基于投资者情绪的IPO抑价研究

发布时间：2018-03-16 12:09

本文选题：IPO抑价　切入点：超额收益　出处：《辽宁大学》2012年硕士论文　论文类型：学位论文

【摘要】：IPO抑价现象在各国普遍存在，各国的学者对其进行了大量的研究。早期的研究主要集中于发行价定价过低，认为抑价是发行人和承销商主动采取的措施以确保股票顺利发行。20世纪80年代以来，随着行为金融的发展，学者们开始从二级市场寻找抑价的原因，认为是二级市场的定价过高而非发行价定价过低导致了抑价。中国的证券市场存在的时间短、规模小，中国的个人投资者由于缺少足够的金融知识和相关经验，在投资决策的选择上更容易受到情绪的左右，从而影响投资者的交易行为，，进而影响股票价格。同时这种情绪很容易被发行人、承销商和机构投资者利用，以获取超额的IPO首日收益。因此，本文结合中国证券市场的特点，对投资者情绪如何影响IPO阶段的价格进行了分析，并以中签率、前5只IPO平均收益率、换手率作为投资者情绪的代理变量，分析了其对IPO高抑价现象的影响。数据采用2005至2011年沪市和中小板的IPO股票，将其中的破发股票剔除，分别对沪市、中小板、破发股进行分析。本文在实证部分，引入了除情绪因素之外的一个新的解释变量“开盘超额收益率”，以分析开盘价与抑价率之间的关系。本文共分五个部分，第一部分对投资者情绪进行了详细的阐述；第二部分分析了IPO阶段投资情绪的影响；第三部分对中国IPO市场的特点进行了说明；第四部分结合相关数据对投资者情绪与IPO抑价之间的关系进行了实证分析；第五部分结合分析的结果给出了政策建议。
[Abstract]:The phenomenon of IPO underpricing exists in many countries, and scholars in many countries have done a lot of research on it. It is considered that underpricing is an active measure taken by issuers and underwriters to ensure the smooth issuance of stocks. Since 80s, with the development of behavioral finance, scholars have begun to look for the reasons for underpricing in the secondary market. It is believed that the underpricing in the secondary market is caused by the overpricing rather than the low issue price. China's securities market has been in existence for a short time and on a small scale. Due to the lack of sufficient financial knowledge and relevant experience, individual investors in China are more susceptible to emotional influence on their choice of investment decisions, thus affecting their trading behavior. This sentiment is easily exploited by issuers, underwriters and institutional investors to earn excess IPO first-day earnings. Therefore, combining with the characteristics of China's securities market, this paper analyzes how investor sentiment affects the price of IPO stage, and takes the success rate, the average yield of the top five IPO and the turnover rate as proxy variables of investor sentiment. This paper analyzes its influence on the phenomenon of high underpricing of IPO. The data adopt the IPO stocks of Shanghai stock market and small and medium-sized board from 2005 to 2011, and eliminate the broken stocks, and analyze the Shanghai stock market, the small and medium-sized board and the broken stock respectively. In order to analyze the relationship between opening price and underpricing, a new explanatory variable, "open excess return", is introduced in addition to emotional factors. This paper is divided into five parts, the first part of the detailed description of investor sentiment, the second part of the analysis of the impact of the IPO stage of investment sentiment, the third part of the characteristics of China's IPO market has been explained; Part 4th makes an empirical analysis of the relationship between investor sentiment and IPO underpricing in combination with relevant data; part 5th combines with the results of the analysis to give policy recommendations.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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