媒体关注对新股表现影响的实证研究

发布时间：2018-06-12 14:18

本文选题：媒体关注度 + IPO抑价理论　；参考：《南京大学》2012年硕士论文

【摘要】：媒体关注对资产价格的影响最近几年成为国内外学者研究的热门课题,许多学者研究表明媒体关注会通过吸引投资者的注意力,影响投资者的情绪最终影响资产价格,新股上市首日的表现亦会受到媒体关注的影响。我国资本市场作为一个新兴的市场,整个市场中的情绪交易者较多,在我国媒体关注度对新股表现是怎样的?对于新股的一级市场抑价率和二级市场溢价率的影响是否相同?不同时期的媒体关注度对新股表现的影响是否一致?这些都是亟需解答的。本文主要考察媒体关注对新股表现的影响,按照理论分析、实证分析、对策分析的研究思路,首先论述本文的研究背景和研究意义,同时对媒体关注与新股上市表现的研究文献进行整理归纳。其次进行媒体关注对新股上市表现影响的假设设计和变量选择,在前面的理论综述基础设计实证的媒体关注度代理变量、被解释变量和控制变量。选取2006年6月到2010年12月上市的所有股票,以百度新闻高级搜索出的上市前新闻报道数量作为衡量媒体关注度的代理变量,加入公司规模、发行规模、公开发行数量、净利润增长率、公司年龄、行业分类等控制变量实证研究媒体关注对新股上市后收益的影响。最后利用收集的数据进行描述性统计并进行模型的实证研究,分别对媒体关注度的影响因素、媒体关注对一级市场抑价率、二级市场溢价率及超额收益率的影响分别进行实证,并作适当调整。其中将影响做了细分研究,分别从新股的一级市场抑价率和二级市场溢价率两个方面进行实证分析,同时基于我国IPO制度的改革,将数据分时间段进行检验,尝试从理论上对实证结果做出合理的解释并且探讨媒体关注影响资产价格的微观机理。通过大量实证的研究结果表明：第一、媒体关注主要影响新股二级市场溢价率并且影响方向为正,即媒体关注度越高新股上市后二级市场溢价率越高,媒体关注对于一级市场抑价率有负向的影响,但是不是造成一级市场抑价的主要因素；第二、媒体关注虽然在泡沫时期对新股表现影响不显著,但是在非泡沫的大多数时期有着显著的影响。第三、媒体关注并不直接作用于新股收益,引起新股收益变化的主要因素是投资者行为,媒体关注主要通过吸引投资者关注,影响投资者行为从而影响新股收益的。以上结论对于引导投资者合理投资,避免大量情绪投资者对新股盲目追捧,引起市场泡沫的形成有较好的指导意义。同时也希望监管机构对媒体报道进行有效的监管,避免市场上出现“噪声”,以保证市场的有效性。最后根据实证的结果,提出提高市场有效性,完善市场监管的政策建议。
[Abstract]:In recent years, the influence of media attention on asset prices has become a hot topic for scholars at home and abroad. Many scholars have shown that media concerns will affect asset prices by attracting the attention of investors and ultimately affecting investor sentiment. New shares listed on the first day of performance will also be affected by media attention. China's capital market as a new market, the whole market of emotional traders more, in our country media attention to the performance of new shares is how? Whether the influence of the primary market underpricing rate and the secondary market premium rate on the new shares is the same? Is the impact of media attention on the performance of new shares consistent in different periods? These are all in urgent need of solution. This paper mainly investigates the influence of media attention on the performance of new shares, according to the theoretical analysis, empirical analysis, countermeasure analysis of the research ideas, first of all, discusses the research background and significance of this paper. At the same time, the media concern and the performance of new stock listing research literature is summarized. Secondly, the hypothesis design and variable selection of media concern influence on IPO performance are carried out, and the media attention agent variable, explained variable and controlled variable are summarized in the previous theoretical review. Selecting all the stocks listed from June 2006 to December 2010, taking the number of pre-listing news reports searched by Baidu News Advanced as the proxy variable to measure the media attention, joining the company size, issuance scale, and the number of public offerings. Empirical study on controlling variables such as net profit growth rate, firm age, industry classification and so on. Finally, using the collected data for descriptive statistics and empirical research on the model, respectively, media attention to the impact of media attention on the primary market underpricing rate, secondary market premium rate and excess rate of return, respectively. And make appropriate adjustments. The impact is analyzed in detail from two aspects: the primary market underpricing rate and the secondary market premium rate. At the same time, based on the reform of IPO system in China, the data are tested in time. This paper attempts to make a reasonable explanation of the empirical results theoretically and to explore the microscopic mechanism of media attention to the influence of asset prices. The results of a large number of empirical studies show that: first, media attention mainly affects the secondary market premium rate and the direction is positive, that is, the higher the media attention is, the higher the secondary market premium rate is. Media attention has a negative impact on the primary market underpricing rate, but it is not the main factor that causes the primary market underpricing. Second, although the media concern has not had a significant impact on the performance of new shares during the bubble period, But during most of the non-bubble period, it had a significant impact. Third, the media concern does not directly affect the new stock return, the main factor that causes the change of the new stock return is investor behavior, and the media concern mainly affects the new stock return by attracting investors' attention and influencing the investor's behavior. These conclusions can guide investors to invest reasonably avoid a large number of emotional investors blindly chasing for new shares and cause the formation of market bubbles. Regulators are also expected to regulate media reports effectively to avoid "noise" in the market to ensure the effectiveness of the market. Finally, according to the empirical results, the paper puts forward some policy suggestions to improve the market effectiveness and market supervision.
【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;F224

【引证文献】