主成分分析论文：创业板IPO多因素定价模型

1、主成分分析论文：创业板IPO多因素定价模型【中文摘要】2009年10月28日,中国资本市场重新翻开了历史崭新的一页,即深圳股票交易市场创业板正式开始交易。创业板市场的开启有利于构建我国形成多层次的资本市场,有利于中小企业和高成长行业的进一步发展,为其融资提供了新的道路,这一举动,引起了众多媒体的关注。创业板市场在各个方面都与主板和中小板有着明显的区别,对IPO合理定价就成为创业板市场是否能够安定有序的进行发展的一个重要表现,另外IPO定价和关系到广大投资者、承销商、发行人等相关利益者的利益,同时直接影响资本市场资源配置效率。因此IPO定价就特别重要。文章分为几个部分,首先在第一部分,在描述选题

2、背景和写作背景的基础上,说明写作动因和研究方法以及基本研究思路;在第二部分主要对股票定价进行理论综述,并进行创业板IPO定价的适应性分析;在第三部分,本文通过介绍创业板市场状况以及IPO价格的合理情况来引出需要合理定价的必要性;第四部分,深入探讨影响IPO定价因素及其分析这些因素是如何影响IPO价格,成为下文选择因素分析的一个重要铺垫;第五部分,简述本文使用方法的理论,以及第四部分提到的因素的数据处理;在文章的最重要的部分,即第六部分,利用主成分分析将多项指标浓缩成几个主成分因子,并用逐步多元回归分析法对IPO上市后月均价做回归分析,建立IPO多因素定价模型。IPO发行定价是否符合二级市场的均

3、衡价格是判断发行定价是否合理的一个重要的标准,因此本文利用的上市后月均价作为多因素定价模型的因变量。最后,即本文的第七部分,利用多因素定价模型文章对五支股票对来进行预测,最终说明模型的能够较好的估计股票的定价,可以作为股票定价的参考,并对创业板IPO定价进一步研究进行展望。多因素定价模型的核心思想是通过各种方法提取影响体现公司股票价格的内在因素和外在因素,并定量和定性的体现这些因素和股票价格的关系。本文利用的是主成分分析法和逐步多元分析法,研究发现,各项因素均对IPO价格有一定的影响,有反映公司财务因素,如每股收益的增长率水平、总利润的增长水平、总资产报酬率ROA、净资产收益率ROE、负债及股

4、东权益总计和每股净资产BPS,这些影响的效果较为明显,有反应行业的发展状况的因素。对其有重要影响的还有股票发型时市场风险、基本盈利情况和公司成长情况等。另外,模型显示显示上市日市场景气度、发行日市场景气度、公司股本结构对创业板的IPO价格的影响不显著。总之,本文主要揭示了影响IPO定价的主要因素,并建立了相关的模型,具备了实践运用的条件,有较好的模拟效果,为后续研究提供了一定的条件,为定价提供了参考。【英文摘要】October28,in 2009, Chinese capital market reopened a new page ,that is GEM in Shenzhen Stock

5、 Exchange Started trading。It benefits constructing a multi-level capital market formation, Further development of the SME and High-growth industry, providing for the financing of new roads, which had attracted a lot of media attention. In all aspects of GEM, has A clear distinction with the Main-Boa

6、rd Market or the small and medium sized enterprises board. Whether IPO pricing can be reasonable is a an Important manifestation whether the Growth Enterprise Market can be developing of secure and orderly. IPO pricing related to the interests of the majority of investors, underwriters, issuers and

7、other interests of stakeholders. at the same time has a direct impact on resource allocation efficiency of the capital market.The thesis is divided into several parts. In the first part, after describing the research background and writing background, it describes writing motivation ,research method

8、s and basic research ideas. Chapter II has a Theoretical Summary of the Stock Pricing, and analyzes its adaptability in GEM .chapter III analyzes necessity of pricing reasonable, by introducing the Growth Enterprise Market conditions and whether the IPO price is reasonable .Chapter IV probes Factors

9、 which can affect IPO pricing and how to .Chapter V outline the theoretical methods and data processing. Chapter VI, which is the most important part, condense a number of indicators into a few principal components factor by the method of principal component analysis, and do regression analysis by s

10、tepwise multiple regression analysis. In the final establish model of IPO pricing multi-factor. Whether the price of IPO is consistent with secondary market pricing is an important standard which determine the reasonableness of the pricing. Therefore, the price of the listing for one month is chosen

11、 to be the dependent variable. In the last chapter, forecast five stocks using multi-factor pricing model. Model can better explain price of the estimated stock, which can be used as a reference.The core idea of Multi-factor pricing model is extract internal factors and external factors which reflec

12、ts the company stock price. And embody the quantitative and qualitative relationship between stock prices and these factors. In the thesis, the principal component analysis and stepwise multivariate analysis is the research approaches .It finds that many factors affects the IPO pricing, including th

13、at financial data Non-financial data. For example, earnings per share growth rate ROE, ROA, BPS, growth of total profit. Industry factors and the market risk and so on, can lead a stock price to different. there are some factors which affect not significant, that is Market boom level of the issue da

14、te、Share capital structure Market boom level of the listing date。In the word, the tissue reveals the main factors that affect IPO pricing and establish a related model, with the conditions of practical application. With a better simulation results, the model give a certain condition for following st

15、udy and provide a reference.【关键词】主成分分析 IPO定价 创业板 逐步多元回归 多因素定价模型【英文关键词】Principal component analysis IPO pricing GEM stepwise multiple regression multi-factor pricing model【目录】创业板IPO多因素定价模型摘要5-7ABSTRACT7-81 引言11-171.1 选题背景和写作背景11-121.2 写作动因12-131.3 研究方法和基本研究思路13-151.3.1 研究方法13-141.3.2 基本研究思路14-151.4 难

16、点、创新点和不足151.4.1 文章的难点151.4.2 创新点151.5 研究意义15-172 相关理论和文献综述17-252.1 收益贴现模型18-212.2 期权定价法21-222.3 比较定价法22-232.4 EVA 模型23-242.5 以上模型的优缺点以及创业板IPO 定价适用性分析24-253 创业板概况和各项差异性对IPO 定价的影响25-313.1 创业板概况25-263.2 创业板市场特点26-283.2.1 创业板与主板的区别26-273.2.2 创业板与中小板的区别27-283.3 创业板市场资源和发展现状分析283.4 创业板市场诞生大体路线28-293.5 创业板

17、市场IPO 抑价分析29-314 创业板IPO 定价影响因素及其影响机理分析31-364.1 定价因素的判别314.2 外部因素的选取31-334.3 内部因素的选取33-365 多因素定价模型数据处理和理论分析36-525.1 样本数据来源和变量数据选取36-375.2 数据处理37-385.2.1 定性变量的处理37-385.3 内部因素数据问题38-415.3.1 内部因素相关性检验385.3.2 主成分分析法38-415.4 主成分分析与因子计算41-525.4.1 主成分分析与因子计算过程42-515.4.2 主成分分析结果51-526 IPO 多因素定价模型52-666.1 理论假设526.2 IPO 多因素定价模型的设立52-536.3 建立模型方法介绍