机构投资者情绪、市场情绪与IPO抑价及长期收益

发布时间：2018-02-20 15:42

本文关键词： IPO抑价 IPO长期收益市场投资者情绪机构投资者情绪主成分分析　出处：《南京大学》2013年硕士论文　论文类型：学位论文

【摘要】：自上世纪70年代起,IPO(首次公开募股)所引起的三大异象：热销市场、IPO抑价、长期收益走弱便开始渐渐走入学者的视线,并在近十年引起了国内学者的广泛关注。IPO抑价指的是首次公开发行的股票上市后的市场交易价格远高于发行价格,发行市场与交易市场出现了巨额的价差,导致首次公开发行存在较高的超额收益率。IPO长期收益走弱是指首次发行的股票在上市后3-5年的长期收益低于同期的市场总体收益。我国的IPO抑价现象与西方发达国家相比要高的多,我们发现形而上学的使用西方的种种信息经济学理论解释我国市场的IPO抑价现象并不是很合适。这主要是由于中国市场具有其特殊性,如发行制度近年来屡次变迁,05年才开始股权分置改革,有流通股和非流通股之分,上市是审批制,股市受政策影响十分严重,个人投资者占多数,容易受到噪音的影响。行为金融学的流行给我们的研究提供了一个新的视角,而行为金融中投资者情绪的引入又让我们对IPO抑价产生一种新的解释——一级市场定价合理,二级市场定价过高导致的首日收益率高。它认为投资者在面对瞬息万变的经济市场和未知的变化时,会做出具有一定特性的决策,如从众心理、系统偏差等。投资者并非完全理性,反而容易受到情绪的影响。本文即是从投资者情绪的角度来考量IPO抑价和长期收益走弱,并在研究中将投资者情绪分为市场投资者情绪和机构投资者情绪。这是出于现在机构投资者在我国的大力发展和起着越来越大的作用的考虑。并就此提出以下几个问题：市场投资者情绪、机构投资者情绪是否对IPO抑价产生影响?是否对IPO长期收益产生影响?有多大的影响?本文围绕这几个问题展开研究。本文在研究方法上采用了主成分分析法,借鉴BW指数结合数据的可获得性和中国市场的实际,选择了5个间接指标：封闭式基金折价率、股票换手率、IPO数量、IPO首日收益率、发放股利的股票市净率与不发放股利股票的市净率之差,将这些具有较高相关性的解释变量糅合为了一个情绪变量,此外还用到了相关性分析和回归分析等方法。在数据选取方面,考虑到尽量减少股权分置改革的影响,选择了2006年1月至2011年12月上市的数据,并剔除了金融类企业和残缺数据的企业,样本共包括499个。最终通过实证分析发现IPO抑价与市场投资者情绪、机构投资者情绪均显著正相关。IPO抑价、投资者情绪与上市后中期收益(1-2年)显著负相关,而与第三年相关性较弱。
[Abstract]:Since -30s, IPOs (initial public offerings) have caused three major anomalies: the hot market IPO underpricing, the weakening of long-term earnings began to gradually come to the attention of scholars. In the past decade, the IPO underpricing has aroused the widespread concern of domestic scholars. The IPO underpricing refers to the fact that the market transaction price after the initial public offering of stocks is much higher than the issuing price, and there is a huge price difference between the issuing market and the trading market. Lower long-term yield of IPO refers to the fact that the long-term yield of initial public offering is lower than that of market in the same period 3-5 years after the initial public offering. The phenomenon of IPO underpricing in China is much higher than that in western developed countries. We find that metaphysics is not suitable to explain the phenomenon of IPO underpricing in our market by using various western theories of information economics. This is mainly due to the particularity of the Chinese market. For example, the issue system has changed repeatedly in recent years, and it was only in 2005 that the reform of split share structure began. There are two kinds of shares: tradable shares and non-tradable shares. Listing is an examination and approval system. The stock market is seriously affected by the policy, and individual investors are the majority, so they are vulnerable to the influence of noise. The popularity of behavioral finance provides a new perspective for our research, and the introduction of investor sentiment in behavioral finance leads us to a new explanation for IPO underpricing-a reasonable pricing in the primary market. A high first-day yield due to overpricing in the secondary market. It believes that investors will make decisions with certain characteristics, such as herd mentality, in the face of rapidly changing economic markets and unknown changes. Investors are not completely rational, but susceptible to emotional influence. In this paper, we consider the weakening of IPO underpricing and long-term returns from the perspective of investor sentiment. In the research, investors' sentiment is divided into market investor's emotion and institutional investor's emotion. This is out of the current institutional investor's vigorous development in our country and the consideration that plays a more and more important role in our country. The question: market investor sentiment, Does institutional investor sentiment have an impact on IPO underpricing? Will it have an impact on IPO's long-term earnings? What's the impact? This paper focuses on these issues. In this paper, the principal component analysis method is used in the research, and five indirect indexes are selected for reference: discount rate of closed-end fund, stock turnover rate, IPO number and the first day yield of IPO, referring to the data availability of BW index and the reality of Chinese market. The difference between the price-to-book ratio of the stock that pays dividends and the price-to-book ratio of the stock that does not issue the dividend, which combines these highly relevant explanatory variables into an emotional variable. In addition, correlation analysis and regression analysis are also used. In the aspect of data selection, considering minimizing the impact of the split share structure reform, the data of listing from January 2006 to December 2011 are selected. Finally, the empirical analysis shows that IPO underpricing is positively correlated with market investor sentiment, and institutional investor sentiment is significantly positively correlated with IPO underpricing. Investor sentiment is negatively correlated with interim earnings (1-2 years), but weakly correlated with the third year.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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