本文關(guān)鍵詞：基于行為金融學(xué)投資者非理性行為對(duì)創(chuàng)業(yè)板IPO抑價(jià)的影響研究　出處：《東北財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

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【摘要】：新股首次公開(kāi)發(fā)行問(wèn)題一直備受學(xué)術(shù)界的關(guān)注,IPO抑價(jià)之謎更是金融界經(jīng)久不衰的熱點(diǎn)話題。所謂IPO抑價(jià)是指新股發(fā)行價(jià)低于上市后首日交易的收盤(pán)價(jià),投資者認(rèn)購(gòu)新股能夠獲得超額報(bào)酬的一種股票市場(chǎng)運(yùn)行狀況。同發(fā)達(dá)國(guó)家證券市場(chǎng)相比,我國(guó)IPO抑價(jià)程度更高,尤其是我國(guó)啟動(dòng)不久的創(chuàng)業(yè)板與我國(guó)主板、中小板相比IPO抑價(jià)現(xiàn)象更為嚴(yán)重,一方面,這勢(shì)必使資源配置不合理,大量的資金被滯留囤積在一級(jí)市場(chǎng),追逐無(wú)風(fēng)險(xiǎn)的收益；另一方面,較高的二級(jí)市場(chǎng)交易價(jià)格增加了股市高開(kāi)低走的風(fēng)險(xiǎn),阻礙股市的穩(wěn)定性,不利于我國(guó)創(chuàng)業(yè)板的健康發(fā)展。 對(duì)IPO抑價(jià)現(xiàn)象的理論研究,國(guó)內(nèi)外學(xué)者主要從兩個(gè)角度解釋導(dǎo)致IPO抑價(jià)的原因,一是一級(jí)市場(chǎng)新股發(fā)行定價(jià)過(guò)低,二是二級(jí)市場(chǎng)新股上市首日收盤(pán)價(jià)過(guò)高。IPO抑價(jià)的經(jīng)典研究理論與方法,是在傳統(tǒng)金融學(xué)的理論框架下展開(kāi)的,以“理性人假設(shè)”為其前提條件,目前已形成了較為成熟、完整的理論體系。20世紀(jì)80年代開(kāi)始,行為金融學(xué)的興起,無(wú)論從理論還是實(shí)證方面都為IPO抑價(jià)現(xiàn)象提供了一個(gè)新的研究視角與平臺(tái)。行為金融學(xué)對(duì)傳統(tǒng)金融理論的“理性人假說(shuō)”、“有效市場(chǎng)假說(shuō)”提出了挑戰(zhàn),該理論認(rèn)為首日抑價(jià)的市場(chǎng)并非強(qiáng)勢(shì)有效的,而是半強(qiáng)式甚至是無(wú)效的,市場(chǎng)中也存在者大量的非理性投資者,在各種情緒和認(rèn)知偏差的影響下,這些非理性投資者會(huì)產(chǎn)生非理性行為,對(duì)新股上市首日交易價(jià)格產(chǎn)生重大影響,使首日收盤(pán)價(jià)遠(yuǎn)高于發(fā)行價(jià),從而產(chǎn)生IPO抑價(jià)。對(duì)于研究我國(guó)IPO抑價(jià)問(wèn)題的學(xué)者,起初大多學(xué)者只是檢驗(yàn)國(guó)外IPO抑價(jià)理論在我國(guó)資本市場(chǎng)的適用性,研究表明并不能完全解釋我國(guó)的IPO抑價(jià)現(xiàn)象,后來(lái)有學(xué)者試圖結(jié)合我國(guó)實(shí)際情況嘗試性地提出：嚴(yán)格的發(fā)行管制、非市場(chǎng)化的新股發(fā)行制度使得IPO在發(fā)行時(shí)定價(jià)過(guò)低,造成了我國(guó)IPO高抑價(jià)現(xiàn)象。但是,隨著新股發(fā)行的監(jiān)管方式和定價(jià)方式多次改革的深入,新股發(fā)行逐漸放開(kāi)市場(chǎng)化后,我國(guó)IPO高抑價(jià)現(xiàn)象并未有效得到減輕,仍然一如既往的存在。目前我國(guó)股票發(fā)行的IPO詢價(jià)制度,雖然在一定程度上改善了IPO高抑價(jià)現(xiàn)象,IPO抑價(jià)現(xiàn)象依然存在,困擾著資本市場(chǎng)的各利益相關(guān)者,這表明在以往對(duì)我國(guó)IPO抑價(jià)問(wèn)題的研究還不夠全面,還存在不少的缺陷,新股發(fā)行定價(jià)過(guò)低并非是影響IPO抑價(jià)的主要因素,還有其他因素對(duì)我國(guó)的IPO抑價(jià)現(xiàn)象起著重要的影響作用。隨后,國(guó)內(nèi)一些學(xué)者將IPO抑價(jià)的研究不斷深入化,借鑒行為金融學(xué)理論,通過(guò)不同的方式驗(yàn)證了我國(guó)證券市場(chǎng)新股定價(jià)已具有合理性,一級(jí)市場(chǎng)新股定價(jià)過(guò)低并不是創(chuàng)業(yè)板IPO高抑價(jià)的真正來(lái)源。因此,本文突破了傳統(tǒng)金融理論的研究框架,從行為金融理學(xué)的視角來(lái)研究投資者非理性行為對(duì)創(chuàng)業(yè)板IPO抑價(jià)的影響。 本文遵循“文獻(xiàn)綜述——理論分析——模型構(gòu)建——實(shí)證檢驗(yàn)——政策建議”的技術(shù)路線。首先運(yùn)用文獻(xiàn)分析法探討國(guó)外學(xué)者對(duì)IPO抑價(jià)現(xiàn)象的解釋,梳理歸納西方IPO抑價(jià)理論對(duì)我國(guó)市場(chǎng)的適用性以及國(guó)內(nèi)IPO抑價(jià)的相關(guān)理論。其次,運(yùn)用理論演繹的方法,從行為金融學(xué)的視角,理論分析投資者非理性行為對(duì)創(chuàng)業(yè)板IPO抑價(jià)的影響,并依據(jù)理論分析引入投資者非理性行為的四個(gè)衡量指標(biāo),提出本文研究假設(shè)。再次,以2009年10月30日創(chuàng)業(yè)板開(kāi)設(shè)以來(lái)至2012年12月31日在我國(guó)創(chuàng)業(yè)板上市的公司為研究樣本,建立線性回歸模型,檢驗(yàn)投資者非理性行為的衡量指標(biāo)與IPO抑價(jià)率之間的關(guān)系。最后,在檢驗(yàn)結(jié)果的基礎(chǔ)上歸納結(jié)論,并提出相應(yīng)的政策建議。 本文研究表明,我國(guó)創(chuàng)業(yè)板IPO抑價(jià)率較高,投資者非理性行為對(duì)創(chuàng)業(yè)板IPO抑價(jià)有顯著影響。投資者非理性行為對(duì)創(chuàng)業(yè)板IPO抑價(jià)的表現(xiàn)主要有投機(jī)性與過(guò)度交易、過(guò)度反應(yīng)與反應(yīng)不足、羊群行為。本文分別用賬面市值比、上市首日換手率、發(fā)行至上市時(shí)間間隔、中簽率這四個(gè)指標(biāo)來(lái)衡量創(chuàng)業(yè)板市場(chǎng)投資者的投機(jī)行為、過(guò)度交易、過(guò)度反應(yīng)與反應(yīng)不足、羊群行為,并研究投資者非理性行為的四個(gè)衡量指標(biāo)對(duì)創(chuàng)業(yè)板IPO抑價(jià)的影響。 因此,根據(jù)理論與實(shí)證研究分析,本文認(rèn)為,為了降低我國(guó)創(chuàng)業(yè)板IPO抑價(jià)程度,必須推進(jìn)創(chuàng)業(yè)板市場(chǎng)的規(guī)范和成熟,建造一個(gè)適合投資的氛圍；進(jìn)一步完善詢價(jià)機(jī)制,擴(kuò)大創(chuàng)業(yè)板規(guī)模,縮小創(chuàng)業(yè)板市場(chǎng)上的供需矛盾；監(jiān)管部門(mén)加強(qiáng)監(jiān)管,規(guī)范創(chuàng)業(yè)板的運(yùn)作；更為重要的是投資者要注重自我教育,自身素質(zhì)的提高,形成價(jià)值投資的理念,更加理性地投資。
[Abstract]:IPO has been paid attention to by academic circles. The mystery of IPO underpricing is a hot topic of the financial world of enduring. The so-called IPO underpricing refers to the issuance of new shares listed on the first day of trading after the price is lower than the closing price of a stock market operation status of investors can obtain excess returns of the IPO compared with the securities. The market of developed countries, China's IPO underpricing degree is higher, especially in our country started near the gem and China's SME board motherboard, compared to the IPO underpricing phenomenon is more serious, on the one hand, this will certainly lead to unreasonable allocation of resources, a lot of money stranded hoarding in the primary market, chase no risk the income; on the other hand, two secondary market trading higher prices increases the risk of stock market highs, hinder the stock market's stability, is not conducive to the healthy development of China's gem.
Theoretical study on the IPO underpricing phenomenon, scholars mainly from two perspectives explain the causes of IPO underpricing, one is the primary market IPO pricing is too low, two two market shares listed on the first day closing price of the high.IPO underpricing of the classical theory and method research, is carried out in the framework of traditional finance learn the "rational man hypothesis is the premise, has formed a mature and complete.20 century theoretical system began in 80s, the rise of behavior finance, both from the theoretical and empirical aspects have IPO underpricing phenomenon provides a new research perspective and behavioral finance platform. The traditional financial theory of" rational man hypothesis "," challenge the efficient market hypothesis ", the theory that the underpricing of the market is not strong and effective, but the semi strong or even invalid, there are a lot of market Non rational investors, in effect a variety of emotional and cognitive bias, these non rational investors will lead to irrational behavior, have a significant impact on the trading price of shares listed on the first day, the first day closing price is much higher than the issue price, resulting in IPO underpricing. The study of China's IPO underpricing of scholars, most scholars just at the beginning test of IPO underpricing in China's capital market, research shows that does not fully explain China's IPO underpricing phenomenon, later scholars have tried to try to put forward according to the actual situation in China: strict control issue, non market IPO system makes IPO on the issue of pricing is too low, the cause of high IPO underpricing. However, with the IPO regulatory and pricing mode repeatedly reform, IPO has gradually liberalized market, IPO underpricing phenomenon has not been effective Reduced, still as in the past there. At present our country stock issuance IPO inquiry system, although to a certain extent, improve the high IPO underpricing phenomenon, IPO underpricing phenomenon still exists, the stakeholders plagued the capital market, which indicates that the study on China's IPO underpricing in the past is not comprehensive also, there are many defects, the IPO price is too low is not the main influencing factors of IPO underpricing, and other factors on China's IPO underpricing phenomenon plays an important role. Then, some domestic scholars to study the underpricing of IPO deeply, from the behavior finance theory, through different ways verify the IPO pricing of China's securities market has the rationality, the level of market pricing is too low and the real source is not the gem IPO underpricing. Therefore, this study breaks through the traditional financial theory frame, from the behavior of gold The impact of investor irrational behavior on the IPO underpricing of the gem is studied in the perspective of the thawing theory.
This paper follows the "literature review - model construction technology -- Empirical Analysis -- policy suggestion" analysis theory. First use of underpricing of foreign scholars on the interpretation of IPO method of literature analysis, summarizing the western theory of IPO underpricing in China's domestic market applicability and IPO underpricing theory. Secondly, the use of the method of theoretical interpretation from the perspective of behavioral finance theory, analysis of the influence of the non rational behavior of investors of the gem IPO underpricing, and on the basis of the four indicators are introduced into the non rational behavior of investors in theory, put forward the research hypothesis. Again, since October 30, 2009 to December 31, 2012 in the GEM listed on gem the company for the study sample, a linear regression model to test the non rational behavior of investors measure and IPO under pricing rate relationship between. Finally, in the examination On the basis of the results, the conclusions are summarized and the corresponding policy suggestions are put forward.
This study shows that China's gem IPO underpricing rate is higher, the non rational behavior of investors of the gem IPO underpricing has significant effect. The non rational behavior of investors of the gem IPO underpricing is mainly speculative and excessive trading, overreaction and underreaction, herd behavior. This paper used the book market ratio, listed on the first day turnover rate, issued to the listed time interval, the success rate of the four indicators to measure the GEM market investors speculation, excessive trading, overreaction and underreaction, herd behavior, underpricing. Four indexes to measure and study the irrational behavior of investors of the gem IPO.
Therefore, according to the analysis, theoretical and empirical research this paper argues that, in order to reduce China's gem IPO underpricing, must promote the GEM market norms and mature, to build a good investment environment; to further improve the inquiry mechanism, expand the scale of the gem, reduce the contradiction between supply and demand of the GEM market supervision departments to strengthen supervision; specification, operation of the gem; more importantly investors should pay attention to self education, improve their own quality, the formation of the concept of value investing, more rational investment.

【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51;F830.42

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