投资者情绪与我国创业板IPO首日收益率研究

发布时间：2018-01-17 20:12

本文关键词：投资者情绪与我国创业板IPO首日收益率研究　出处：《华侨大学》2013年硕士论文　论文类型：学位论文

【摘要】：IPO首日超额收益，也称IPO抑价，是指首次公开发行的股票上市后首日市场交易价格高于发行价格，发行市场与交易市场出现了较大价差，导致首次公开发行存在较高的超额收益率。IPO首日超额收益现象是全球金融市场普遍存在的一种金融异象。我国创业板市场也存在明显的IPO首日超额收益现象，截至2012年9月30日，在我国深圳股票交易所创业板上市的355只股票中，除去退市的6只股票，共300只股票存在IPO抑价现象。首批上市的28只股票全部为抑价发行，IPO抑价率均值高达106.18％；后续上市并保留下来的321只股票中，有272只股票存在IPO抑价现象，IPO抑价率均值为41.58%。针对IPO抑价现象，前人的研究中提出了许多种假说进行分析研究。但是从国内外的研究来看，传统金融理论并不能有效地解释IPO首日超额收益现象。本文在回顾前人研究和综述已有文献的基础上，从行为金融学的投资者情绪理论出发，对我国创业板IPO首日超额收益现象进行理论分析，并通过利用2009年10月30日至2012年9月30日期间在我国深圳证券交易所创业板公开发行并上市的所有股票进行实证分析。本文得出以下结论：首先，我国创业板一级市场上存在较为狂热的投资者情绪，，信息不对称理论以及过度自信心理等投资者情绪对创业板IPO首日超额收益现象具有一定解释作用；其次，创业板二级市场也存在狂热的投资者情绪，羊群行为对创业板IPO首日超额收益现象具有较好的解释力；最后，反映二级市场投资者情绪的上市首日换手率对创业板IPO首日超额收益率的解释能力要比反映一级市场投资者情绪的网上申购中签率来的强，因此相对于一级市场，来自二级市场上的非理性的投资者情绪更有可能是造成创业板IPO首日超额收益现象的主要因素。
[Abstract]:The first day of IPO excess return, also known as IPO underpricing, refers to the first day after the initial public offering of shares trading price is higher than the issue price, the issue market and the trading market has a large price difference. The phenomenon of excess return on the first day of IPO is a common financial anomaly in the global financial market. There is also an obvious overcharge of IPO in China's gem market. Beneficial phenomenon. As of September 30th 2012, out of the 355 stocks listed on the gem of Shenzhen Stock Exchange, 6 stocks have been delisted. There is a phenomenon of IPO underpricing in 300 stocks. The average underpricing rate of 28 stocks listed in the first batch is as high as 106.18; Of the 321 stocks listed and retained, 272 stocks have IPO underpricing phenomenon. The average price underpricing rate is 41.58. aiming at the IPO underpricing phenomenon. Many hypotheses have been put forward in previous studies, but from the domestic and foreign studies, the traditional financial theory can not effectively explain the phenomenon of IPO first-day excess return. On the basis of reviewing the previous studies and summarizing the existing literatures, this paper makes a theoretical analysis of the phenomenon of IPO's first-day excess return in China's gem based on the investor sentiment theory of behavioral finance. Through the empirical analysis of all the stocks listed on the gem of Shenzhen Stock Exchange from October 30th 2009 to September 30th 2012, this paper draws the following conclusions:. First. There are more fanatical investor emotions in the first level market of gem in our country. The information asymmetry theory and overconfidence psychology can explain the phenomenon of excess return on the first day of gem. Secondly, there is fanatical investor sentiment in the secondary market of gem, and herding behavior has a better explanation for the phenomenon of excess return on the first day of gem IPO. Finally, the rate of turnover on the first day of listing reflects the sentiment of investors in the secondary market. The ability of explaining the excess yield of IPO on the first day of gem is stronger than the rate of successful purchase on the net which reflects the sentiment of investors in the primary market. Compared with the primary market, the irrational investor sentiment from the secondary market is more likely to be the main factor that causes the excess return on the first day of IPO in gem.
【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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