投资者情绪与IPO首日收益实证研究

发布时间：2018-05-08 03:40

本文选题：投资者情绪 + IPO　；参考：《华南理工大学》2012年硕士论文

【摘要】：IPO首日收益表现为新股上市首日收益远高于其内在价值，传统（标准）金融从二级市场的有效性出发，认为IPO首日收益是证券市场为了有效地反应上市公司的价值信息，给一级市场的发行者、承销商以及投资者提供补偿而折价发行所致的。但是，学者们在为一级市场的抑价提供了合理的解释后随之而来的是，IPO公司存在的长期弱势的走向，这种异象并不能完全以抑价解释为主要理论的传统金融得到很好的解释。因而学者们开始怀疑市场有效这个前提假设，并将研究目光转向二级市场，研究新股的首日收盘价是否合理。学者们尝试用行为金融学的理论来解释投资者在二级市场上的行为，发现投资者的各种非理性情绪对股价有明显的影响。上世纪九十年代以后，随着行为金融学的兴起，学者们认识到，在世界范围内没有证据表明股票二级市场是足够有效的，首日收益还有可能是首日交易价格过高而致的。行为金融学者们认为IPO首日收益过高可以从IPO公司在一级市场的抑价发行，即新股发行价格过低和二级市场新股上市首日价格过度反应而造成的溢价来解释。我国资本市场经过二十多年的改革与探索，取得了巨大的成就，但是仍然具有超高的IPO首日收益率。这使我们有必要从一级市场和二级市场影响投资者情绪的因素来寻找IPO首日收益过高的原因。因此，本文试图从投资者情绪角度选取投资者在一级市场和二级市场的情绪代理变量来探讨IPO首日收益。在理论方面，先简介了投资者行为理论，并对投资者情绪影响IPO首日收益的机理进行了简介。在实证方面，选取了沪深A股市场2000年9月至2009年9月的758只IPO样本进行了考察，先构建了投资者情绪指数，，然后在此基础上与IPO首日收益率建立向量自回归模型来动态考察不同发行时期的投资者情绪与IPO首日收益率之间的动态关系。结果发现在资金申购时期投资者情绪与IPO首日收益之间均表现出比较显著的动态关系。而在市值配售时期，投资者情绪与股票收益之间均表现出不显著的动态关系。
[Abstract]:The first day return of IPO is that the first day income of new stock is much higher than its intrinsic value. The traditional (standard) finance starts from the efficiency of the secondary market and thinks that the first day return of IPO is the value information of the listed company in order to reflect the value information of the listed company effectively. Offer at a discount to issuers, underwriters, and investors in the primary market. However, after providing a reasonable explanation for the underpricing in the primary market, the scholars have followed the trend of long-term weakness of IPO companies, which can not be fully explained by traditional finance with underpricing explanation as the main theory. Therefore, scholars begin to doubt the hypothesis of market efficiency, and turn their attention to the secondary market to see if the closing price of new shares on the first day is reasonable. Scholars try to explain the behavior of investors in the secondary market with the theory of behavioral finance, and find that various irrational emotions of investors have a significant impact on the stock price. Since the 1990s, with the rise of behavioral finance, scholars have recognized that there is no worldwide evidence that the secondary stock market is efficient enough, and that first-day returns may be the result of high first-day trading prices. Behavioral finance scholars believe that the high first-day earnings of IPO can be explained by the underpricing of IPO in the primary market, that is, the premium caused by the underpricing of new shares and the overreaction of the first-day price of new shares in the secondary market. After more than 20 years of reform and exploration, China's capital market has made great achievements, but still has a high IPO first-day yield. This makes it necessary to look at the factors that affect investor sentiment in the primary and secondary markets to find out why IPO's first-day earnings are too high. Therefore, this paper attempts to select the investors' emotional agent variables in the primary market and the secondary market from the perspective of investor sentiment to explore the first-day return of IPO. In theory, the theory of investor behavior is introduced, and the mechanism of investor sentiment influencing IPO's first-day return is introduced. In the empirical aspect, we selected 758 IPO samples from September 2000 to September 2009 in Shanghai and Shenzhen A share market, and constructed the investor sentiment index. On this basis, a vector autoregressive model is established with the first day yield of IPO to dynamically investigate the dynamic relationship between investor sentiment and the first day yield of IPO in different issuing periods. The results show that there is a significant dynamic relationship between investor sentiment and IPO's first day return during the period of capital purchase. However, during the period of market value placing, the relationship between investor sentiment and stock returns was not significant.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224;F832.6

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