基于行为金融学投资者非理性行为对创业板IPO抑价的影响研究

发布时间：2018-01-12 21:16

本文关键词：基于行为金融学投资者非理性行为对创业板IPO抑价的影响研究　出处：《东北财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：新股首次公开发行问题一直备受学术界的关注,IPO抑价之谜更是金融界经久不衰的热点话题。所谓IPO抑价是指新股发行价低于上市后首日交易的收盘价,投资者认购新股能够获得超额报酬的一种股票市场运行状况。同发达国家证券市场相比,我国IPO抑价程度更高,尤其是我国启动不久的创业板与我国主板、中小板相比IPO抑价现象更为严重,一方面,这势必使资源配置不合理,大量的资金被滞留囤积在一级市场,追逐无风险的收益；另一方面,较高的二级市场交易价格增加了股市高开低走的风险,阻碍股市的稳定性,不利于我国创业板的健康发展。对IPO抑价现象的理论研究,国内外学者主要从两个角度解释导致IPO抑价的原因,一是一级市场新股发行定价过低,二是二级市场新股上市首日收盘价过高。IPO抑价的经典研究理论与方法,是在传统金融学的理论框架下展开的,以“理性人假设”为其前提条件,目前已形成了较为成熟、完整的理论体系。20世纪80年代开始,行为金融学的兴起,无论从理论还是实证方面都为IPO抑价现象提供了一个新的研究视角与平台。行为金融学对传统金融理论的“理性人假说”、“有效市场假说”提出了挑战,该理论认为首日抑价的市场并非强势有效的,而是半强式甚至是无效的,市场中也存在者大量的非理性投资者,在各种情绪和认知偏差的影响下,这些非理性投资者会产生非理性行为,对新股上市首日交易价格产生重大影响,使首日收盘价远高于发行价,从而产生IPO抑价。对于研究我国IPO抑价问题的学者,起初大多学者只是检验国外IPO抑价理论在我国资本市场的适用性,研究表明并不能完全解释我国的IPO抑价现象,后来有学者试图结合我国实际情况尝试性地提出：严格的发行管制、非市场化的新股发行制度使得IPO在发行时定价过低,造成了我国IPO高抑价现象。但是,随着新股发行的监管方式和定价方式多次改革的深入,新股发行逐渐放开市场化后,我国IPO高抑价现象并未有效得到减轻,仍然一如既往的存在。目前我国股票发行的IPO询价制度,虽然在一定程度上改善了IPO高抑价现象,IPO抑价现象依然存在,困扰着资本市场的各利益相关者,这表明在以往对我国IPO抑价问题的研究还不够全面,还存在不少的缺陷,新股发行定价过低并非是影响IPO抑价的主要因素,还有其他因素对我国的IPO抑价现象起着重要的影响作用。随后,国内一些学者将IPO抑价的研究不断深入化,借鉴行为金融学理论,通过不同的方式验证了我国证券市场新股定价已具有合理性,一级市场新股定价过低并不是创业板IPO高抑价的真正来源。因此,本文突破了传统金融理论的研究框架,从行为金融理学的视角来研究投资者非理性行为对创业板IPO抑价的影响。本文遵循“文献综述——理论分析——模型构建——实证检验——政策建议”的技术路线。首先运用文献分析法探讨国外学者对IPO抑价现象的解释,梳理归纳西方IPO抑价理论对我国市场的适用性以及国内IPO抑价的相关理论。其次,运用理论演绎的方法,从行为金融学的视角,理论分析投资者非理性行为对创业板IPO抑价的影响,并依据理论分析引入投资者非理性行为的四个衡量指标,提出本文研究假设。再次,以2009年10月30日创业板开设以来至2012年12月31日在我国创业板上市的公司为研究样本,建立线性回归模型,检验投资者非理性行为的衡量指标与IPO抑价率之间的关系。最后,在检验结果的基础上归纳结论,并提出相应的政策建议。本文研究表明,我国创业板IPO抑价率较高,投资者非理性行为对创业板IPO抑价有显著影响。投资者非理性行为对创业板IPO抑价的表现主要有投机性与过度交易、过度反应与反应不足、羊群行为。本文分别用账面市值比、上市首日换手率、发行至上市时间间隔、中签率这四个指标来衡量创业板市场投资者的投机行为、过度交易、过度反应与反应不足、羊群行为,并研究投资者非理性行为的四个衡量指标对创业板IPO抑价的影响。因此,根据理论与实证研究分析,本文认为,为了降低我国创业板IPO抑价程度,必须推进创业板市场的规范和成熟,建造一个适合投资的氛围；进一步完善询价机制,扩大创业板规模,缩小创业板市场上的供需矛盾；监管部门加强监管,规范创业板的运作；更为重要的是投资者要注重自我教育,自身素质的提高,形成价值投资的理念,更加理性地投资。
[Abstract]:IPO has been paid attention to by academic circles. The mystery of IPO underpricing is a hot topic of the financial world of enduring. The so-called IPO underpricing refers to the issuance of new shares listed on the first day of trading after the price is lower than the closing price of a stock market operation status of investors can obtain excess returns of the IPO compared with the securities. The market of developed countries, China's IPO underpricing degree is higher, especially in our country started near the gem and China's SME board motherboard, compared to the IPO underpricing phenomenon is more serious, on the one hand, this will certainly lead to unreasonable allocation of resources, a lot of money stranded hoarding in the primary market, chase no risk the income; on the other hand, two secondary market trading higher prices increases the risk of stock market highs, hinder the stock market's stability, is not conducive to the healthy development of China's gem.
Theoretical study on the IPO underpricing phenomenon, scholars mainly from two perspectives explain the causes of IPO underpricing, one is the primary market IPO pricing is too low, two two market shares listed on the first day closing price of the high.IPO underpricing of the classical theory and method research, is carried out in the framework of traditional finance learn the "rational man hypothesis is the premise, has formed a mature and complete.20 century theoretical system began in 80s, the rise of behavior finance, both from the theoretical and empirical aspects have IPO underpricing phenomenon provides a new research perspective and behavioral finance platform. The traditional financial theory of" rational man hypothesis "," challenge the efficient market hypothesis ", the theory that the underpricing of the market is not strong and effective, but the semi strong or even invalid, there are a lot of market Non rational investors, in effect a variety of emotional and cognitive bias, these non rational investors will lead to irrational behavior, have a significant impact on the trading price of shares listed on the first day, the first day closing price is much higher than the issue price, resulting in IPO underpricing. The study of China's IPO underpricing of scholars, most scholars just at the beginning test of IPO underpricing in China's capital market, research shows that does not fully explain China's IPO underpricing phenomenon, later scholars have tried to try to put forward according to the actual situation in China: strict control issue, non market IPO system makes IPO on the issue of pricing is too low, the cause of high IPO underpricing. However, with the IPO regulatory and pricing mode repeatedly reform, IPO has gradually liberalized market, IPO underpricing phenomenon has not been effective Reduced, still as in the past there. At present our country stock issuance IPO inquiry system, although to a certain extent, improve the high IPO underpricing phenomenon, IPO underpricing phenomenon still exists, the stakeholders plagued the capital market, which indicates that the study on China's IPO underpricing in the past is not comprehensive also, there are many defects, the IPO price is too low is not the main influencing factors of IPO underpricing, and other factors on China's IPO underpricing phenomenon plays an important role. Then, some domestic scholars to study the underpricing of IPO deeply, from the behavior finance theory, through different ways verify the IPO pricing of China's securities market has the rationality, the level of market pricing is too low and the real source is not the gem IPO underpricing. Therefore, this study breaks through the traditional financial theory frame, from the behavior of gold The impact of investor irrational behavior on the IPO underpricing of the gem is studied in the perspective of the thawing theory.
This paper follows the "literature review - model construction technology -- Empirical Analysis -- policy suggestion" analysis theory. First use of underpricing of foreign scholars on the interpretation of IPO method of literature analysis, summarizing the western theory of IPO underpricing in China's domestic market applicability and IPO underpricing theory. Secondly, the use of the method of theoretical interpretation from the perspective of behavioral finance theory, analysis of the influence of the non rational behavior of investors of the gem IPO underpricing, and on the basis of the four indicators are introduced into the non rational behavior of investors in theory, put forward the research hypothesis. Again, since October 30, 2009 to December 31, 2012 in the GEM listed on gem the company for the study sample, a linear regression model to test the non rational behavior of investors measure and IPO under pricing rate relationship between. Finally, in the examination On the basis of the results, the conclusions are summarized and the corresponding policy suggestions are put forward.
This study shows that China's gem IPO underpricing rate is higher, the non rational behavior of investors of the gem IPO underpricing has significant effect. The non rational behavior of investors of the gem IPO underpricing is mainly speculative and excessive trading, overreaction and underreaction, herd behavior. This paper used the book market ratio, listed on the first day turnover rate, issued to the listed time interval, the success rate of the four indicators to measure the GEM market investors speculation, excessive trading, overreaction and underreaction, herd behavior, underpricing. Four indexes to measure and study the irrational behavior of investors of the gem IPO.
Therefore, according to the analysis, theoretical and empirical research this paper argues that, in order to reduce China's gem IPO underpricing, must promote the GEM market norms and mature, to build a good investment environment; to further improve the inquiry mechanism, expand the scale of the gem, reduce the contradiction between supply and demand of the GEM market supervision departments to strengthen supervision; specification, operation of the gem; more importantly investors should pay attention to self education, improve their own quality, the formation of the concept of value investing, more rational investment.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F830.42

【参考文献】