IPO抑价与投资者非理性相关性实证研究

发布时间：2018-01-01 08:21

本文关键词：IPO抑价与投资者非理性相关性实证研究　出处：《东北大学》2012年硕士论文　论文类型：学位论文

【摘要】：IPO市场作为上市公司继续发展、融资的重要渠道,是股票二级市场的基础。然而,IPO市场存在多个经典金融理论难以解释的问题。目前国内外对IPO市场的研究主要集中于IPO长期弱势、IPO抑价和IPO热销市场三个方面,其中IPO抑价是行为金融学者研究的热门课题。 IPO抑价是指新股上市首日收盘价格远高于其发行价格的现象。根据有效市场假说,在一个竞争市场中,所有的投资者之间的竞争会使股票价格与其内在价值相平衡,在股票发现首日不会存在明显的抑价现象。但是,在实际股票市场中,股票IPO抑价现象却十分普遍。IPO抑价现象会阻碍一级市场发挥资源配置功能,对我国股票市场产生较大的负面影响。为了解释IPO抑价现象,并为政府决策提供政策建议。首先介绍了相关的研究意义和背景、研究方法,然后分析国内外的IPO研究现状,并概括了形成IPO抑价的主要原因。接着,将股票市场分为上涨、盘整、下降三个不同形态期间,选取我国IPO股票数据进行分析,采用行为金融学理论建立回归分析模型,根据回归结果具体分析了在股票市场处于不同时期时造成我国IPO抑价的原因。最后,根据实证分析结果提出关于IPO市场的政策建议及结论。研究认为新股发行市场上的投资者对新发售股票的价值和价格的判断并非企业自身的条件数据,而是受到其系统定价偏差的影响。投资者购买新股的原因并非长期持有,市场上的投机气味浓厚。新股发行市场上投资者过多的投机行为造成了新股首日的高收盘价格,对新股发行首日的收益率有着十分重大的影响。
[Abstract]:As a listed company to continue the development of the IPO market, an important channel for financing, is the foundation of the stock market two. However, the IPO market is difficult to explain a number of classic financial theory. The current research on the IPO market at home and abroad mainly focus on IPO IPO under long-term weakness, three aspects of price and IPO hot market, including IPO underpricing is a hot research topic in behavioral finance scholars.
IPO underpricing refers to the IPO first day closing price is much higher than the issue price of the phenomenon. According to the efficient market hypothesis, in a competitive market, the competition between all the investors will make the stock price and the intrinsic value of the stock in the first day of discovery phase equilibrium, there will be no obvious underpricing phenomenon. However, in the actual stock market in stock, IPO underpricing phenomenon is very widespread phenomenon of.IPO underpricing will hinder the level of market allocation of resources to play the function, have a greater negative impact on the stock market of our country.
In order to explain the phenomenon of IPO underpricing, and provide policy recommendations for the government decision-making. This paper first introduces the related research background and significance, research methods, and then analyzes the domestic and foreign research status quo of IPO, and summarizes the main reason of the formation of IPO underpricing. Then, the stock market will be divided into rise, consolidation, down three different forms during the analysis and selection of China IPO stock data, using the behavioral finance theory to establish the regression analysis model, according to the results of regression analyses in the stock market in different periods when the causes of China's IPO underpricing. Finally, according to the empirical results of the analysis put forward the policy suggestions and conclusions about IPO market conditions. The research results indicate that the value of data and the price of the IPO market investors to sell shares of the new judgment is not their own, but is affected by the deviation of system pricing. Investors to buy shares and In the long term market, there is a strong speculative smell. Investors' excessive speculation in the new stock market caused the first closing price of new shares, which has a great impact on the first day's yield of new shares.

【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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