投资者情绪对我国A股市场抑价影响的实证分析

发布时间：2018-03-07 12:18

本文选题：投资者情绪　切入点：IPO抑价　出处：《东北师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：IPO抑价是世界各国证券市场中长期并且普遍存在的一种现象，同时它也一直是金融学中的一个谜团，受到了国内外学者的广泛重视，提出了很多相关的理论来进行解释，如信息不对称理论，中国特殊安排假说等。随着行为金融学的不断成熟，越来越多的学者开始从行为金融的角度来解释IPO抑价现象，本文就从投资者情绪的角度来对IPO抑价现象进行研究。传统金融理论认为，新股发行制度的非市场化、政府干预过多，，信息的不对称是IPO抑价的主要原因。但是随着我国股票市场不断向市场化方向转变，股票市场在完成股权分置改革、实行询价制度之后，这些因素已经不再是IPO抑价的主要原因。本文的研究目的就是说明虽然我国的各种发行定价制度已经趋于合理，但是IPO抑价仍然居高不下，由此来证明投资者情绪的存在和研究投资者情绪对IPO抑价的影响程度。文章首先介绍了IPO抑价的相关理论，国内外的相关文献和研究进展，存在的问题等。之后对IPO抑价影响做相关的实证研究。本文选取了上市首日换手率、市值账面价值比、消费者预期指数作为衡量投资者情绪的指标；用公司年龄、发行股数、中签率来反应信息不对称的程度，搜集了2006-2012年所有在我国A股市场IPO的股票，并对其进行了没有投资者情绪指标和有投资者情绪指标参与的两次回归模型，并对回归结果进行分析。通过研究我们发现，相对于信息不对称理论和中国特殊制度安排假说，投资者情绪理论能够从投资者的心理及行为出发更好地解释我国的IPO抑价现象。最后，根据实证研究的结果，分别对证券监管机构、个人投资者、发行人等提出各项政策建议，旨在通过各方的努力，减小我国的IPO抑价水平，使其符合市场的基本规律，更好地发挥融资的功能。
[Abstract]:IPO underpricing is a long-term and widespread phenomenon in the world's securities markets. At the same time, it is also a mystery in finance, which has been widely paid attention to by domestic and foreign scholars, and put forward a lot of relevant theories to explain it. With the development of behavioral finance, more and more scholars begin to explain the phenomenon of IPO underpricing from the perspective of behavioral finance. This paper studies the phenomenon of IPO underpricing from the perspective of investor sentiment. The traditional financial theory holds that the non-marketization of the new issue system, excessive government intervention and asymmetric information are the main reasons for the underpricing of IPO. These factors are no longer the main reasons for the underpricing of IPO after the reform of split share structure and the implementation of inquiry system in the stock market. The purpose of this paper is to explain that although the various pricing systems of issuance in our country have tended to be reasonable, However, IPO underpricing is still high, which proves the existence of investor sentiment and the influence of investor sentiment on IPO underpricing. This paper first introduces the relevant theory of IPO underpricing, domestic and foreign relevant literature and research progress, existing problems, and so on. Then it makes a related empirical study on the influence of IPO underpricing. This paper selects the first day turnover rate, market value book value ratio, and so on. The consumer expectation index is used as an indicator of investor sentiment; the company age, the number of shares issued, and the success rate are used to reflect the degree of information asymmetry, and all IPO stocks in China's A-share market from 2006 to 2012 are collected. Two regression models with no or no investor emotion index are carried out, and the regression results are analyzed. We find that compared with the information asymmetry theory and the hypothesis of China's special institutional arrangement, we find out that the regression model is based on the theory of information asymmetry and the hypothesis of special institutional arrangement in China. The theory of investor sentiment can better explain the phenomenon of IPO underpricing in China from the perspective of investors' psychology and behavior. Finally, according to the results of empirical research, this paper puts forward various policy recommendations to securities regulatory agencies, individual investors, issuers and so on, in order to reduce the IPO underpricing level of our country through the efforts of all parties and make it conform to the basic laws of the market. Better play the function of financing.
【学位授予单位】：东北师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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