投资者情绪与IPO首日超额收益相关性实证研究

发布时间：2018-07-09 09:43

本文选题：IPO首日超额收益 + 投资者情绪　；参考：《湖南大学》2013年硕士论文

【摘要】：IPO具有较高的首日超额收益是一个在全球市场普遍存在的现象，历来都有不少的国内外学者对其进行研究，并且提出了很多理论和模型但是在中国这个新兴市场中出现的极高的IPO首日超额收益现象吸引了许多国内外学者对其进行研究对IPO首日超额收益的研究具有非常现实意义，验证影响其的因素有助于规范我国的新股发行市场以及保护中小投资者的利益在过去的研究中，学术界主要有两种理论对IPO首日高收益给予解释：即一级市场的抑价理论和二级市场的溢价理论而我国由于已经在2005年对新股发行采用全面市场化的机制，这种机制在理论上是可以降低IPO的高折价率，但是中国的新股发行市场在经历改革之后依然有着很高的折价水平所以本文试着从二级市场的角度来解释中国出现的IPO首日超额收益过高的现象本文共分为五个部分，第一章主要阐述了论文的研究背景，研究内容和文献综述，提出了研究思路和技术路线，并且提出了文章的创新点第二章首先介绍了一些行为金融理论中关于投资者情绪的研究主题，然后利用国外理论模型解释了投资者情绪影响是如何影响资产价格第三章首先介绍了我国投资者主要的情绪表现，并综合我国实际对IPO如此高的超额收益现象进行分析，提出二级市场可能是造成如此现状的原因，，接着提出研究假设第四章为实证研究，利用多变量线性回归的方法检验了投资者情绪和IPO折价之间的相关关系，研究各个因素和IPO折价之间的关系和影响方向，对假设结果给出合理解释第五章得出结论和观点，提出一些具体的政策性意见，并且提出了研究的不足
[Abstract]:IPO has a high first day excess return is a common phenomenon in the global market. There have always been a lot of scholars at home and abroad, and many theories and models have been put forward, but the high IPO first day excess returns in the emerging market in China have attracted many domestic and foreign scholars to study it. The study of IPO's first day excess returns is of great practical significance. It is helpful to verify the factors that affect the new issue market in China and to protect the interests of small and medium investors in the past. There are two main theories in the academic circle to explain the high returns of the first day of IPO: the theory of underpricing in the first level market and the two level market. Premium theory
But China has adopted a comprehensive market mechanism in 2005, which can reduce the high discount rate of IPO in theory, but China's new issue market still has a high discount level after the reform. So this paper tries to explain the first day of China's IPO from the angle of the two level market. Excessive excess returns
This article is divided into five parts. The first chapter mainly expounds the research background, the research content and the literature review, puts forward the research ideas and technical route, and puts forward the second chapters of the article, which first introduces some research topics about the investor sentiment in the behavioral finance theory, and then uses the foreign theoretical model to explain it. The third chapter introduces the main emotional performance of the investor in the third chapter of the investor's emotional impact, and analyzes the phenomenon of such high excess returns in China, and puts forward that the two level market may be the cause of this situation. Then the author puts forward the research hypothesis in fourth chapters as an empirical study and uses the multivariable. The method of linear regression tests the relationship between investor sentiment and IPO discount, studies the relationship and direction between various factors and IPO discount, and gives a reasonable explanation of the hypothesis results in fifth chapters and draws conclusions and views, and puts forward some specific policy opinions, and puts forward the lack of research.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】