基于投资者情绪的IPO首日超额收益和长期绩效的研究

发布时间：2018-06-14 20:00

本文选题：IPO + 价值因素　；参考：《南京大学》2014年硕士论文

【摘要】：证券市场上的新股首日公开发行(Initial Public Offering)是上市公司金融领域的研究热点。研究方向主要集中于新股短期超额收益及长期弱绩效。IPO首日超额收益是指新股的首日收盘价显著高于发行价格。相比于成熟的资本市场,这种现象在中国尤为突出。学者们曾从一级市场的信息不对称的角度研究IPO首日超额收益的原因,并提出相关理论。但一级市场的理论解释是基于二级市场有效的基础上构建的。而二级市场是否有效呢?随着行为金融学的逐步发展,基于二级市场的研究逐渐受到关注。本文首先将IPO首日超额收益划分为一级市场抑价和二级市场溢价两个方面,并从投资者情绪的角度分析IPO首日超额收益和长期弱绩效的形成机理。首先研究中国股票一级市场抑价的情况,通过随机前沿方法,检验2006年至2010年发行的新股(507个样本)是否存在故意抑价的现象。数据表明,新股并不存在故意折价的现象,且定价效率达到99.9%。因而可以表明首日超额收益很大程度上来源于二级市场的溢价率。其次本文从投资者情绪的角度研究IPO二级市场溢价率,通过多元回归模型分析各个因素与溢价率的关系。实证结果显示投资者情绪(首日中签率、换手率及上市首日市盈率)与溢价率显著相关,相反的,公司的三大财务指标(每股收益、每股资产净收益及资产负债率)则与溢价率弱相关。因此可证明初期投资者对新股过于乐观,盲目抬高新股价格,并不关注新股的内在价值。同时,本文还研究冷热市场投资者情绪对溢价率的影响,研究表明热市场能进一步抬高投资者情绪,并导致较高的首日收益率。最后本文衡量长期绩效进而对首日超额收益进行再检验。研究结果表明投资者情绪较高时,首日收益率也较高,且1年内的持有超额收益将为负；而投资者情绪较低时,新股持有收益率一直为正收益。该结果能够证明投资者情绪确实造成了一定的价格泡沫,随着投资者对其的认识趋向理性,价格回归其内在价格,同时收益率也逐渐回归正常。此外,长期绩效并不存在弱势,本文通过回归分析研究得出其与财务成长指标(净资产收益率增长率和净利润增长率)关系显著,同时首日投资者情绪变量与长期绩效关系较弱。因此,通过以上研究,可得出新股的首日超额收益主要来自于非理性行为,市场投资者情绪对其影响较大,并造成后市价格调整,调整期为10个月。此外,长期来看,投资者越来越趋于理性并更关注股票内在价值。本文针对该实证结果提出了相关的对策建议,如完善制度、改善市场投资环境及加强对投资者的教育等。
[Abstract]:The first day open issue of new shares (Initial Public Offering) on the stock market is a hot research topic in the financial field of the listed companies. The research direction mainly focuses on the short term excess returns and the long term weak performance of the new shares of the new shares, which means the first day of the initial price of the new shares is significantly higher than the issue price. Compared with the mature capital market, this phenomenon is compared to the mature capital market. It is particularly prominent in China. Scholars have studied the reasons for the first day excess earnings of IPO from the perspective of information asymmetry in the first level market, and put forward relevant theories. But the theoretical explanation of the first level market is based on the effectiveness of the two level market. Is the two level market effective? With the gradual development of behavioral finance, it is based on the two level market. The first day of IPO is divided into two aspects: the first level market Underpricing and the two level market premium. This paper analyzes the formation mechanism of the first day excess returns and the long-term weak performance of IPO from the perspective of investor sentiment. Whether there is an intentional underpricing in the new shares (507 samples) issued from 2006 to 2010, the data shows that the new shares do not have an intentional discount, and the pricing efficiency reaches 99.9%., thus it can indicate that the first day excess return is largely derived from the premium rate of the two level market. Secondly, this paper studies the IPO two from the perspective of investor sentiment. The empirical results show that the investor sentiment (the first day signing rate, the turnover rate and the earnings ratio of the first day of the market) is significantly related to the premium rate. On the contrary, the three major financial indicators (earnings per share, net income per share and asset liability ratio) and the premium rate are on the contrary. Therefore, it can prove that the initial investors are too optimistic about the new stock, blindly elevate the new share price and do not pay attention to the intrinsic value of the new shares. At the same time, this paper also studies the influence of the cold and hot market investor sentiment on the premium rate, and the research shows that the hot market can further raise the investor sentiment and lead to higher first day yield. Finally, this paper measures it. The results of long-term performance further test the first day excess returns. The results show that when investors are in high mood, their first day yield is higher and the holding excess returns within 1 years will be negative, while the investor sentiment is low, the return on new shares has been positive. The result can prove that investor sentiment does cause a certain price. As investors tend to be rational in their understanding, the price returns to their intrinsic price and return to normal. In addition, the long-term performance is not weak. In this paper, the relationship with the financial growth index (net asset yield growth rate and net profit growth rate) is significant, and the first day investment is made by the regression analysis. The relationship between the emotional variables and the long-term performance is weak. Therefore, through the above research, we can conclude that the first day of the new stock is mainly derived from irrational behavior, the market investor sentiment has a greater impact on it, and the price adjustment of the later market is 10 months. In addition, in the long run, investors tend to be more rational and pay more attention to the internal stock. This paper puts forward relevant countermeasures and suggestions, such as improving the system, improving the investment environment of the market and strengthening the education of investors.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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