本文選題：IPO抑價(jià)　切入點(diǎn)：錨定效應(yīng)　出處：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：新股首日高抑價(jià)率是資本市場一個獨(dú)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(jià)現(xiàn)象因?yàn)檫`反了市場有效理論,被稱為“抑價(jià)之謎”。這個看似簡單的問題吸引著學(xué)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(jìn)行了探索。針對我國IPO抑價(jià)更突出的特點(diǎn),國內(nèi)許多學(xué)者結(jié)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(jià)的偏差因素和二級市場投資者情緒因素兩個角度進(jìn)行了研究,取得了一定成果。隨著行為金融學(xué)研究的引入與推廣,國內(nèi)投資者被證實(shí)了有顯著的“過度自信”、“羊群行為”和“錨定效應(yīng)”等特點(diǎn),其中錨定效應(yīng)在不少金融現(xiàn)象應(yīng)用上取得了一定的研究成果。本文在介紹IPO抑價(jià)現(xiàn)象基礎(chǔ)上,運(yùn)用行為心理學(xué)著名的“錨定效應(yīng)”理論,對IPO抑價(jià)率錨定及調(diào)整因素展開研究。 本文基于創(chuàng)業(yè)板資本市場的數(shù)據(jù),建立模型,應(yīng)用相關(guān)的數(shù)理檢驗(yàn)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(jīng)濟(jì)決策行為,而是存在“錨定和調(diào)整”行為偏差,且IPO首日抑價(jià)率受到“靜態(tài)錨——前一個月上市IPO所有公司抑價(jià)率平均值”和“動態(tài)錨——最近上市IP05家(9家)公司抑價(jià)率平均值”作為制定抑價(jià)率的的錨定值。(2)研究結(jié)果表明“靜態(tài)錨”比“動態(tài)錨”錨定效應(yīng)強(qiáng),這意味著隨著時間推移,錨定值的錨定效應(yīng)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(yīng)。(3)換手率、近20日市場回報(bào)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(jià)率間存在顯著的關(guān)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(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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相關(guān)期刊論文 前1條

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本文編號：1661352