投资者情绪对我国IPO短期超额收益的影响研究

发布时间：2018-04-27 19:15

本文选题：IPO + 短期超额收益　；参考：《哈尔滨工业大学》2017年硕士论文

【摘要】：2014年我国IPO市场重启,伴随着多项新股制度改革,其中包括对于上市首日交易机制的调整,对新股上市首日交易的有效报价进行限定,使得发行价的144%直接成为上市首日交易价格的上限。改革的初衷在于冷却投资者对于新股的过度乐观情绪,降低新股二级市场交易价格的非理性程度。但实际情况是,大多数新股价格在上市首日即涨到上限,而且其后数日连续出现一字涨停板,其累计总涨幅远远高于2014年之前我国IPO首日收益率。为具体研究以上IPO异常现象,本文细致地梳理、评述了国内外相关文献,对经典理论的发展脉络及应用特点进行总结,并认为投资者情绪理论对于解释我国新股上市连续涨停现象具有不可替代的优势。依照相关理论基础,本文将新股上市连续一字涨停板期间经市场调整后的累计收益率定义为IPO短期超额收益,并从投资者情绪理论视角出发研究其影响因素,重点验证投资者情绪对于IPO短期超额收益的助推作用,并提出投资者情绪影响IPO短期超额收益的理论框架与初步验证路径。本文选取2014年至2016年间发行的新股数据为研究样本,并对比2009年至2012年间发行的新股数据,观察发现新规制下投资者对于新股的乐观情绪不减反增,成为推高IPO短期超额收益的直接原因。另外,本文分别选取市场投资者情绪指标和个股相关投资者情绪指标,结合其他控制变量构建实证模型对理论分析进行验证,实证检验结果表明,投资者情绪对于IPO短期超额收益具有极为显著的影响。在对于全文研究结果深入分析的基础上,主要从投资者情绪视角出发,针对如何加快建设更加完善、高效的新股市场提出意见和建议,对于新股制度进一步改革具有一定程度的参考价值。
[Abstract]:In 2014, China's IPO market restarted, along with a number of new share system reforms, including the adjustment of the trading mechanism for the first day of the listing, the effective quoted price of the first day trading of new shares is limited. So that the offer price of 144% of the market directly as the first day of trading price ceiling. The original intention of the reform is to cool investors' excessive optimism about new shares and reduce the irrationality of the trading price of new shares in the secondary market. However, the actual situation is that most of the new stock prices rose to the upper limit on the first day of the market, and a word rose and stopped trading in the following days. The cumulative total increase was far higher than the first day yield of China's IPO before 2014. In order to study the above abnormal phenomena of IPO, this paper makes a detailed review of the relevant literature at home and abroad, and summarizes the development and application characteristics of classical theories. It is concluded that investor sentiment theory has irreplaceable advantages in explaining the phenomenon of continuous trading limit of new shares in China. On the basis of relevant theories, this paper defines the cumulative return rate after market adjustment during the period of continuous stock listing as the short-term excess return of IPO, and studies its influencing factors from the perspective of investor sentiment theory. The emphasis is on the impact of investor sentiment on the short-term excess returns of IPO, and the theoretical framework and preliminary verification path of the influence of investor sentiment on the short-term excess returns of IPO are put forward. This paper selects the new issue data from 2014 to 2016 as the research sample, and compares the new issue data from 2009 to 2012, and finds that investors' optimism about new shares increases instead of decreasing under the new regulation. As a direct reason for pushing up IPO short-term excess returns. In addition, this paper selects the market investor sentiment index and the individual stock related investor sentiment index separately, constructs the empirical model combining with other control variables to verify the theoretical analysis, the empirical test result shows that. Investor sentiment has a significant impact on IPO short-term excess returns. On the basis of in-depth analysis of the research results of the full text, this paper puts forward suggestions and suggestions on how to speed up the construction of a more perfect and efficient new stock market from the perspective of investor sentiment. For the new stock system further reform has a certain degree of reference value.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：B849;F832.51

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