中国IPO上市首日的超高换手率之谜

发布时间：2018-04-26 14:49

本文选题：IPO分配制度 + IPO上市初期抛售行为　；参考：《金融研究》2011年09期

【摘要】：在IPO上市初期,个体投资者对新股估值呈现出过度乐观情绪,而在资金抽签的新股分配制度下,资金实力占优的机构投资者将成为新股的主要获配者,他们将利用个体的情绪向其抛售获配新股,个体越乐观,股价泡沫越大,机构的抛售数量越多,这是形成超高换手率的重要机制;但是在IPO上市后的两年内,个体的过度乐观情绪逐渐消退,新股初期交易价格中的泡沫逐渐萎缩,这使得IPO新股表现出长期弱势异象,并且机构抛售数量指标对于IPO长期收益率具有显著的反向预测能力:首日换手率越高,长期收益率相对越低。
[Abstract]:At the beginning of the IPO listing, individual investors showed excessive optimism about the valuation of new shares, and under the new share allocation system where funds were drawn, institutional investors with superior capital power would become the main recipients of new shares. They will use their emotions to sell new shares to them. The more optimistic the individual, the bigger the stock price bubble, and the more institutions sell off, which is an important mechanism for creating an ultra-high turnover rate; but within two years of IPO's listing, The excessive optimism of the individual gradually receded, the bubble in the initial trading price of the new stock gradually shrank, which made the IPO new shares show a long-term weak vision. And the quantitative index of institutional sell-off has significant reverse forecasting ability for IPO long-term yield: the higher the turnover rate on the first day, the lower the long-term yield.
【作者单位】：对外经济贸易大学国际经贸学院;北京大学国家发展研究院;南开大学经济学院;
【基金】：教育部重大攻关项目(09JZD0016) 国家自然科学基金项目(71102075和70902048) 国家社科基金项目(11CJY094)的支持
【分类号】：F832.51

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