信息不确定性、投资者情绪对IPO回报的影响研究

发布时间：2018-05-02 06:28

本文选题：信息不确定性 + 投资者情绪　；参考：《武汉大学》2017年硕士论文

【摘要】：2017年中央经济工作会议和政府工作报告,均强调坚持创新驱动战略以振兴实体经济。实体经济的发展与金融市场息息相关,两者相互依存,通过金融市场展开融资活动能够为实体经济提供发展所需资金,因此实体经济失去金融市场的支撑将难以为继,而金融市场必须服务于实体经济的发展才能更加繁荣。股票市场是金融市场中影响最广泛的一环,而IPO作为股票市场中最引人瞩目的部分,能帮助实体经济解决融资问题。但是,IPO首日高回报和长期低迷的异象长期存在,引发了市场波动,对金融市场和实体经济均带来了负面影响。因此,研究IPO回报对于实体经济的发展具有重要的参考价值,有助于促进我国经济社会健康平稳运行。本文回顾了 IPO回报的国内外文献、梳理相关理论研究,将研究重点集中在IPO首日回报和长期回报两方面,分析一级市场上市公司信息不确定性与二级市场投资者情绪如何影响IPO首日回报和长期收益,在研究我国IPO市场现状的基础上,提出文章的研究假设。本文选取IPO首日超额回报研究首日回报,用超额累积收益衡量IPO长期回报;选取会计信息质量作为信息不确定性的代理变量,衡量一级市场发行方对新股首发回报和长期绩效的影响;选取反映市场情绪的五个代表性变量生成投资者情绪的代理指标,衡量二级市场投资者对新股首发回报和长期绩效的影响。本文以2009-2015年间在A股发行上市的996家公司的数据为样本展开IPO首日回报的实证研究,分别研究信息不确定性、投资者情绪对IPO首日回报的影响,根据投资者情绪的中位数划分情绪乐观组和情绪悲观组,并生成信息不确定性与投资者情绪的交互项,研究不同投资者情绪下,信息不确定性对新股首发回报影响的变化;以2009-2012年中国A股市场684家IPO数据为样本研究IPO长期回报,除考察信息不确定性、投资者情绪的影响之外,将新股首日超额回报加入到长期模型中,探究影响IPO长期回报的因素。研究结果显示:其一,上市公司信息不确定性和投资者情绪,将引发更高的首发超额回报;其二,随着投资者情绪趋于乐观,首日超额回报受信息不确定性的影响减弱,甚至不再显著,过热的投资交易需求是导致新股超额回报的主要原因;当投资者情绪悲观时,信息不确定对于新股超额回报显著正相关,推动首日高回报产生的是上市公司的信息不确定性;其三,上市首日超额回报、投资者情绪与IPO长期回报均显著负相关,但上市公司信息不确定性对长期绩效的影响则相关性较低。
[Abstract]:Both the 2017 Central Economic work Conference and the report on the work of the government stressed the importance of innovation-driven strategies to revitalize the real economy. The development of the real economy is closely related to the financial market, and the two are interdependent. Financing activities through the financial market can provide the necessary funds for the development of the real economy, so it will be difficult for the real economy to lose the support of the financial market. And the financial market must serve the development of the real economy in order to be more prosperous. The stock market is the most influential part of the financial market, and IPO, as the most attractive part of the stock market, can help the real economy solve the financing problem. However, the phenomenon of high return and long-term depression on the first day of IPO has long existed, which has caused market volatility and brought negative impact on financial markets and the real economy. Therefore, the study of IPO returns has important reference value for the development of real economy, and is helpful to promote the healthy and stable operation of our country's economy and society. This paper reviews the domestic and foreign literature on IPO returns, combs the relevant theoretical studies, and focuses on the first day return and long-term return of IPO. This paper analyzes how the information uncertainty of the listed companies in the primary market and investor sentiment in the secondary market affect the first-day returns and long-term returns of IPO, and puts forward the research hypotheses on the basis of studying the current situation of the IPO market in China. This paper selects the IPO first day excess return to study the first day return, measures the IPO long-term return by the excess accumulated income, selects the accounting information quality as the agent variable of information uncertainty, To measure the impact of issuers on IPO returns and long-term performance, and select five representative variables reflecting market sentiment to generate proxy indicators of investor sentiment. Measure the impact of secondary market investors on IPO returns and long-term performance. Based on the data of 996 companies listed in A shares from 2009-2015, this paper conducts an empirical study on the first-day return of IPO, and studies the influence of information uncertainty and investor sentiment on the first-day return of IPO. According to the median of investor emotion, the paper divides the optimistic group and the pessimistic group, and generates the interactive terms between information uncertainty and investor emotion, and studies the effect of information uncertainty on IPO return under different investor emotions. Based on the data of 684 IPO in China's A-share market in 2009-2012, the long-term returns of IPO are studied. Besides the influence of information uncertainty and investor sentiment, the first-day excess returns of new shares are added to the long-term model to explore the factors that affect the long-term returns of IPO. The results show that: first, information uncertainty and investor sentiment of listed companies will lead to higher initial excess returns; second, as investor sentiment tends to be optimistic, the first day excess returns will be weakened by information uncertainty. Even less significant, the overheated demand for investment transactions is the main cause of the excess return of new shares; when investors are pessimistic, information uncertainty is significantly positively related to the over-return of new shares. What drives the high return on the first day is the information uncertainty of the listed company. Thirdly, the abnormal return on the first day of listing, investor sentiment and the long-term return of IPO are significantly negative correlation. However, the impact of information uncertainty on long-term performance of listed companies is low.
【学位授予单位】：武汉大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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