投资者情绪对A股IPO初始超额收益影响研究

发布时间：2018-01-15 19:40

本文关键词：投资者情绪对A股IPO初始超额收益影响研究　出处：《江西财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：对于我国A股市场,IPO初始超额收益率一直都是一个不可回避的问题。人们有很多疑问,IPO初始超额收益率为什么可以长期存在,为什么中国石油上市首日市盈率高达80多倍仍然有那么多投资者争先涌入?投资者的行为一直让人们难以理解,但又是股票市场上客观存在的事实,而传统金融学理论却无法解释这-我们称之为金融异象的现象。因此本文将在行为金融理论的基础上,研究投资者情绪对IPO初始超额收益影响的情况。与传统金融理论不同,行为金融理论是建立在投资者非理性和有限套利的假设之上,这颠覆了传统金融学理性人和完全套利的假设前提。行为金融学研究重点是投资者行为对其投资决策的影响,以及由此而产生对市场的反应。它致力于研究人们的认知、情感和态度等各种复杂的心理特征,并在此基础上建立行为金融模型来研究市场上的异象。本文引入行为金融学中的DHS、DSSW模型,用以刻画狂热投资者和正反馈投资者对IPO交易价格的影响机制。投资者情绪的衡量是本文实证研究需要面对的首要问题,正是因为投资者情绪是一个主观概念,所以无法直接衡量。鉴于此,本文另辟蹊径,选取能够间接表示投资者情绪的指标,称之为情绪代理变量。最终本文选取上市首日开盘价相对发行价的涨跌幅、中签率、市场换手率、发行当月A股平均市盈率、新增开户数、短期和中期好淡指数、消费者信心指数等8个情绪代理变量,分别代表狂热投资者情绪和正反馈交易者情绪。并且引入发行规模、行业特征等控制变量和年份虚拟变量,以剔除其他可能对IPO初始超额收益产生影响的因素。由于2006年是股权分置改革元年,也是新股发行制度改革较大的一年,因此本文选取2006年6月1日到2012年10月31日在我国沪深两市首次公开发行并上市的1134只A股为实证研究的样本。采用手工和数据库下载的方法搜集了数万条相关数据,然后利用R软件进行回归分析来研究投资者情绪对IPO初始超额收益的影响。并且对模型进行了稳健性检验,证实了模型的可靠性。实证研究结果表明,投资者情绪是引起A股IPO初始超额收益的主要因素,其中狂热投资者情绪是造成IPO初始超额收益率的主要原因,而正反馈交易者进一步提高了IPO初始超额收益率。同时笔者发现中小板和创业板的IPO初始超额收益率相比主板市场更高,说明投资者情绪对这两个市场的IPO初始收益影响更加严重。另外,虚拟变量的引入证实了制度改革能够降低IPO初始收益率。最后根据本文的研究结论,建议监管机构应继续大力完善IPO发行和交易制度,推行注册制、降低上市门槛、提高上市效率,走市场化的改革之路,这样才能从根本上逐渐降低狂热投资者对IPO的炒作热情。同时建议监管机构对市场参与者各方的行为进行规范和协调,加强教育引导,还要严格执法,对于欺诈造假、老鼠仓等违法事件从重处罚,这样才可以让市场各方参与者形成稳定预期,从而尽量减少投资者在决策过程中的狂热情绪。只有这样,才能使我国证券市场稳定、均衡和健康的发展,充分体现股票市场在资源配置、信号传递、价格发现上的各项功能。
[Abstract]:For our A stock market, IPO initial return rate has been an unavoidable problem. People have questions, IPO initial return rate why can exist for a long time, why Chinese petroleum listed on the first day of earnings up to 80 times there are still so many investors for the first influx of investors' behavior has let people? It is difficult to understand, but it is the objective existence of the stock market and the fact that the traditional finance theory cannot explain this - we call the financial anomalies phenomenon.
This paper will be based on behavioral finance theory, the research of the investor sentiment on IPO initial excess returns. Different from the traditional financial theory, behavioral finance theory is based on the non rational investors and limited arbitrage assumption, the subversion of the traditional financial theory of people and the complete arbitrage hypothesis of behavioral finance. The research focuses on the impact of the behavior of investors on their investment decisions, and the resulting reaction to the market. It is dedicated to the study of people's cognition, emotion and attitude and psychological characteristics of the complex, and on this basis to establish a model to study the behavior of financial market vision. This paper introduces behavioral Finance in DHS, DSSW model is used to characterize investor sentiment and positive feedback mechanism of the effect of investors on IPO price.
A measure of investor sentiment is the primary problem of empirical research in this paper need to face, it is because the investor sentiment is a subjective concept, it cannot be directly measured. In view of this, this thesis tries to select indirect investor sentiment index, called emotional agent variables. Finally this article selected listed on the first day opening price relative to the issue price of the the success rate of decline, the market turnover rate, the average price earnings ratio of A shares issued, the number of new accounts, short-term and medium-term Haodan index, consumer confidence index 8 mood proxy variables representing mania, investor sentiment and positive feedback traders emotions. And the introduction of the issue size, industry characteristics and other control variables and year dummy in order to eliminate other variable factors which may influence the IPO initial return.
Since 2006 is the first year of the reform of non tradable shares, the IPO reform is larger for a year, so this paper selects 1134 A shares from June 1, 2006 to October 31, 2012 in China's two stock markets IPO and listing as empirical research samples. By using the method of manual download and database is a collection of tens of thousands of relevant data, and then to study the influence of investor sentiment on IPO initial return by regression analysis using R software. And the model of the robustness tests confirmed the reliability of the model.
The empirical results show that investor sentiment is the main factor causing A shares of IPO initial return, which is mainly caused by the enthusiasm of investor sentiment IPO initial return rate, and positive feedback traders to further improve the IPO initial return rate. At the same time, the author found that the small board and gem IPO initial return rate compared to the main board market higher IPO initial return effect of the two market investor sentiment is more serious. In addition, the dummy variable is introduced that system reform can reduce the initial return rate of IPO.
Finally according to the conclusions of this study, suggest that the regulatory authorities should continue to vigorously improve the IPO issuance and trading system, the implementation of the registration system, to reduce the listing threshold, improve the efficiency of the listing, the market to go the road of reform, in order to fundamentally reduce the enthusiasm of investors IPO gradually speculation enthusiasm. At the same time suggest regulators for market participants all specification and coordination, strengthen education and guidance, but also strict law enforcement, for fraud, fraud, rat and other violations severely punished, so that it can make the market is expected to stabilize the formation of all participants, so as to reduce the investor enthusiasm in the decision-making process of emotions. Only in this way can we make our stock market stable, balanced development and healthy, fully reflect the stock market in the allocation of resources, signal transmission, the function of price discovery.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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