中国股票市场下投资者情绪、分析师关注与IPO抑价问题的实证研究

发布时间：2018-07-31 18:37

【摘要】：IPO抑价是指新股股票上市首日的收盘价明显高于发行价,从而导致上市首日股票收益率显著地高于市场平均收益率的现象,中国证券市场自从建立之初,就一直饱受IPO抑价问题的困扰,政府监管部门针对IPO过程中的高抑价现象出台了一系列新股发行价格改革,从审核制到市场询价制,中国IPO高抑价现象依旧非常突出。一方面,作为新兴资本市场,中国股票市场个体投资者占有主要地位,其行为的非理性特征十分突出。同时,在2010年前,中国股票市场缺乏做空机制,即使机构投资者看到IPO首日价格偏离现象,也无法通过套利交易来消除价格偏差,所以非理性投资者行为对IPO定价具有决定性影响。另一方面,证券分析师经过专业的金融、财务、行业知识培训,以及掌握优势的信息渠道,有助于降低企业信息不对称,从而降低权益资本成本,促进资本市场合理配置资源。本文基于行为金融理论结合分析师的信息供给和制度变迁等因素考察了中国IPO抑价之谜。本文使用2006年到2015年所有在中国上海、深圳证券交易所上市的IPO公司为研究样本,采用因子分析法、相关性分析、多元回归等方法研究了投资者情绪、分析师跟进以及分析师预测价的分歧度和准确性对中国IPO抑价率的影响,进一步地,本文观察了2009年和2014年中国IPO监管制度的变更对IPO抑价的影响。本文研究发现投资者情绪与IPO抑价率显著正相关,随着分析师跟进数量的提高,投资者情绪与IPO抑价率正向关系进一步加大。而分析师预测价的准确性越低、分歧度越高,IPO抑价率越高,表明中国IPO市场也存在“赢者诅咒”现象;同时分析师预测价的分歧度越低,信息不对称程度降低,投资者情绪与公司IPO抑价间的正向关系更强。在中国实行市场化询价制度后,IPO抑价率显著降低,也降低了投资者情绪与IPO间的正向关系。本文研究的政策启示在于加强投资者理性投资教育、引进市场化询价以及减少信息不对称能提高IPO定价效率,优化资源配置效率。分析师作为资本市场信息传递的桥梁,其预测价的准确性越高、意见分歧度越低,IPO抑价越低的结论表明加强信息披露,减少信息不对称将有利于投资者更理性投资,减少IPO抑价率。
[Abstract]:IPO underpricing refers to the phenomenon that the closing price of new shares on the first day of listing is obviously higher than the issue price, which results in the return of stocks on the first day of listing being significantly higher than the average market return. It has been plagued by the problem of IPO underpricing. The government regulatory department has introduced a series of new issue price reform in the process of IPO. From the audit system to the market inquiry system, the high underpricing phenomenon of IPO in China is still very prominent. On the one hand, as a new capital market, individual investors in Chinese stock market play a dominant role, and the irrational characteristics of their behavior are very prominent. At the same time, before 2010, China's stock market lacked a short-selling mechanism, and even if institutional investors saw the IPO's first-day price deviation, they would not be able to eliminate it through arbitrage. So irrational investor behavior has decisive influence on IPO pricing. On the other hand, through professional training in finance, industry knowledge and information channels, securities analysts can help to reduce the information asymmetry of enterprises, thus reduce the cost of equity capital and promote the rational allocation of resources in the capital market. This paper examines the mystery of IPO underpricing in China based on behavioral finance theory, information supply and institutional changes. This paper uses all IPO companies listed on Shanghai and Shenzhen stock exchanges in China from 2006 to 2015 to study investor sentiment by factor analysis, correlation analysis and multiple regression analysis. Further, this paper examines the impact of changes in China's IPO regulatory regime on IPO underpricing in 2009 and 2014. This paper finds that investor sentiment is positively correlated with IPO underpricing rate, and the positive relationship between investor sentiment and IPO underpricing rate further increases with the increase of the number of analysts. The lower the accuracy of the analyst's forecast price, the higher the degree of divergence and the higher the underpricing rate, which indicates that there is also a winner-curse phenomenon in China's IPO market, and the lower the divergence of the predicted price, the lower the degree of information asymmetry. The positive relationship between investor sentiment and IPO underpricing is stronger. The IPO underpricing rate has been significantly reduced after the implementation of the market inquiry system in China, and the positive relationship between investor sentiment and IPO has also been reduced. The policy enlightenment studied in this paper lies in strengthening investor rational investment education, introducing market-oriented inquiry and reducing information asymmetry, which can improve the efficiency of IPO pricing and optimize the efficiency of resource allocation. As a bridge of information transmission in the capital market, the higher the accuracy of the forecast price, the lower the difference of opinion and the lower the IPO underpricing. The conclusion is that strengthening information disclosure and reducing information asymmetry will help investors to invest more rationally. Reduce IPO underpricing rate.
【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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