1、主成分分析論文：創(chuàng)業(yè)板IPO多因素定價(jià)模型【中文摘要】2009年10月28日,中國資本市場(chǎng)重新翻開了歷史嶄新的一頁,即深圳股票交易市場(chǎng)創(chuàng)業(yè)板正式開始交易。創(chuàng)業(yè)板市場(chǎng)的開啟有利于構(gòu)建我國形成多層次的資本市場(chǎng),有利于中小企業(yè)和高成長行業(yè)的進(jìn)一步發(fā)展,為其融資提供了新的道路,這一舉動(dòng),引起了眾多媒體的關(guān)注。創(chuàng)業(yè)板市場(chǎng)在各個(gè)方面都與主板和中小板有著明顯的區(qū)別,對(duì)IPO合理定價(jià)就成為創(chuàng)業(yè)板市場(chǎng)是否能夠安定有序的進(jìn)行發(fā)展的一個(gè)重要表現(xiàn),另外IPO定價(jià)和關(guān)系到廣大投資者、承銷商、發(fā)行人等相關(guān)利益者的利益,同時(shí)直接影響資本市場(chǎng)資源配置效率。因此IPO定價(jià)就特別重要。文章分為幾個(gè)部分,首先在第一部分,在描述選題

2、背景和寫作背景的基礎(chǔ)上,說明寫作動(dòng)因和研究方法以及基本研究思路;在第二部分主要對(duì)股票定價(jià)進(jìn)行理論綜述,并進(jìn)行創(chuàng)業(yè)板IPO定價(jià)的適應(yīng)性分析;在第三部分,本文通過介紹創(chuàng)業(yè)板市場(chǎng)狀況以及IPO價(jià)格的合理情況來引出需要合理定價(jià)的必要性;第四部分,深入探討影響IPO定價(jià)因素及其分析這些因素是如何影響IPO價(jià)格,成為下文選擇因素分析的一個(gè)重要鋪墊;第五部分,簡述本文使用方法的理論,以及第四部分提到的因素的數(shù)據(jù)處理;在文章的最重要的部分,即第六部分,利用主成分分析將多項(xiàng)指標(biāo)濃縮成幾個(gè)主成分因子,并用逐步多元回歸分析法對(duì)IPO上市后月均價(jià)做回歸分析,建立IPO多因素定價(jià)模型。IPO發(fā)行定價(jià)是否符合二級(jí)市場(chǎng)的均

3、衡價(jià)格是判斷發(fā)行定價(jià)是否合理的一個(gè)重要的標(biāo)準(zhǔn),因此本文利用的上市后月均價(jià)作為多因素定價(jià)模型的因變量。最后,即本文的第七部分,利用多因素定價(jià)模型文章對(duì)五支股票對(duì)來進(jìn)行預(yù)測(cè),最終說明模型的能夠較好的估計(jì)股票的定價(jià),可以作為股票定價(jià)的參考,并對(duì)創(chuàng)業(yè)板IPO定價(jià)進(jìn)一步研究進(jìn)行展望。多因素定價(jià)模型的核心思想是通過各種方法提取影響體現(xiàn)公司股票價(jià)格的內(nèi)在因素和外在因素,并定量和定性的體現(xiàn)這些因素和股票價(jià)格的關(guān)系。本文利用的是主成分分析法和逐步多元分析法,研究發(fā)現(xiàn),各項(xiàng)因素均對(duì)IPO價(jià)格有一定的影響,有反映公司財(cái)務(wù)因素,如每股收益的增長率水平、總利潤的增長水平、總資產(chǎn)報(bào)酬率ROA、凈資產(chǎn)收益率ROE、負(fù)債及股

4、東權(quán)益總計(jì)和每股凈資產(chǎn)BPS,這些影響的效果較為明顯,有反應(yīng)行業(yè)的發(fā)展?fàn)顩r的因素。對(duì)其有重要影響的還有股票發(fā)型時(shí)市場(chǎng)風(fēng)險(xiǎn)、基本盈利情況和公司成長情況等。另外,模型顯示顯示上市日市場(chǎng)景氣度、發(fā)行日市場(chǎng)景氣度、公司股本結(jié)構(gòu)對(duì)創(chuàng)業(yè)板的IPO價(jià)格的影響不顯著?？傊?本文主要揭示了影響IPO定價(jià)的主要因素,并建立了相關(guān)的模型,具備了實(shí)踐運(yùn)用的條件,有較好的模擬效果,為后續(xù)研究提供了一定的條件,為定價(jià)提供了參考。【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.【關(guān)鍵詞】主成分分析 IPO定價(jià) 創(chuàng)業(yè)板 逐步多元回歸 多因素定價(jià)模型【英文關(guān)鍵詞】Principal component analysis IPO pricing GEM stepwise multiple regression multi-factor pricing model【目錄】創(chuàng)業(yè)板IPO多因素定價(jià)模型摘要5-7ABSTRACT7-81 引言11-171.1 選題背景和寫作背景11-121.2 寫作動(dòng)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 難

16、點(diǎn)、創(chuàng)新點(diǎn)和不足151.4.1 文章的難點(diǎn)151.4.2 創(chuàng)新點(diǎn)151.5 研究意義15-172 相關(guān)理論和文獻(xiàn)綜述17-252.1 收益貼現(xiàn)模型18-212.2 期權(quán)定價(jià)法21-222.3 比較定價(jià)法22-232.4 EVA 模型23-242.5 以上模型的優(yōu)缺點(diǎn)以及創(chuàng)業(yè)板IPO 定價(jià)適用性分析24-253 創(chuàng)業(yè)板概況和各項(xiàng)差異性對(duì)IPO 定價(jià)的影響25-313.1 創(chuàng)業(yè)板概況25-263.2 創(chuàng)業(yè)板市場(chǎng)特點(diǎn)26-283.2.1 創(chuàng)業(yè)板與主板的區(qū)別26-273.2.2 創(chuàng)業(yè)板與中小板的區(qū)別27-283.3 創(chuàng)業(yè)板市場(chǎng)資源和發(fā)展現(xiàn)狀分析283.4 創(chuàng)業(yè)板市場(chǎng)誕生大體路線28-293.5 創(chuàng)業(yè)板

17、市場(chǎng)IPO 抑價(jià)分析29-314 創(chuàng)業(yè)板IPO 定價(jià)影響因素及其影響機(jī)理分析31-364.1 定價(jià)因素的判別314.2 外部因素的選取31-334.3 內(nèi)部因素的選取33-365 多因素定價(jià)模型數(shù)據(jù)處理和理論分析36-525.1 樣本數(shù)據(jù)來源和變量數(shù)據(jù)選取36-375.2 數(shù)據(jù)處理37-385.2.1 定性變量的處理37-385.3 內(nèi)部因素?cái)?shù)據(jù)問題38-415.3.1 內(nèi)部因素相關(guān)性檢驗(yàn)385.3.2 主成分分析法38-415.4 主成分分析與因子計(jì)算41-525.4.1 主成分分析與因子計(jì)算過程42-515.4.2 主成分分析結(jié)果51-526 IPO 多因素定價(jià)模型52-666.1 理論假設(shè)526.2 IPO 多因素定價(jià)模型的設(shè)立52-536.3 建立模型方法介紹