I 摘要 我国创业板市场退市制度创新策略研究 我国创业板市场于2009年10月正式挂牌交易，到2016年6月底，已经由第一批 的28家上市公司增长到512家，总市值达到5.2万亿元，占我国股票市场总市值的25%。 创业板市场无论在上市公司数量、交易规模、流通市值成长速度及市场影响力等方面， 已经成长为我国金融市场的一个重要平台。在充分肯定创业板市场这6年多来的辉煌 成就前提下，我们也认识到创业板市场仍有缺陷和问题，例如财务指标不真实的公司 及连续5年营业利润为负的公司还在继续交易，虽然有很多造假案例但还没有一家退 市公司。创业板缺少有效的退市预警制度和社会保险体系,没有便捷通畅的退市执行程 序及退市渠道。 本研究以中国创业板市场退市制度创新策略作为研究主题，以制度创新理论、金融 风险理论为基础，通过运用统计数量分析、风险预测Z-Score模型和O-Score模型，以 及退市概率的KMV Merton模型对创业板上市公司的退市风险进行测算，同时建立中 国创业板市场的Z-Score风险模型。通过运用这些模型，测算出我国创业板存在一批高 风险公司。通过分析美国纳斯达克市场退市管理的经验及教训，参考和汲取适合我国 社会经济环境的内容，在保留我国创业板市场退市制度中合理部分的同时，创新提出 增加运用数理统计原理的量化模型预测风险；设立退市警示制度并配以多层次的申诉 流程；增加财务利润来源要求，增加保荐人长期跟踪的要求。提出了一系列保障措施， 包括为创业板市场退市公司设计了几种出路，即中小板，新三板及股权转让机构，提 出了简化创业板公司转板手续的要求；建立二级创业板市场；设立退市审批机构；提 出了强化交易所监管及自律协会监管的建议；详细设计了投资者保护机制，设立保证 金及风险保险机制、个人追责及赔偿制度，保证投资者的权益不受虚假作弊企业的伤 害。通过以上举措，达到完善我国创业板市场退市制度的目的。 主要创新点为首次运用创业板上市公司的数据建立了风险模型，为投资者提供风险 信息与教育；提出建立预警及警示整改体系，给高风险公司改正缺陷的机会；设计了 一套精细化的退市制度体系，明确盈利来源于主营业务及审计报告要求同行审计等， 吉林大学博士学位论文 II 便于各方理解与执行。盼望创业板市场逐步推行创新后的退市制度体系，为创新型企 业提供一个不断发展的金融平台，有力地促进我国经济的平稳健康发展。 关键词： 创业板，纳斯达克，退市制度，证券市场预警，量化模型，退市风险，制度创新 Abstract III Abstract Research on Reformulating Strategy of China Growth Enterprise Market Delisting Policy Since the first batch of 28 IPOs were listed for trading in 2009 in China’s Second Board stock market, also called Growth Enterprises Market (GEM) in Shenzhen Stock Exchange, GEM had grown into a major stock market in less than 7 years, now with 512 companies listed, and a market capitalization of 5.2 trillion RMB, about 25% of China total domestic stock market capitalization by the end of June 2016. GEM has been growing into a major capital platform in terms of the number of listed company, daily volume, speed of growth, and market cap. While we fully recognize the importance of GEM and its contribution to China’s economic growth, we must point out that there are still some areas requiring immediate attentions for improvement, especially the delisting policy and process, which could not function well to effectively remove those corrupted and broken companies from the stock market. There are still loop holes in the definition and execution of delisting; no early warning system to alert risks, nor sufficient insurance to protect investors from fraud and other illegal behaviors. Meantime, there are no clear channels for delisted companies to improve and continue raising fund for business. This research, based on institutional innovation theory, financial risk theory and stock market delisting research and practices from NASDAQ, aims at creating a feasible strategy to improve GEM’s delisting policy, processes and procedures. By referencing to widely adopt quantitative models of Z-Score and O-Score, and famous KMV Merton Model, I built a China GEM Risk Forecast Model to calculate financial and default risks and generated the risky stock list in GEM. The study resulted in the proposal for a set of new delisting policy, process and procedures, including but not limited to: (1) set up an early warning system, which includes utilizing the quantitative models to generate potential default stock list to alert the public; (2) revise the delisting standards, emphasize information transparency and requires earning from operation; (3) establish a process to notify company who fails to meet continued listing requirements; allow for a remedy period to fix the issues, also implement an appeal process for concerned companies to voice opinions; (4) set up a supporting system, including installing a strong self-regulatory committee, reclassifying GEM companies into two layer’s markets, providing multiple exit channels, and allowing good GEM company to 吉林大学博士学位论文 IV move up to Main Board；(5) create a mandatory insurance system with funding from the beneficiaries of IPOs to compensate partial losses due to fraudulent practices. The major contributions of this dissertation are: it is the first research to push Stock Exchanges in China to utilize quantitative models to generate list of stock with potential financial and market risks; the first research to propose a warning system to alert individual investors and allow a remedy process for concerned companies; proposed a set of well-defined policy and process, including requiring earning should derive from operation, and auditors’ reports require peer reviews. I sincerely hope the suggested proposals to be implemented step by step in the near future. Keywords: Growth Enterprise Market, NASDAQ，Delisting Policy, Stock Market Warning System, Quantitative Model, Delisting Risk, Institutional Innovation 目 录 V 目 录 摘要 ..................... I? Abstract ................. III? 第1章?绪论 .......... 1? 1.1 研究背景与意义 ........................ 2? 1.1.1 研究背景 .............................. 2? 1.1.2 研究意义 .............................. 7? 1.2 国内外创业板市场退市制度研究综述 ................ 11? 1.2.1 创业板市场 ........................ 11? 1.2.2 国内外创业板市场研究 .... 17? 1.2.3 退市与退市制度 ................ 20? 1.2.4 纳斯达克退市研究文献 .... 26? 1.2.5 我国股市退市研究文献 .... 32? 1.3 研究内容 ... 34? 1.4 研究方法及技术路线 .............. 35? 第2章?理论研究 38? 2.1 制度创新理论 .......................... 38? 2.1.1 制度创新理论内涵 ............ 39? 2.1.2 制度创新原因及动力 ........ 43? 2.1.3 制度创新过程 .................... 44? 2.1.4 制度创新模式 .................... 45? 2.1.5 制度创新作用 .................... 45? 2.2 金融风险理论 .......................... 47? 2.2.1 理论基础 ............................ 47? 2.2.2 股票市场 ............................ 51? 2.2.3 投资行为理论 .................... 53? 吉林大学博士学位论文 VI 2.2.4 上市公司退市风险的定量测算 ...................... 54? 2.3 本章小结 ... 63? 第3章?我国创业板市场退市风险量化研究 ................. 64? 3.1 建立财务风险指标? .............. 64? 3.2 我国创业板上市公司财务风险的定量测算 ........ 66? 3.2.1 Z-Score模型 ...................... 67? 3.2.2 我国主板市场Z-Score模型............................ 71? 3.2.3 适合我国创业板的风险模型 .......................... 74? 3.2.4 创业板财务风险再确认 . 102? 3.3 我国创业板上市公司市场风险的定量测算 ...... 104? 3.3.1 KMV Merton模型参数设定 ......................... 104? 3.3.2 模型样本选择 .................. 106? 3.3.3 KMV Merton模型结果解读 ........................ 109? 3.4 我国创业板市场退市风险定量研究结果 .......... 112? 3.5 本章小结 . 113? 第4章?我国创业板市场退市制度现状分析 ............... 114? 4.1 我国创业板市场的各项制度 .............................. 114? 4.1.1 我国创业板市场的上市与交易制度 ............ 115? 4.1.2 创业板的退市制度 ......... 119? 4.1.3 重新上市制度 .................. 121? 4.2 我国创业板市场的现状对退市制度的影响 ...... 122? 4.2.1 我国创业板市场审核严格时间长 ................ 122? 4.2.2 我国创业板的规模过小进出难 .................... 123? 4.2.3 不合理的投资者结构 ..... 124? 4.3 我国创业板市场退市制度缺陷 .......................... 124? 4.3.1 没有风险预警机制 ......... 124? 目 录 VII 4.3.2 净利润来源不明确 .......... 126? 4.3.3 保荐人短期行为 .............. 128? 4.3.4 上市公司诚信失控 .......... 129? 4.3.5 不完善