基于投资者情绪的IPO市场投资行为分析

发布时间：2018-01-19 19:43

本文关键词： 投资者情绪投资行为 IPO市场　出处：《西南财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：IPO异象普遍存在于各国资本市场,并引起了广泛关注。截至2010年,2102只A股的平均抑价率为137%,香港的抑价率为15.40%,而美国近50年的平均抑价率为16.80%,A股IPO抑价率高居世界主要国家之首。在超额收益、长期弱势和热市现象之外,我国IPO市场还存在低配售率、低中签率和高换手率等异象。配售率平均在5%左右,中签率更是低至1%,而换手率高达70%。IPO市场的良性运行是资本市场健康发展的重要前提。我国IPO市场存在严重的非理性行为,不仅普通投资者如此,众多的机构投资者也是如此。机构投资者被看作是价值投资的支柱,然而IPO市场频频出现的问题,暴露出机构投资者并不完全理性,其投资行为也受到情绪的影响,普通投资者的非理性行为更是导致了狂热的新股投资热潮。IPO市场的非理性行为严重影响了资本市场的健康发展,机构投资者不再遵循价值理念把好股票发行上市的第一道关口,在一开始就出现了上市公司财务造假和估值偏高等现象。同时,机构投资者也热衷于投资新股,使得较低的配售率和中签率成为常态,大量资金沉淀在发行市场,降低了资金的运行效率,弱化了资本市场资源配置的效率。新股发行和上市初期的狂热给股价的长期走势留下了隐患,国内外普遍存在新股长期弱势现象,给投资者造成了损失,也不利于二级市场的良性运行。本文主要研究投资者情绪对IPO市场投资行为的影响。第二章为文献综述,分别从信息不对称理论和行为金融理论进行分析和评论。20世纪70年代后西方学者开始关注IPO市场,发现IPO市场存在三大异象——抑价发行、长期弱势以及热市现象,相关研究也不断涌现。早期研究主要从信息不对称理论进行分析,认为抑价发行是因为IPO市场参与者之间的信息不对称所致,各种信息的不均衡使得股票价格被人为压低,抑价之说也由此而来。20世纪后期,越来越多的学者从行为金融角度对IPO市场进行研究,认为新股超额收益来自上市首日的交易价格偏高,由此得出溢价一说。两种理论从不同方面对IPO市场的投资行为进行了分析,对解释我国IPO市场异象有借鉴意义。作为新兴市场,我国资本市场仍不够完善,与成熟市场有较大差距。我国IPO市场也存在抑价发行、长期弱势和热市三大异象,同时也存在高价发行、高倍认购和高额收益等现象,并受到更多关注,产生更大影响。从实际出发,深入分析我国IPO市场的特点,对存在的问题进行理论和实证分析,有利于我国资本市场的不断完善和长远发展。第三章分析情绪影响投资行为的机理,分别从心理学和金融学对投资者情绪影响投资行为的机理进行分析。现代金融理论基于理性人假设认为投资者在遵循效用最大化原则下作出决策,但人的行为过程除了追求利益还诉求心理满足,投资者情绪在投资决策中扮演了重要角色,使得投资行为产生偏差。以Miller(1977)、DSSW(1990)和DHS(1998)三个模型分析投资者情绪对资产价格的影响。第四章分析IPO市场的情绪行为。从广义情绪理论出发,将影响投资决策的因素分为市场行情、公司质量和发行条件三类,市场行情中影响投资者情绪的具体因素有市场指数收益和新股首日收益,公司质量包括盈利能力、偿债能力、发展能力和营运能力等,发行条件涵盖承销商声誉、发行规模、估值水平和申购活跃度等。本文拓展了IPO市场的研究范围,在研究新股抑价问题的基础上,同时分析一级市场网下和网上的投资行为以及二级市场首日的量能行为。在此基础上,提出了情绪变量与行为变量的相关性假设。第五章进行实证分析。以2010年1月至2011年6月在沪深两市首次公开发行并上市的股票为样本,比较沪市主板、深市中小板和创业板在投资行为、财务状况和发行条件等方面的差异。将解释变量按序分组,分析各个情绪变量与行为变量的相关性。以此建立多元回归模型,分析模型对IPO市场投资行为的解释力度,以及影响投资者情绪的显著因素。实证结果结果显示,主板、中小板和创业板IPO市场表现出不同的板块特征。深市中小板和创业板IPO公司的财务状况显著优于沪市主板,其中又以创业板为最,创业板上市公司的销售毛利率高出主板和中小板十几个百分点,资产负债率仅为40%,净利润增长率更是高达67%。发行承销方面,主板表现出更多成熟市场的特征,中小板向主板市场趋同,创业板作为新兴市场的特征较为明显。主板IPO市场的承销保荐机构主要为大型券商,前十大投资银行控制了一半以上的市场份额,而中小板和创业板60%以上的市场份额为大量小型券商所占有。主板发行规模显著普遍较大,中小板和创业板的发行量较小。主板发行市盈率为43倍,中小板为53倍,创业板高达65倍,相对二级市场行业平均估值水平明显偏高,创业板最高151倍的发行市盈率更是令人咋舌。板块之间的投资行为也表现出较大差异。主板IPO一级市场的配售率和中签率显著大于深市中小板和创业板,而深市两板块之间的差异较小。深市中小板和创业板新股上市首日的换手率都在70%左右,高于沪市主板60%的首日换手率。样本期间,中小板上市首日的收益率最高,平均为35%,主板和创业板分别在20%和25%左右。研究表明情绪理论能够一定程度解释IPO市场的投资行为。模型具有较好的拟合优度,情绪变量的相关性与预期基本一致,市场行情和发行条件指标总体显著,但财务指标与预期有所差别。新股发行上市前的市场行情,包括前期市场走势和新股收益,对一级市场和二级市场的情绪行为都有明显的积极影响。发行条件对情绪行为的影响是多方面的。承销商声誉对情绪行为的影响并不明显。声誉在中国IPO市场的作用较为有限,承销保荐机构招揽项目较少依赖市场声誉,违规行为所承担的责任降低,对声誉的损害较轻,承销保荐机构主动建立和维护市场声誉的动力不足。同时投机炒作之风盛行,投资者对承销保荐机构的声誉较少关注。发行市盈率对不同市场情绪行为的影响是不同。一级市场投资者受到估值水平的正向影响,当然这其中较高的估值水平本身就是由询价对象所催生,但参与网上申购的普通投资者也对高估值股票表现出积极的投资热情。二级市场投资者是风险规避的,高估值股票上市首日的交易活动略显平淡,股价涨幅也相对较低。发行规模对情绪行为有显著影响,投资者对小盘股表现出明显的偏好。一级市场网下和网上申购的活跃度直接影响到二级市场的情绪行为,市场之间的联动性较强。反映公司质量的财务指标对IPO市场情绪行为的影响较为有限。新股发行定价过程中,发行人和承销商拟定价格区间,询价对象在价格区间内确定发行价格,网上投资者根据价格上限进行申购。可见,发行价格本质上由发行人和承销商决定。发行人和承销商拥有关于公司价值的充分信息,且中国资本市场中发行人和承销商抑价发行的动力不足,财务状况只为说明定价合理,不存在未被挖掘的价值洼地。因此,在IPO市场上,投资者较少关注公司的财务状况,财务指标对情绪行为的影响较为有限。针对现阶段我国IPO市场存在的问题,本文提出以下政策建议：一是提高机构投资者质量。IPO市场中,机构投资者有着严格的准入条件,同时机构投资者的投机炒作也屡见不鲜,为此需要进一步放宽IPO一级市场的准入条件,允许更多机构投资者参与新股申购,充分的市场竞争有助于降低相互串通和暗箱操作等违规行为。在增加机构投资者数量的同时,需要加强监督和管理,提高机构投资者队伍的质量。二是加强投资者教育。我国普通投资者数量众多,力量分散,跟风炒作,过度自信。加强投资者教育,增强风险意识,形成正确的投资理念,不仅是对投资者利益的保护,也是市场有效运行的基础。三是完善制度规范。IPO市场的重要功能是资金融通,但制度规范要做到公平公正,不能有失偏颇。倘若制度上倾斜于融资方,而漠视投资方的利益,将不利于市场的长远发展。需要加强对发行人和承销商的管理,对发行过程中的重大责任需要从严处理。四是推动机制创新。我国IPO市场严禁卖空,空方无法通过卖空表达意愿,被排斥在市场之外,市场为多方力量所控制。引入卖空机制,可以改变单向获利的现实,股价向下调整至均衡水平可以降低高价交易,对一级市场投资者也产生警示作用,降低高倍申购。
[Abstract]:IPO vision exists in the capital market in the world, and has attracted wide attention. As of 2010, 2102 A shares the average underpricing rate is 137%, Hongkong underpricing rate is 15.40%, while the United States nearly 50 years the average underpricing rate is 16.80%, A shares IPO underpricing rate in the major countries in the world first. In addition to excess returns, long-term underperformance and hot market phenomenon, China's IPO market is still low placement rate, low success rate and high turnover rate of vision. Placing in the average rate of about 5%, the success rate is as low as 1%, and the turnover rate is as high as 70%.IPO market benign operation is an important prerequisite for the healthy development of the capital the IPO market in China market. There are serious non rational behavior, not only ordinary investors, but also so many institutional investors. Institutional investors is regarded as a pillar of value investment, but the IPO market appeared frequently exposed problems, institutional investors are not completely rational, and its investment Investment behavior is also affected by emotion, the irrational behavior of ordinary investors is led to the irrational behavior of fanatical shares investment boom.IPO market has seriously affected the healthy development of the capital market, institutional investors no longer follow the step value of good stock issuance and listing, at the outset, there appears the phenomenon of financial listed companies fraud and higher valuation. At the same time, institutional investors are keen to invest in shares, the lower the placement rate and success rate becomes the norm, precipitated a lot of money in circulation market, reduce the rate of capital operation efficiency, weakening the efficiency of resource allocation of capital market. The IPO and listing the initial enthusiasm has left a hidden danger to the long-term the trend of stock price, widespread domestic and overseas IPO long run underperformance caused losses to investors, is not conducive to the benign operation of the market of the two main research in this paper. The influence of investor sentiment on the investment behavior of the IPO market.
The second chapter is literature review, analyze and comment on the.20 century after 70s western scholars began to pay attention to the IPO market from the asymmetric information theory and behavioral finance theory, found that the IPO market has three vision, underpricing, long-term underperformance and hot market phenomenon, research is emerging. The early research mainly carries on the analysis from the theory of information asymmetry and that underpricing is due to the information asymmetry between the IPO market participants, all kinds of information caused by the unbalance of stock price artificially low, underpricing that is the resulting.20 century, more and more scholars to study the IPO market from the perspective of behavioral finance, that excess returns of new shares listed on the first day of the trading price from the resulting high premium said. The two theories are analyzed from different aspects of the investment behavior of the IPO market, to explain the IPO market in China is different As a reference. As an emerging market, China's capital market is still not perfect, and there is a big gap between the mature market. China's IPO market, there are three big visions underpricing, long-term underperformance and hot city, there is also the issue of high prices, high income and high times subscription phenomenon, and has attracted more and more attention greater impact. From the reality, analyzes the characteristics of the IPO market in China, the theoretical and Empirical Analysis on the existing problems, is conducive to China's capital market continues to improve and long-term development.
The third chapter analyzes the influence mechanism of emotional investment behavior, were analyzed from the psychology and finance mechanism of investor sentiment affect investment behavior. The modern financial theory hypothesis that investors make decisions in accordance with the principle of utility maximization based on human behavior, but also the psychological process in addition to the pursuit of interests demands satisfied, investor sentiment plays an important role in the investment decision, make the investment behavior bias. With Miller (1977), DSSW (1990) and DHS (1998) analysis of the impact of investor sentiment on asset prices of the three models.
The fourth chapter analyzes the emotional behavior of the IPO market. Starting from the generalized theory of emotion factors, will affect the investment decisions into the market, the company quality and conditions of issue three, the market in the specific factors that affect investor sentiment market index returns and return on the first day, the company quality including profitability, solvency, development ability and operation ability, the conditions of issue covers the underwriter's reputation, issue size, valuation and purchase activity. This paper extends the research scope of the IPO market, based on the study of IPO underpricing, and investment behavior analysis of a market network and online and on the first day of the two market volume this behavior. Based on the proposed hypothesis of correlation between emotional variables and behavioral variables.
The fifth chapter makes an empirical analysis. From January 2010 to June 2011 in Shanghai and Shenzhen two initial public offering and listing of shares as the sample, comparing the Shanghai motherboard, the Shenzhen SME board and gem in investment behavior, differences in financial conditions and the conditions of issue. The explanatory variables in sequence components, correlation analysis of each emotion variables and behavioral variables. In order to establish the multiple regression model, explanation analysis model of IPO market investment behavior, and the significant factors affecting investor sentiment.
The empirical results showed that the main board, small board and gem IPO market shows different characteristics of the plate. The Shenzhen SME board and gem IPO company's financial condition is better than the Shanghai motherboard, the gem as the main board and small board more than ten percentage points higher GEM listed company's gross margin. The asset liability ratio is only 40%, net profit growth rate is as high as 67%. distribution, the motherboard features more mature market, small board to the main market convergence, the gem as a feature of emerging markets is more obvious. IPO motherboard market underwriting sponsor mainly for large firms, ten investment banks control more than half of the market share, while the small board and gem more than 60% of the market share for a large number of small and medium-sized firms share. The motherboard issuance was generally larger, the circulation of the small board and the gem is Small. The motherboard issuance price earnings ratio of 43 times, 53 times as small plates, the gem up to 65 times relative to the two level market industry average valuation level is significantly higher, the gem up to 151 times the price earnings ratio is even more staggering. The investment behavior between plates has obvious difference. IPO motherboard market level the placement rate and success rate was significantly higher than that of the Shenzhen SME board and gem, and the difference between the Shenzhen two plate is smaller. In about 70% of the turnover rate on the first day of IPO Shenzhen SME board and gem, on the first day of the exchange rate is higher than the Shanghai motherboard 60%. During the sample period, the small board listed on the first day of the highest yield, average 35%, the main board and gem respectively in 20% and 25%.
The research shows that emotional theory can partly explain the investment behavior of the IPO market. The model has good fitting degree, correlation with the expected emotional variables are basically the same, and the market conditions of issue index significantly, but the financial index and the expected difference. Before the IPO market, including the market trend and new revenue have a positive impact on emotional behavior on the market level and two level market. The influence of conditions on the issue of emotional behavior is in many aspects. The influence of underwriter reputation on emotional behavior is not obvious. The role of reputation in the Chinese IPO market is more limited, the underwriting sponsor recruit project depends less on the market reputation, undertake illegal a responsibility to reduce the harm to reputation, lighter, lack of power to establish and maintain active sponsor underwriting market reputation. Sheng speculation at the same time For investors, the sponsor's reputation have paid less attention to underwriting. The earnings release effect on emotional behavior in different markets is different. The primary market investors have positive impact on the level of valuation, in which higher valuation itself is by the birth of an inquiry object, but also the ordinary investors to participate in online purchase of overvalued stocks a positive investment enthusiasm. Two level of market investors are risk averse, the high valuation of shares listed on the first day of trading activity slightly dull, price increase is relatively low. The issue size has significant impact on emotional behavior, investors in small cap stocks showed a clear preference. The level of market network and on-line purchase activity emotional behavior directly affects the market of the two market, the linkage between the strong.
Reflect the influence of financial indicators on quality of emotional behavior of IPO market is more limited. The IPO pricing process, issuers and underwriters to price range, the object of inquiry to determine the issue price in the price range, online investors purchase according to the price limit. Obviously, the issue price essentially by the issuers and underwriters decided to issue. And the underwriters have enough information about the value of the company, and China in the capital market, issuers and underwriters or lack of power price issue, the financial situation only to illustrate the price is reasonable, there is no untapped value of depression. Therefore, in the IPO market, investors are less concerned about the company's financial condition, financial index the emotional behavior is more limited.
Aiming at the present stage of China's IPO market, this paper puts forward the following suggestions: one is to improve the quality of the.IPO market to institutional investors, institutional investors have strict access conditions, while institutional investors speculation also need to further It is often seen., wide IPO level of market access conditions, to allow more institutional investors to participate in new shares purchase, full market competition will help reduce the collusion and manipulation of irregularities. The increase in the number of institutional investors at the same time, the need to strengthen supervision and management, improve the quality of institutional investors team. The two is to strengthen investor education. A large number of ordinary investors in China, scattered strength, follow the trend of speculation over confidence, strengthen. Investor education, strengthen the risk consciousness, form the correct investment concept, not only is the protection of the interests of investors, the market is based on efficiency . the three is to improve the important function of the system specification is.IPO market financing, but the system specification to be fair, not biased. If the system is inclined to the financing side, while ignoring the interests of investors, the market is not conducive to long-term development. The need to strengthen the management of the issuer and underwriter, on major the responsibility in the process of issuing requires strict processing. The four is to promote the innovation of mechanism. The IPO market in China is strictly prohibited to short selling, unable to express their wishes through short selling, are excluded outside the market, the market is controlled by multiple forces. Introduction of short selling mechanism, can change the one-way profit reality, the stock price downward adjustment to the equilibrium level can reduce the transaction price also, generate a warning to investors of a market, reduce the times of purchase.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】