基于BAPM模型的IPO首日超额收益实证研究
发布时间：2018-12-10 19:29
【摘要】：作为传统金融理论的核心,资本资产定价模型(CAPM)的提出为资产定价研究提供了科学、严密的理论研究体系。它基于有效市场假说理论(EMH),认为非理性投资者并不会影响资产的市场价格。但是,随后各种金融异象的存在使得资本资产定价模型受到了越来越多的质疑。 为了更好的解释金融市场中的特殊现象,学者们尝试着从行为财务角度展开研究。行为资产定价模型(BAPM)是行为财务理论实证研究层面的代表,它不再将投资者假设为理性人,揭示了股票市场上投资者普遍存在认知风险的现实,使得BAPM模型中的行为β在解释股市异象上比CAPM模型中的传统β更加有效。 一直以来,IPO首日超额收益问题都是与传统的标准金融学相违背的“谜”。对此进行的早期研究是以市场有效为前提的,但是IPO首日异常回报率和长期弱势表现使得这种解释并不能很好地解决这一特殊现象。研究者们开始尝试从行为财务学的角度来解释投资者的行为,发现了投资者的非理性行为对股价有明显影响。在我国股票市场中,中小投资者所占比例较高,这使得中小投资者的认知偏差和非理性行为对股价的影响更加突出。 本文从行为财务的角度出发,将行为资产定价模型(BAPM)引入到中国的IPO市场,运用实证的方法对我国IPO首日超额收益问题作出解释。首先在理论方面介绍了IPO首日超额收益相关研究成果及行为财务理论,并对传统资本资产定价模型(CAPM)和行为资本资产定价模型(BAPM)进行了详细介绍。在实证方面,选取了2009年6月1日至2012年11月30日期间100家A股IPO企业作为样本,在构建动量指数(DVI)的基础上进行BAPM和CAPM中β值的比较和噪声交易者风险(NTR)的衡量。 通过相关分析检验,我国A股IPO市场普遍存在着“噪声”和噪声交易,在一定程度上影响了正常的收益率的获得,导致了IPO首日收益率虚高。通过比较,发现行为β在解释股票收益率时比传统β更加有效,这也就意味着,在我国IPO市场不断变动和完善的状况下,使用行为资本资产定价模型比传统资本资产定价模型更加适合和有效。
[Abstract]:As the core of traditional financial theory, capital asset pricing model (CAPM) provides a scientific and rigorous theoretical research system for asset pricing research. Based on the efficient Market hypothesis (EMH),) theory, it argues that irrational investors do not affect the market price of assets. However, the existence of various financial anomalies makes the capital asset pricing model more and more questionable. In order to better explain the special phenomenon in the financial market, scholars try to conduct the research from the perspective of behavioral finance. The behavioral asset pricing model (BAPM) is the representative of the empirical study of behavioral finance theory. It no longer assumes investors as rational people, which reveals the reality that investors generally have cognitive risks in the stock market. The behavior 尾 in the BAPM model is more effective than the traditional 尾 in the CAPM model in explaining the anomaly of the stock market. All along, the IPO's first day of excess return has been a mystery that runs counter to traditional standard finance. The early research on this is based on market efficiency, but the abnormal rate of return on the first day of IPO and long-term weak performance make this explanation not very good to solve this special phenomenon. Researchers began to try to explain the behavior of investors from the perspective of behavioral finance, and found that the irrational behavior of investors has a significant impact on stock prices. In China's stock market, the proportion of small and medium-sized investors is high, which makes the cognitive bias and irrational behavior of small and medium-sized investors more prominent. From the point of view of behavioral finance, this paper introduces the behavioral asset pricing model (BAPM) into the IPO market in China, and uses the empirical method to explain the problem of the first-day excess return of IPO in China. Firstly, the paper introduces the research results of IPO's first-day excess return and behavioral finance theory, and introduces the traditional capital asset pricing model (CAPM) and the behavioral capital asset pricing model (BAPM) in detail. From June 1, 2009 to November 30, 2012, 100 A-share IPO companies were selected as samples to compare the 尾 value between BAPM and CAPM and measure the risk of noise trader (NTR) on the basis of constructing momentum index (DVI). Through correlation analysis and test, there are "noise" and noise trading in China's A-share IPO market, which to some extent affects the normal rate of return and leads to the false high first day return rate of IPO. By comparison, it is found that behavior 尾 is more effective than traditional 尾 in explaining stock return, which means that under the condition of constant change and perfection of IPO market in our country, The behavioral capital asset pricing model is more suitable and effective than the traditional capital asset pricing model.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.42;F832.51
本文编号：2371083
[Abstract]:As the core of traditional financial theory, capital asset pricing model (CAPM) provides a scientific and rigorous theoretical research system for asset pricing research. Based on the efficient Market hypothesis (EMH),) theory, it argues that irrational investors do not affect the market price of assets. However, the existence of various financial anomalies makes the capital asset pricing model more and more questionable. In order to better explain the special phenomenon in the financial market, scholars try to conduct the research from the perspective of behavioral finance. The behavioral asset pricing model (BAPM) is the representative of the empirical study of behavioral finance theory. It no longer assumes investors as rational people, which reveals the reality that investors generally have cognitive risks in the stock market. The behavior 尾 in the BAPM model is more effective than the traditional 尾 in the CAPM model in explaining the anomaly of the stock market. All along, the IPO's first day of excess return has been a mystery that runs counter to traditional standard finance. The early research on this is based on market efficiency, but the abnormal rate of return on the first day of IPO and long-term weak performance make this explanation not very good to solve this special phenomenon. Researchers began to try to explain the behavior of investors from the perspective of behavioral finance, and found that the irrational behavior of investors has a significant impact on stock prices. In China's stock market, the proportion of small and medium-sized investors is high, which makes the cognitive bias and irrational behavior of small and medium-sized investors more prominent. From the point of view of behavioral finance, this paper introduces the behavioral asset pricing model (BAPM) into the IPO market in China, and uses the empirical method to explain the problem of the first-day excess return of IPO in China. Firstly, the paper introduces the research results of IPO's first-day excess return and behavioral finance theory, and introduces the traditional capital asset pricing model (CAPM) and the behavioral capital asset pricing model (BAPM) in detail. From June 1, 2009 to November 30, 2012, 100 A-share IPO companies were selected as samples to compare the 尾 value between BAPM and CAPM and measure the risk of noise trader (NTR) on the basis of constructing momentum index (DVI). Through correlation analysis and test, there are "noise" and noise trading in China's A-share IPO market, which to some extent affects the normal rate of return and leads to the false high first day return rate of IPO. By comparison, it is found that behavior 尾 is more effective than traditional 尾 in explaining stock return, which means that under the condition of constant change and perfection of IPO market in our country, The behavioral capital asset pricing model is more suitable and effective than the traditional capital asset pricing model.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.42;F832.51
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