投资者有限关注行为与我国创业板IPO超额收益的研究

发布时间：2018-07-04 08:43

本文选题：投资者有限关注 + IPO超额收益　；参考：《首都经济贸易大学》2017年硕士论文

【摘要】：早期学者们对IPO超额收益现象的研究主要从一级市场抑价发行的角度出发,基于信息不对称、信息对称以及证券的发行与定价机制进行研究,后来随着行为金融学的发展,国内外学者逐渐意识到投资者行为对股票价格的重要作用,后续的研究则主要从股票二级市场的溢价角度出发,针对投资者的心理、情绪以及关注进行研究,这也是目前学术界针对IPO超额收益的主流研究方向。因此,本文以投资者有限关注行为为切入点,借助互联网大数据平台,选择百度搜索指数(BSVI,Baidu Search Volume Index)来量化投资者的有限关注行为;并且考虑到2014年6月深交所对IPO首日的涨幅做出了44%的限制,认为IPO上市后首日的收益率不能完全代表投资者对其股价的预期,故创新性地采用了股票上市后首次打开涨停板当天的收盘价来体现投资者的价格预期,用其计算的收益率反映IPO的超额收益水平,并详细描绘了这两个指标近年来的变化情况。同时为了更进一步的展示投资者的关注与IPO的超额收益情况是否具有地区差异,本文依据IPO所属公司注册地的经济发展水平不同将其分为发达与欠发达两组,分别描绘了BSVI与IPO超额收益的变化情况。在理论分析阶段,本文结合了心理学的有限注意力理论,为投资者的有限关注对IPO超额收益的影响提供了内在机理分析。在实证部分,本文选取了2014年6月至2016年12月在创业板进行IPO的股票为研究样本,对BSVI与IPO超额收益率的关系进行了回归分析,除了以全样本进行研究外,本文还对发达与欠发达两组样本分别回归,结果显示投资者的有限关注能够较好的预测创业板IPO的超额收益情况,且不具备地区差异。本文在最后根据实证结果分别对投资者、证券中介机构与上市公司以及政府监管部门提出了相应的建议,旨在缓解创业板IPO市场中的严重投机现象,提高市场稳定性。
[Abstract]:The early scholars' research on the phenomenon of IPO excess return mainly starts from the perspective of underpricing issue in the primary market, based on information asymmetry, information symmetry and the issuance and pricing mechanism of securities. Later, with the development of behavioral finance, Scholars at home and abroad have gradually realized that investor behavior plays an important role in stock prices. The follow-up studies focus on investors' psychology, emotion and concern from the perspective of premium in the secondary stock market. This is also the main research direction of the current academic circles in view of IPO excess returns. Therefore, based on the limited attention behavior of investors, this paper chooses BSVI Baidu search Volume Index to quantify the limited attention behavior of investors with the help of the Internet big data platform. And considering the 44% limit imposed by the Shenzhen Stock Exchange on the first day of the IPO in June 2014, it is believed that the yield on the first day of the IPO does not fully represent investors' expectations of its share price. Therefore, the paper innovatively adopts the closing price on the first day after the stock listing to reflect the investor's price expectation, and uses the calculated yield to reflect the IPO excess return level, and describes in detail the changes of these two indexes in recent years. At the same time, in order to further show whether there are regional differences between investors' concern and IPO excess returns, this paper divides the IPO companies into two groups, developed and underdeveloped, according to the different economic development level of the place where the IPO company is registered. The changes of BSVI and IPO excess returns are described respectively. In the stage of theoretical analysis, this paper combines the limited attention theory of psychology, which provides an internal mechanism analysis for the investors' limited attention to the impact of IPO excess returns. In the empirical part, this paper selects the IPO stocks in the gem from June 2014 to December 2016 as the research sample, carries on the regression analysis to the relationship between the BSVI and the IPO excess return, besides carries on the research with the whole sample. The results show that the limited attention of investors can better predict the excess return of gem IPO, and there is no regional difference. Finally, according to the empirical results, this paper puts forward corresponding suggestions to investors, securities intermediaries and listed companies, as well as government regulatory authorities, in order to alleviate the serious speculation in the IPO market of gem and improve the stability of the market.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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