投资者情绪对我国IPO首日超额收益的影响研究

发布时间：2018-03-07 07:22

本文选题：IPO　切入点：首日超额收益　出处：《浙江大学》2008年硕士论文　论文类型：学位论文

【摘要】： IPO首日超额收益是困扰学术界多年的金融异象之一,对于它的解释可以分成两种角度:一种是一级市场发行时定价过低,另一种是二级市场上首日收盘价虚高。在我国IPO研究领域内,基于以往严格的发行管制,学者们普遍认为引起我国IPO首日超额收益的主要原因是,非市场化的新股发行制度使得IPO在一级市场上发行时定价过低,从而造成了我国特别异常的IPO首日超额收益。但是随着发行监管部门对新股发行制度的改革,我国的新股发行制度已经在市场化的道路上前进了一大步,因此文章怀疑股权分置改革、实行询价制后,发行制度使一级市场定价过低已经不是我国IPO首日超额收益的主要原因。利用随机前沿方法对2006年6月5日至2008年1月31日发行并上市的A股进行定价效率检验,分析表明这段时期内我国新股的定价效率已经趋于合理,但是IPO首日超额收益仍居高不下。因此针对我国投资者投机心态严重的特点,从行为金融学的角度,进一步研究投资者情绪对我国二级市场上首日收盘价的影响才更符合现实情况。然后文章对我国投资者情绪的来源和表现进行分析,认为我国投资者对IPO有寻求暴富心理、过度自信以及羊群效应严重的情绪特点。在此基础上将我国新股上市首日的乐观投资者分为狂热投资者和正反馈交易者,并利用DHS模型和DSSW模型对这两种情绪投资者对IPO首日收盘价的影响机制进行分析。基于两个模型,文章认为在新股上市首日之初,狂热投资者出于对新股的极度乐观,对新股有极大的需求,使得新股的交易价格偏离了发行价。接下来,正反馈交易者在观察到新股价格上涨后,也加入到对新股的需求中,从而使新股上市首日的收盘价进一步偏离了真实价值。但是随着公共信息的不断到来,新股的价格在长期来看会逐渐回归到基本面。文章以2006年6月5日至2008年1月31日发行并上市的A股为样本,选取了相应的情绪代理指标用于表征狂热投资者和正反馈交易者,通过相关性分析和多元回归分析发现,IPO首日超额收益随投资者的狂热程度和正反馈程度增加而增加,并且与IPO的一年长期超额收益负相关。总体实证研究进一步表明,投资者情绪是引起我国IPO首日超额收益的主要原因。此外,通过主板和中小板的比较、行业间的比较,也证明了投资者对于中小板IPO的情绪更为狂热,对部分行业IPO的情绪更为高涨,相应的IPO首日超额收益也更高。基于以上研究,文章最后提出应着重培养投资者健康的投资心态以提高我国IPO市场的资源配置效率。
[Abstract]:The first day of IPO excess return is one of the financial anomalies that haunt the academic circles for many years. The explanation for it can be divided into two angles: one is that the pricing of the primary market is too low when it is issued. The other is the false closing price of the first day in the secondary market. In the field of IPO research in China, based on the strict issuance control in the past, scholars generally believe that the main reasons for the excess return on the first day of IPO in China are, The non-market-oriented new issue system makes the pricing of IPO on the primary market too low, which results in the abnormal first day excess return of IPO in China. However, with the reform of the new issue system, The new issue system in our country has made a big step forward on the road of marketization. Therefore, the article suspects that the reform of split share structure, after the implementation of the inquiry system, The underpricing in the primary market is not the main reason for the first day excess return of IPO in China. The pricing efficiency of A shares issued and listed from June 5th 2006 to January 31st 2008 is tested by using the stochastic frontier method. The analysis shows that the pricing efficiency of new shares in China has become more and more reasonable in this period, but the excess return of IPO on the first day is still high. Therefore, in view of the serious characteristics of investors' speculative mentality in China, from the point of view of behavioral finance, Further study on the impact of investor sentiment on the first day closing price in the secondary market is more in line with the reality. Then this paper analyzes the origin and performance of investor sentiment in China, and concludes that Chinese investors have the psychology of seeking to become rich in IPO. On the basis of this, the optimistic investors on the first day of IPO in China are divided into enthusiastic investors and positive feedback traders. Using DHS model and DSSW model to analyze the influence mechanism of these two kinds of emotional investors on the closing price of IPO on the first day. Based on the two models, the paper thinks that at the beginning of the first day of new stock listing, the fanatical investors are extremely optimistic about the new shares. There is a huge demand for new shares, which causes the trading price of new shares to deviate from the issue price. Next, positive feedback traders add to the demand for new shares after they have observed an increase in the price of new shares. As a result, the closing price of the first day of IPO deviates further from the real value. But with the coming of public information, the price of new stock will gradually return to the fundamental aspect in the long run. Taking A shares issued and listed from June 5th 2006 to January 31st 2008 as samples, this paper selects the corresponding emotional proxy index to represent the enthusiastic investors and positive feedback traders. Through correlation analysis and multiple regression analysis, it is found that the first day excess return of IPO increases with the increase of investor fanaticism and positive feedback, and is negatively correlated with the one-year long term excess return of IPO. Investor sentiment is the main reason for the first day excess return of IPO in China. In addition, the comparison between main board and small board, and the comparison among industries, also proves that investors' sentiment towards IPO on small and medium-sized board is more fanatical. On the basis of the above research, this paper puts forward that we should focus on cultivating investors' healthy investment mentality in order to improve the efficiency of resource allocation in IPO market of our country.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2008
【分类号】：F832.51

【引证文献】