投资者情绪对创业板IPO首日超额收益影响研究

发布时间：2018-03-10 10:49

本文选题：IPO首日超额收益　切入点：投资者情绪　出处：《南京大学》2012年硕士论文　论文类型：学位论文

【摘要】：IPO首日超额收益是指上市首日收盘价显著高于发行价的现象,这种现象在国内外资本市场广泛存在。IPO首日超额收益自从上世纪70年代被发现以来,一直吸引着大量的学者对其进行研究。目前对IPO首日超额收益的研究主要集中在两个方面：一是由于发行人、承销商、投资者之间的信息不对称等原因造成了一级市场定价偏低,所以新股上市首日价格上涨,形成首日超额收益。二是投资者对新股过度反应,新股上市首日价格虚高,同样形成上市首日的超额收益。我国创业板自2009年10月推出,IPO首日超额收益现象较为突出,企业上市收盘价屡创新高。首批28家创业板上市公司,平均首日超额收益率达到106.23%。截至2011年底的281家创业板上市公司的首日算术平均收益率37.92%。创业板IPO首日超额收益使一级市场集中大量的资金专门用于新股申购,不利于资金优化配置。并使投资者过分关注是否申购成功,而忽视对公司基本面的研究,造成新股上市后价格过度波动,形成巨大的风险。本文主要对创业板IPO首日超额收益进行研究,针对上述我国创业板IPO的特殊情况,本文在对国外相关理论适用性分析的基础上,主要从二级市场投资者情绪角度去解释我国创业板IPO首日超额收益问题。本文首先对国内外关于IPO首日超额收益的研究进行梳理；接着,在第3章对投资者情绪理论和我国创业板IPO首日收益情况进行概述,并从投资者情绪角度对创业板IPO首日收益做简要解释。本文第4章,建立了基于投资者情绪的创业板IPO首日收益模型,从理论上论证投资者情绪对创业板IPO首日收益的影响。在第5章,选取了新股上市前15个交易日市场日均收益等六个投资者情绪代理变量,通过主成分分析法,构建了创业板IPO投资者情绪指数,以此衡量创业板IPO投资者情绪的高低。并以创业板IPO首日收益为被解释变量,以投资者情绪指数,信息不对称代理变量和承销商声誉作为解释变量,建立多元回归模型。回归结果显示投资者情绪指数系数显著,对创业板IPO首日收益解释有较强的能力。第6章,根据上述理论模型和实证研究,提出了本文的研究结论,并对未来的研究方向做了展望。
[Abstract]:The first day excess return of IPO refers to the phenomenon that the closing price on the first day of listing is significantly higher than the issue price. This phenomenon widely exists in the domestic and foreign capital markets. It has attracted a large number of scholars to study it. At present, the research on IPO's first-day excess income is mainly focused on two aspects: first, the issuer, the underwriter, The information asymmetry among investors causes the pricing of the primary market to be on the low side, so the price of new shares on the first day of listing rises, forming the first day of excess returns. Second, investors overreact to new shares, and the prices of new shares on the first day of listing are artificially high. Also formed the first day of the listing of excess returns. Since the launch of the gem on October 2009, the phenomenon of excess returns on the first day of IPOs has become more prominent, and the closing price of enterprises has reached record highs. The first batch of 28 gem listed companies are listed on the gem. The average first-day excess rate of return reached 106.23.As of end of 2011, the average first-day arithmetic yield of 281 gem listed companies was 37.92.The first day excess income of gem IPO made the primary market concentrate a large amount of funds specifically for new stock requisitions. It is not conducive to the optimal allocation of funds, and makes investors pay too much attention to the success of the purchase and purchase, while neglecting the study of the company's fundamentals, which results in excessive fluctuations in the price of new shares after listing, and creates a huge risk. This paper mainly studies the excess income of IPO on the first day of gem. According to the special situation of IPO in China, this paper analyzes the applicability of relevant theories in foreign countries. From the perspective of investor sentiment in the secondary market, this paper explains the problem of the first day excess return of IPO in China's growth Enterprise Market (gem). In chapter 3, the author summarizes the investor sentiment theory and the first day return of IPO in China's gem. And from the perspective of investor sentiment to do a brief explanation of the growth Enterprise Market (IPO) first-day income. In Chapter 4, we establish the gem IPO first-day income model based on investor sentiment. In Chapter 5, we select six investor sentiment agent variables, such as the average return of the market for 15 trading days before the IPO, and use the principal component analysis method to analyze the influence of investor sentiment on the first-day return of gem. This paper constructs the gem IPO investor sentiment index to measure the level of the gem IPO investor sentiment, and takes the gem IPO first day income as the explanatory variable, and uses the investor sentiment index as the index. The information asymmetry agent variable and underwriter reputation are used as explanatory variables to establish a multivariate regression model. The regression results show that the investor sentiment index coefficient is significant and has a strong ability to explain the first-day earnings of gem. Chapter 6, According to the above theoretical model and empirical research, the conclusion of this paper is put forward, and the future research direction is prospected.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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