IPO首日抑价的锚定效应研究

发布时间：2018-03-25 03:26

本文选题：IPO抑价　切入点：锚定效应　出处：《复旦大学》2013年硕士论文

【摘要】：新股首日高抑价率是资本市场一个独特现象,而这一现象在我国股票市场更加显著突出。高抑价现象因为违反了市场有效理论,被称为“抑价之谜”。这个看似简单的问题吸引着学者从不对称信息理论、制度原因理论和行为金融理论等不同角度进行了探索。针对我国IPO抑价更突出的特点,国内许多学者结合我国的特殊制度背景和市场环境,分别从一级市场定价的偏差因素和二级市场投资者情绪因素两个角度进行了研究,取得了一定成果。随着行为金融学研究的引入与推广,国内投资者被证实了有显著的“过度自信”、“羊群行为”和“锚定效应”等特点,其中锚定效应在不少金融现象应用上取得了一定的研究成果。本文在介绍IPO抑价现象基础上,运用行为心理学著名的“锚定效应”理论,对IPO抑价率锚定及调整因素展开研究。本文基于创业板资本市场的数据,建立模型,应用相关的数理检验方法,研究发现：(1)IPO首日买卖决策并非是一种完全理性的经济决策行为,而是存在“锚定和调整”行为偏差,且IPO首日抑价率受到“静态锚——前一个月上市IPO所有公司抑价率平均值”和“动态锚——最近上市IP05家(9家)公司抑价率平均值”作为制定抑价率的的锚定值。(2)研究结果表明“静态锚”比“动态锚”锚定效应强,这意味着随着时间推移,锚定值的锚定效应逐渐减弱。同时研究发现“低静态锚”显示出比“高静态锚”更显著的锚定效应。(3)换手率、近20日市场回报率、股票发行规模和股票成交数额等因素被证明了与IPO抑价率间存在显著的关系,这与过去的研究是一致的。
[Abstract]:The high underpricing rate on the first day of new shares is a unique phenomenon in the capital market, and this phenomenon is more prominent in China's stock market. The high underpricing phenomenon violates the effective theory of the market. This seemingly simple question has attracted scholars to explore from different angles, such as asymmetric information theory, institutional cause theory and behavioral finance theory, in view of the more prominent characteristics of IPO underpricing in China. According to the special institutional background and market environment of our country, many domestic scholars have studied the bias factors of pricing in the primary market and the emotional factors of investors in the secondary market. With the introduction and promotion of behavioral finance research, domestic investors have been proved to have significant characteristics of "overconfidence", "herd behavior" and "anchoring effect". Based on the introduction of IPO underpricing phenomenon and the famous theory of "anchoring effect" in behavioral psychology, the anchoring and adjusting factors of IPO underpricing rate are studied. Based on the data of the gem capital market, this paper establishes a model and applies the relevant mathematical test method to study and find that the trading decision on the first day of IPO is not a completely rational economic decision behavior, but a deviation of "anchoring and adjusting" behavior. And the first day underpricing rate of IPO is studied by "static Anchor-average of underpricing rate of all IPO companies listed in the previous month" and "dynamic Anchor-the average of 9 recently listed IP05 companies" as the anchoring value of setting underpricing rate. The results show that the anchoring effect of "static anchor" is stronger than that of "dynamic anchor". This means that the anchoring effect of anchoring value decreases gradually over time. At the same time, it is found that "low static anchor" shows a more significant anchor effect than "high static anchor". It has been proved that there is a significant relationship with IPO underpricing rate, which is consistent with previous studies.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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