投资者情绪与我国创业板IPO首日收益研究

发布时间：2019-03-10 21:50

【摘要】：IPO首日收益异常,是现代金融学研究的十大谜团之一,一直广受理论实务部门的关注。我国创业板市场于2009年10月30日正式成立,首批挂牌交易的28支新股首日平均涨幅高达106%。研究我国创业板市场新股首日收益的来源及形成机理,对于分析创业板新股发行效率、定价影响因素、股价未来走势以及发行制度改革后的成效都有着积极的意义。 IPO首日收益是以新股在一、二级市场上的相对价差表现的,发行定价偏低和上市首日交易价格虚高都是影响IPO首日收益的原因,且皆与其成正相关关系。因此本文结合投资者情绪对IPO发行价格和交易价格分别研究,综合探讨我国IPO首日收益的形成过程。本文以2009年10月—2011年4月期间在创业板上市的195家IPO公司为样本,利用公司价值变量和随机边界模型检验IPO发行定价是否偏低,结果显示：我国创业板IPO发行价格不存在定价上边界,存在定价下边界,即新股发行定价没有系统性偏低,甚至部分新股定价偏高。随即构建模型分析新股申购需求与前一月的新股上市首日收益的关系,结果呈显著的正相关关系,以此证明了投资者情绪在一级市场上的存在性。进一步发现投资者情绪对发行定价具有显著同向影响,即当市场情绪乐观时将提高IPO发行定价,当市场情绪悲观时将降低IPO的发行定价。结合我国实际情况得出结论：我国一级市场上乐观的情绪申购者通过间接提高新股发行定价的方式降低了IPO首日收益。我国股票二级市场存在严格的卖空限制,创业板成立时问短,股票供给少,进一步削弱卖方力量,使得参与新股首日交易的狂热情绪投资者能够推高首日交易价格,从而产生正向首日超额收益。以上述195家IPO公司为样本,控制公司价值变量和宏观环境变量的影响,实证结果表示：投资者情绪对IPO首日收益有显著的正向作用,同时发现公司价值变量对IPO首日收益的解释能力欠佳,说明上市首日二级市场的情绪投资者才是导致我国创业板新股一、二级市场之间存在高额价差的主要原因。本文的研究结果表明,投资者情绪广泛存在于新股发行的、二级市场,IPO首日收益的大小取决于两级市场上投资者情绪的综合作用。一级市场存在的投资者情绪拉低了IPO首日的真实收益。即使首日收益为零的情况下,投资者情绪的影响仍有可能存在。因此,IPO首日收益的相对减少不是衡量新股发行制度改革的绩效之一；要提高市场效率,必须建立一、二级市场情绪导出机制。
[Abstract]:The abnormal first-day earnings of IPO is one of the ten mysteries of modern finance research, which has been paid close attention to by the theoretical and practical departments. China's gem market was officially established on October 30, 2009, with 28 new shares on the first day of trading rising as much as 106 percent on average. The research on the origin and formation mechanism of the first-day earnings of the new shares in the gem market of our country is of positive significance to the analysis of the issuing efficiency, the factors influencing the pricing, the future trend of the stock price and the results of the reform of the issuance system. The first-day earnings of IPO are represented by the relative price difference of new shares in the first and secondary markets. The low pricing of the issue and the false high of the trading price on the first day of listing are the reasons that affect the first-day earnings of the IPO, and all of them are positively correlated with the first-day earnings of the first day of the IPO. Therefore, this paper studies the issue price and transaction price of IPO in combination with investor sentiment, and comprehensively discusses the formation process of the first-day return of IPO in China. Taking 195 IPO companies listed on the gem from October 2009 to April 2011 as samples, this paper uses company value variables and stochastic boundary model to test whether the pricing of IPO issue is low or not. The results show that there is no upper boundary and lower boundary in the pricing of IPO in China's gem, that is, the pricing of new shares is not systemically low, and even some new shares are overpriced. Then a model is built to analyze the relationship between the demand for new stock requisition and the first day return of the new stock market in the previous month. The results show a significant positive correlation, which proves the existence of investor sentiment in the primary market. It is further found that investor sentiment has a significant co-effect on issue pricing, that is, when market sentiment is optimistic, IPO issue pricing will be increased, and when market sentiment is pessimistic, the issue price of IPO will be reduced. Combined with the actual situation of our country, it is concluded that the optimistic emotional requisitioners in the primary market of our country reduce the first day profit of IPO by indirectly increasing the pricing of the issue of new shares. There are strict short selling restrictions in China's secondary stock market, and the gem is short at the time of its establishment and the stock supply is small, which further weakens the seller's strength and enables fanatical investors who participate in the first day of trading of new shares to push up the first day trading price. Resulting in positive first-day excess returns. Taking the 195 IPO companies as samples to control the impact of company value variables and macro-environment variables, the empirical results show that investor sentiment has a significant positive effect on the first-day earnings of IPO. At the same time, it is found that the company value variable has a poor ability to explain the first day earnings of IPO, which shows that the emotional investors in the secondary market on the first day of listing are the main reasons for the high price difference between the secondary market and the new stock market in China's gem. The results of this study show that investor sentiment exists widely in the secondary market, and the size of the first-day return of IPO depends on the comprehensive role of investor sentiment in the two-tier market. Investor sentiment in the primary market has pushed down IPO's real earnings on its first day. Even with zero first-day earnings, the impact of investor sentiment may still exist. Therefore, the relative decrease in the first-day earnings of IPO is not one of the measures of the performance of the reform of the new stock issuance system; to improve the market efficiency, it is necessary to establish the first and second-level market sentiment export mechanism.
【学位授予单位】：南京师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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