论文标题:询价制度下的新股定价模型研究
Pricing Model of New Stock under Seeking System
论文作者
论文导师 王敬,论文学位 硕士,论文专业 金融学
论文单位 大连理工大学,点击次数 848,论文页数 71页File Size3752k
2006-04-28论文网 http://www.lw23.com/lunwen_451077/
Inquiry System;Behavioral Finance;Prospect Theory;Principal Components Analysis;Pricing Model
初步询价和累计投标询价制度的实施是我国证券市场发行方式市场化的重要标志,新的询价制度要求询价对象尽可能的准确评价发行人的价值,高估发行人的价值,必会带来严重的损失,而压低发行人的价值,很可能申购不到新股,从而失去获利的机会。因此对新股的定价显得格外重要。目前中国证券市场参与者中的中小投资者仍占有相当大比重,市场参与者发生非理性行为发生的概率较高。按照行为资产定价理论,股票价格中不仅包含公司基本面方面的价值,又包含市场对公司未来发展的预期以及当时的市场环境因素和投资者的心理因素等,因此在对股票进行定价的时候,不能不考虑非理性行为因素。 基于以上现实背景和理论基础,本文选取以询价制度发行的15只新股为样本,搜集它们的初步询价阶段数据和上市阶段数据,运用统计学方法对初步询价阶段的数据进行了统计分析,发现了初步询价过程中某些指标变化的规律,并提取出一些初步询价阶段可能对新股价格产生重要影响的心理行为因素。基于行为金融学中的期望理论,构建出期望函数模型,并对期望理论的适用性进行了实证研究,得出期望理论适用于我国证券市场的结论,并从中提取出在新股上市阶段可能对股票价格产生影响的心理行为因素。在综合考虑公司基本价值、宏观市场价值、心理行为价值三方面因素的基础上,选取指标,运用主成分分析法筛选指标,提取主成分因子,建立了询价制度下的新股定价模型,并对模型的应用效果进行了检验,证实了引入心理因素的定价模型要比以往的定价模型更有效。 本文的特色和创新点在于:(1)在询价制度下首次对初步询价结果进行统计分析,发掘反映机构投资者心理变化的行为因素;(2)运用初步询价结果的数据建立了期望理论中的价值函数和权重函数,从而建立起期望函数模型;(3)将反映投资者心理的行为因素引入新股定价模型,增强模型预测的准确性。 通过本文的研究,发现股票价格的决定性因素仍以基本面因素为主,但存在于不同阶段的心理行为因素所产生的影响也不可忽视。如果能够准确地估计出心理行为因素对股票价格的影响程度,就可以采取适当策略,利用人们的心理来获得更高的收益。本文的研究成果对于机构投资者和个人投资者都具有重要的参考价值。
The execution of the system combination of pre-seeking and book building seeking is the significant symbol of the marketization of Initial Public Offering of our Security Market. The new seeking system requires seeking objects evaluate as accurate as possible. If they overrate the value, they have to accept the lost. If they underrate the value, they may lose the chance to subscribe so that they may lose the chance to get profit. So it seems to be very important to price accurately. At present, small single investors take the large percent of China Security participants, so the probability of non-rational is still higher. Based on Behavioral Asset Pricing Theory, stock price includes not only basic value of listed corporation, but also the prospective to the future of corporation, market environment factor and the psychology factor of investors, so we must take the wrong pricing resulted in non-rational behavior into consideration when pricing.Based on above realism background and theoretical foundation, the paper selects 15 stocks under seeking system as sample, and collects their pre-seeking data as well as market data. Then it analysis the pre-seeking data in virtue of statistics method, and discovers some rules of the variety of indexes, and distill some behavioral indexes under pre-seeking that may influence the price largely. Based on Prospect Theory in Behavioral Finance, it builds up Prospect Function Model, and carries out the demonstration research to the applicability of Prospect Theory, and draws the conclusion that Prospect Theory is the same with our security market. Then it distills some behavioral indexes under listed moment that may influence the price largely. Consideration on the basic value of corporation, market value and behavioral value integrally, it chooses indexes, filter indexes with principal component method, distills principal factors, builds up pricing model under seeking system, and checks up the application effect of model, so that it proves that pricing model importing the behavioral factors is more availability than the models before.The characteristics and innovations are as follows: (1) it analysis the pre-seeking result under seeking system for the first time, and discovers the behavioral factors that can reflect the change of investors" psychology. (2) it builds up value function and weight function of prospect theory with the data in pre-seeking result, and the builds up prospect function model. (3) it bring the behavioral factors that can reflect investors" psychology into pricing model, which can improve the veracity of pricing model forecast.Through the research of the paper, it discovers that the crucial factor is still the basic factor of corporation, but we should not neglect the influence of behavioral factor under different moment. If we can estimate the influence degree of behavioral factor, we can take probable s trategy t o g et m ore return m aking u se o f p eople"s p sychology. The result o f thepaper is useful and valuable to both institution investors and individual investors.
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