本文選題：IPO抑價　切入點：錨定效應　出處：《復旦大學》2013年碩士論文

【摘要】：新股首日高抑價率是資本市場一個獨特現(xiàn)象,而這一現(xiàn)象在我國股票市場更加顯著突出。高抑價現(xiàn)象因為違反了市場有效理論,被稱為“抑價之謎”。這個看似簡單的問題吸引著學者從不對稱信息理論、制度原因理論和行為金融理論等不同角度進行了探索。針對我國IPO抑價更突出的特點,國內許多學者結合我國的特殊制度背景和市場環(huán)境,分別從一級市場定價的偏差因素和二級市場投資者情緒因素兩個角度進行了研究,取得了一定成果。隨著行為金融學研究的引入與推廣,國內投資者被證實了有顯著的“過度自信”、“羊群行為”和“錨定效應”等特點,其中錨定效應在不少金融現(xiàn)象應用上取得了一定的研究成果。本文在介紹IPO抑價現(xiàn)象基礎上,運用行為心理學著名的“錨定效應”理論,對IPO抑價率錨定及調整因素展開研究。 本文基于創(chuàng)業(yè)板資本市場的數(shù)據,建立模型,應用相關的數(shù)理檢驗方法,研究發(fā)現(xiàn)：(1)IPO首日買賣決策并非是一種完全理性的經濟決策行為,而是存在“錨定和調整”行為偏差,且IPO首日抑價率受到“靜態(tài)錨——前一個月上市IPO所有公司抑價率平均值”和“動態(tài)錨——最近上市IP05家(9家)公司抑價率平均值”作為制定抑價率的的錨定值。(2)研究結果表明“靜態(tài)錨”比“動態(tài)錨”錨定效應強,這意味著隨著時間推移,錨定值的錨定效應逐漸減弱。同時研究發(fā)現(xiàn)“低靜態(tài)錨”顯示出比“高靜態(tài)錨”更顯著的錨定效應。(3)換手率、近20日市場回報率、股票發(fā)行規(guī)模和股票成交數(shù)額等因素被證明了與IPO抑價率間存在顯著的關系,這與過去的研究是一致的。
[Abstract]:The high underpricing rate on the first day of new shares is a unique phenomenon in the capital market, and this phenomenon is more prominent in China's stock market. The high underpricing phenomenon violates the effective theory of the market. This seemingly simple question has attracted scholars to explore from different angles, such as asymmetric information theory, institutional cause theory and behavioral finance theory, in view of the more prominent characteristics of IPO underpricing in China. According to the special institutional background and market environment of our country, many domestic scholars have studied the bias factors of pricing in the primary market and the emotional factors of investors in the secondary market. With the introduction and promotion of behavioral finance research, domestic investors have been proved to have significant characteristics of "overconfidence", "herd behavior" and "anchoring effect". Based on the introduction of IPO underpricing phenomenon and the famous theory of "anchoring effect" in behavioral psychology, the anchoring and adjusting factors of IPO underpricing rate are studied. Based on the data of the gem capital market, this paper establishes a model and applies the relevant mathematical test method to study and find that the trading decision on the first day of IPO is not a completely rational economic decision behavior, but a deviation of "anchoring and adjusting" behavior. And the first day underpricing rate of IPO is studied by "static Anchor-average of underpricing rate of all IPO companies listed in the previous month" and "dynamic Anchor-the average of 9 recently listed IP05 companies" as the anchoring value of setting underpricing rate. The results show that the anchoring effect of "static anchor" is stronger than that of "dynamic anchor". This means that the anchoring effect of anchoring value decreases gradually over time. At the same time, it is found that "low static anchor" shows a more significant anchor effect than "high static anchor". It has been proved that there is a significant relationship with IPO underpricing rate, which is consistent with previous studies.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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相關期刊論文 前1條

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本文編號：1661352