创业板IPO首日溢价影响因素LASSO回归分析  

LASSO Regression Analysis of Influencing Factors of IPO First-Day Premium on GEM

作　　者：郭雅晴 朱杰[1] Yaqing Guo;Jie Zhu(Shanghai University,Shanghai,200444,China)

机构地区：[1]上海大学,上海200444

出　　处：《经济管理学刊（中英文版）》2023年第1期51-57,共7页Economic Management Journal

摘　　要：中国证券市场经过十几年的发展,成为了全球最大的新兴市场。但高速发展的同时,也存在许多问题。我国新股上市首日的溢价程度远远高于其他国家证券市场的水平。尤其是创业板,自2009年创业板开板至今,从最初的36家发展到现在的918股,总市值达到64476亿元,有效解决了中小企业融资难问题,但同时也存在高溢价现象。新股首日高溢价的长期存在造成诸多的危害。不利于整个证券市场的健康发展。因此,研究这一问题,找出影响新股首日溢价的原因,对于新股发行制度、监管制度的改革具有重要意义。本文拟用LASSO降维的方法,排除影响溢价的不重要因素,寻求对创业板溢价影响最大的因素[Y2]。After more than ten years of development,China has become the largest emerging market in the world.But with the rapid development,there are also many problems.The first-day premium of new shares in China is far higher than that of other countries'securities markets.In particular,since the GEM was launched in 2009,the number of shares has grown from 36 to 918,with a total market value of 6,447.6 billion yuan.This has effectively solved the financing problem of small and medium-sized enterprises,but at the same time,there is a high premium.The long existence of high first-day premiums causes many harms,which is not conducive to the healthy development of the whole stock market.Therefore,it is of great significance to study this problem and find out the reasons that affect the first-day premium of new shares for the reform of the new shares issuing system and supervision system.This paper intends to use LASSO's dimensionality reduction method to exclude unimportant factors that affect premium,and seek the factors that have the greatest impact on premium in GEM.

关 键 词：IPO溢价 LASSO 

分 类 号：F83[经济管理—金融学]