的行业的能力；再按照资金供应链角度分析融资过程中的定价效率、抑价的影响因素、机构投资者与资本配置的关系；然后分析融资后的资本配置效率,先分析上市公司在创业板IPO融资中的效果,分析创业板上市公司股权融资效率的影响因素,再分析创业板上市公司在融资后的资本再配置效率,将创业板股票市场资本配置作用分成两个部分融资资本配置效率和融资后资本再配置效率。二是系统地用实证方法研究了中国创业板股票市场IPO的资本配置效率,提出IPO资本配置效率模型,机构投资者与资本再配置效率模型。
文章还存在一些有待进一步探讨的不足之处。由于创业板股票市场成立才三年,实证分析时面板数据不易获得,将时间序列数据引入度量IPO资本配置效率的理论研究模型,这是未来研究值得重点深化的方向之一。
The ChiNext has become the backbone of the multi-level capital market, the research about the efficiency of capital allocation of the ChiNext stock market mainly includes three aspects:the linkages study of listed companies and investors based on the efficiency of capital allocation;investors and the efficiency of capital allocation;listed companies and the efficiency of capital allocation..It is particularly important for us to research on financing efficiency of of listed companies, investors and the ChiNext stock market capital allocation and re-allocation efficiency.
Abiding by the classical empirical papers framework, according to the dual relationship that the theoretical analysis support the empirical test and the empirical evidence gives proof to support the theory analysis, the paper makes thesis research. Research ideas is as follows:chapter1sets forth research background and puts forward the research questions.Chapter2and chapter3review related research literature and characteristics of ChiNext IPO, all these constitute the theoretical analysis part of the paper and provide theoretical basis for follow-up studies.Chapter4"empirical analysis on the ChiNext IPO capital allocation efficiency " evaiuates the ChiNext capital allocation efficiency of stock market in our country. Chapter5studies the starting point of the ChiNext stock market capital allocation-pricing. Chapter6focuses on the ChiNext IPO stock market investors and capital allocation efficiency research, it tests the guide role of institutional investors in the capital allocation. Chapter7focuses on the ChiNext IPO of listed companies and capital allocation. Chapter8is the conclusion and puts forth the coping strategies to improve IPO capital allocation efficiency in the ChiNext. The paper encloses this core issue of the investment, financing, capital allocation, the chapters are layers of progressive.
To achieve these goals, this paper carries out studies though introduction, documents review, theoretical analysis framework, empirical test and concluding, the paper carries out the system research. The core of the paper is from Chapter4to chapter7, it discusses about the capital investment and financing and capital allocation efficiency respectively.
Through the above research,it draws the following conclusions:
(l)Securities market capital allocation refers to making capital flows direct to the good industries or enterprises through the securities market financing mechanism. In accordance with the principle of capital profit-driven, this paper studies the ChiNext stock market IPO efficiency of capital allocation, it analyzes the relationship between the ChiNext IPO financing and the industry capital allocation efficiency of different income levels,it points out low efficiency of capital allocation in the ChiNext. Capital market pricing efficiency plays a decisive role in the allocation of capital, the paper makes use of multiple linear regression analysis of the factors, which affect the ChiNext stock market pricing efficiency in our country, its analysis results show that the significant factors affecting is the excess rate of underpricing on the IPO day and lot winning rate, investors "herd effect" hypothesis and speculative bubbles hypothesis can account for the excess rate of underpricing phenomenon on the IPO day in the ChiNext.
(2)In accordance with the capital chain relationship in the ChiNext, it starts with capital allocation in the process of financing. Through the analysis of investors structure in the ChiNext stock market, it points out that the ChiNext stock market is given priority to the general retail investors,.
(3)The paper makes the empirical analysis that the relationship between institutional investors and capital allocation efficiency and points out that institutional investors have played a positive role to grasp high-class listed companies, but the value of number is still far smaller than1.
(4)Using the statistical data of the financing effect, it analyzes the financing effect of companies listed in the ChiNext,it improves significantly revenue, gross margin, but net profit margin has not been improved significantly after the IPO.Using DEA method, the paper gives comprehensive evaluation of equity financing efficiency in the ChiNext, and finds that there are the imbalance phenomenon of funds input and output. From the angle of whether low efficiency of financing can be suppressed,the paper makes research about the relationship between the ChiNext institutional investor shareholding and the capital re-allocation efficiency.Through empirical research,it tests that institutional investor shareholding isn't constraint condition of the low financing efficiency of listed companies and couldn't improve the efficiency of capital allocation.
The innovation of this paper is mainly manifested in the following two aspects: One is that the paper uses empirical method to research the ChiNext stock market IPO capital allocation efficiency by the numbers.From the point of view of capital supply chain,it analyses about ChiNext IPO capital allocation efficiency. Firstly,it analyses adout orientation ability of the growth enterprise market that make investors invest funds reasonably; Secondly, according to the angle of capital supply chain, it analyses about pricing efficiency, the influence factors of underpricing, the relationship between institutional investors and capital allocation; Finally,it analyses about financing capital allocation efficiency,make analysis of listed companies on the ChiNext IPO financing effect, the influencing factors for the ChiNext listed company equity financing efficiency, and then analyzes the financing of re-capital allocation efficiency of the ChiNext listed companies.The ChiNext stock market capital allocation function is divided into two parts:capital allocation efficiency and refinancing efficiency of capital allocation.The another innovation is that uses empirical method to research systematically the ChiNext stock market IPO capital allocation efficiency, the proposed IPO capital allocation efficiency model, institutional investors and capital re-allocation efficiency model.
This paper has some shortcomings remained to be further discussed. Because the ChiNext stock market was set up three years ago, empirical analysis of the data sample is not easy to obtain, we need further explore about empirical analysis of capital allocation effect and induct the time sequence data to measure IPO effect.
本文严格遵循经典的实证论文框架,按照理论分析支撑实证检验、实证检验佐证理论分析结论的双重关系展开论文的研究。研究思路为：第1章阐述研究背景,提出研究问题。第2章相关研究文献梳理和第3章创业板市场IPO特征,共同构成文章的理论分析部分,为后续的研究提供理论依据。第4章“创业板IPO资本配置效率实证分析”评价我国创业板股票市场的资本配置效率。第5章研究创业板股票市场资本配置的起点-定价及定价效率。第6章对创业板股票市场IPO中投资者与资本配置效率研究,检验机构投资者在资本配置中的导向作用。第7章对创业板IPO上市公司与资本配置进行研究。第8章是研究的结论及提高我国创业板市场IPO资本配置效率的应对策略。文章围绕在投资、融资、资本配置与创业板IPO这一核心问题上,各章节的理论分析与实证检验是层层递进。其中,核心部分是第四章至第七章,分别探讨创业板IPO的投资、融资和资本配置效率的关系。
通过上述研究主要得出以下结论：
(1)证券市场资本配置是指通过证券市场的融资机制,促进资金合理流向发展前景好的行业或企业。本文按照资本逐利性原则,研究了中国创业板股票市场IPO的资本配置效率,分析创业板IPO融资与不同收益水平的行业产生的资本配置效率,指出我国创业板股票市场的资本配置效率相对较低。
(2)资本市场的定价效率对其资本配置功能的发挥具有决定性作用,文章利用多元线性回归分析了影响我国创业板股票市场定价效率的因素,分析结果表明显著影响超额抑价率的因素是首日换手率和中签率,投资者“从众”效应假说和投机-泡沫假说来解释我国创业板股票市场的IPO首日超额抑价率现象。
(3)按照创业板资金供应链关系,先从融资过程中的资本配置进行分析。通过分析创业板股票市场上投资者结构,指出我国创业板股票市场上以广大个人投资者为主,实证分析机构投资者与资本配置效率的关系,机构投资者对把握优质的上市公司起到了正向作用,但是弹性系数仍远小于1。
(4)按照创业板资金供应链关系,再从融资后的资本再配置进行分析。文章利用统计数据分析了创业板上市公司的融资效果,相对其他资本市场,IPO上市后显著提高了收入、毛利润率,但净利润率却没有得到显著提高。利用DEA方法综合评价了创业板股票市场的股权融资效率,发现存在着资金投入和产出的不均衡现象。文章在分析创业板机构投资者持股与资本再配置效率的关系时,从低效率融资是否得到抑制角度进行研究资本再配置效率的提高。通过实证检验机构投资者持股对上市公司低效率融资不具有制约作用,不能通过制约上市公司低效率融资从而达到提高资本再配置效率。
本文的创新之处主要体现在以下两方面：一是系统地用实证方法研究了中国创业板股票市场IPO资本配置效率,从资金供应链角度分析创业板IPO的资本配置效率。先分析创业板市场是否具备将投资者的资金合理导向收益率高的行业的能力；再按照资金供应链角度分析融资过程中的定价效率、抑价的影响因素、机构投资者与资本配置的关系；然后分析融资后的资本配置效率,先分析上市公司在创业板IPO融资中的效果,分析创业板上市公司股权融资效率的影响因素,再分析创业板上市公司在融资后的资本再配置效率,将创业板股票市场资本配置作用分成两个部分融资资本配置效率和融资后资本再配置效率。二是系统地用实证方法研究了中国创业板股票市场IPO的资本配置效率,提出IPO资本配置效率模型,机构投资者与资本再配置效率模型。
文章还存在一些有待进一步探讨的不足之处。由于创业板股票市场成立才三年,实证分析时面板数据不易获得,将时间序列数据引入度量IPO资本配置效率的理论研究模型,这是未来研究值得重点深化的方向之一。
The ChiNext has become the backbone of the multi-level capital market, the research about the efficiency of capital allocation of the ChiNext stock market mainly includes three aspects:the linkages study of listed companies and investors based on the efficiency of capital allocation;investors and the efficiency of capital allocation;listed companies and the efficiency of capital allocation..It is particularly important for us to research on financing efficiency of of listed companies, investors and the ChiNext stock market capital allocation and re-allocation efficiency.
Abiding by the classical empirical papers framework, according to the dual relationship that the theoretical analysis support the empirical test and the empirical evidence gives proof to support the theory analysis, the paper makes thesis research. Research ideas is as follows:chapter1sets forth research background and puts forward the research questions.Chapter2and chapter3review related research literature and characteristics of ChiNext IPO, all these constitute the theoretical analysis part of the paper and provide theoretical basis for follow-up studies.Chapter4"empirical analysis on the ChiNext IPO capital allocation efficiency " evaiuates the ChiNext capital allocation efficiency of stock market in our country. Chapter5studies the starting point of the ChiNext stock market capital allocation-pricing. Chapter6focuses on the ChiNext IPO stock market investors and capital allocation efficiency research, it tests the guide role of institutional investors in the capital allocation. Chapter7focuses on the ChiNext IPO of listed companies and capital allocation. Chapter8is the conclusion and puts forth the coping strategies to improve IPO capital allocation efficiency in the ChiNext. The paper encloses this core issue of the investment, financing, capital allocation, the chapters are layers of progressive.
To achieve these goals, this paper carries out studies though introduction, documents review, theoretical analysis framework, empirical test and concluding, the paper carries out the system research. The core of the paper is from Chapter4to chapter7, it discusses about the capital investment and financing and capital allocation efficiency respectively.
Through the above research,it draws the following conclusions:
(l)Securities market capital allocation refers to making capital flows direct to the good industries or enterprises through the securities market financing mechanism. In accordance with the principle of capital profit-driven, this paper studies the ChiNext stock market IPO efficiency of capital allocation, it analyzes the relationship between the ChiNext IPO financing and the industry capital allocation efficiency of different income levels,it points out low efficiency of capital allocation in the ChiNext. Capital market pricing efficiency plays a decisive role in the allocation of capital, the paper makes use of multiple linear regression analysis of the factors, which affect the ChiNext stock market pricing efficiency in our country, its analysis results show that the significant factors affecting is the excess rate of underpricing on the IPO day and lot winning rate, investors "herd effect" hypothesis and speculative bubbles hypothesis can account for the excess rate of underpricing phenomenon on the IPO day in the ChiNext.
(2)In accordance with the capital chain relationship in the ChiNext, it starts with capital allocation in the process of financing. Through the analysis of investors structure in the ChiNext stock market, it points out that the ChiNext stock market is given priority to the general retail investors,.
(3)The paper makes the empirical analysis that the relationship between institutional investors and capital allocation efficiency and points out that institutional investors have played a positive role to grasp high-class listed companies, but the value of number is still far smaller than1.
(4)Using the statistical data of the financing effect, it analyzes the financing effect of companies listed in the ChiNext,it improves significantly revenue, gross margin, but net profit margin has not been improved significantly after the IPO.Using DEA method, the paper gives comprehensive evaluation of equity financing efficiency in the ChiNext, and finds that there are the imbalance phenomenon of funds input and output. From the angle of whether low efficiency of financing can be suppressed,the paper makes research about the relationship between the ChiNext institutional investor shareholding and the capital re-allocation efficiency.Through empirical research,it tests that institutional investor shareholding isn't constraint condition of the low financing efficiency of listed companies and couldn't improve the efficiency of capital allocation.
The innovation of this paper is mainly manifested in the following two aspects: One is that the paper uses empirical method to research the ChiNext stock market IPO capital allocation efficiency by the numbers.From the point of view of capital supply chain,it analyses about ChiNext IPO capital allocation efficiency. Firstly,it analyses adout orientation ability of the growth enterprise market that make investors invest funds reasonably; Secondly, according to the angle of capital supply chain, it analyses about pricing efficiency, the influence factors of underpricing, the relationship between institutional investors and capital allocation; Finally,it analyses about financing capital allocation efficiency,make analysis of listed companies on the ChiNext IPO financing effect, the influencing factors for the ChiNext listed company equity financing efficiency, and then analyzes the financing of re-capital allocation efficiency of the ChiNext listed companies.The ChiNext stock market capital allocation function is divided into two parts:capital allocation efficiency and refinancing efficiency of capital allocation.The another innovation is that uses empirical method to research systematically the ChiNext stock market IPO capital allocation efficiency, the proposed IPO capital allocation efficiency model, institutional investors and capital re-allocation efficiency model.
This paper has some shortcomings remained to be further discussed. Because the ChiNext stock market was set up three years ago, empirical analysis of the data sample is not easy to obtain, we need further explore about empirical analysis of capital allocation effect and induct the time sequence data to measure IPO effect.
引文
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