本文關(guān)鍵詞：IPO抑價與投資者非理性相關(guān)性實(shí)證研究　出處：《東北大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： IPO 非理性投資 行為金融

【摘要】：IPO市場作為上市公司繼續(xù)發(fā)展、融資的重要渠道,是股票二級市場的基礎(chǔ)。然而,IPO市場存在多個經(jīng)典金融理論難以解釋的問題。目前國內(nèi)外對IPO市場的研究主要集中于IPO長期弱勢、IPO抑價和IPO熱銷市場三個方面,其中IPO抑價是行為金融學(xué)者研究的熱門課題。 IPO抑價是指新股上市首日收盤價格遠(yuǎn)高于其發(fā)行價格的現(xiàn)象。根據(jù)有效市場假說,在一個競爭市場中,所有的投資者之間的競爭會使股票價格與其內(nèi)在價值相平衡,在股票發(fā)現(xiàn)首日不會存在明顯的抑價現(xiàn)象。但是,在實(shí)際股票市場中,股票IPO抑價現(xiàn)象卻十分普遍。IPO抑價現(xiàn)象會阻礙一級市場發(fā)揮資源配置功能,對我國股票市場產(chǎn)生較大的負(fù)面影響。 為了解釋IPO抑價現(xiàn)象,并為政府決策提供政策建議。首先介紹了相關(guān)的研究意義和背景、研究方法,然后分析國內(nèi)外的IPO研究現(xiàn)狀,并概括了形成IPO抑價的主要原因。接著,將股票市場分為上漲、盤整、下降三個不同形態(tài)期間,選取我國IPO股票數(shù)據(jù)進(jìn)行分析,采用行為金融學(xué)理論建立回歸分析模型,根據(jù)回歸結(jié)果具體分析了在股票市場處于不同時期時造成我國IPO抑價的原因。最后,根據(jù)實(shí)證分析結(jié)果提出關(guān)于IPO市場的政策建議及結(jié)論。研究認(rèn)為新股發(fā)行市場上的投資者對新發(fā)售股票的價值和價格的判斷并非企業(yè)自身的條件數(shù)據(jù),而是受到其系統(tǒng)定價偏差的影響。投資者購買新股的原因并非長期持有,市場上的投機(jī)氣味濃厚。新股發(fā)行市場上投資者過多的投機(jī)行為造成了新股首日的高收盤價格,對新股發(fā)行首日的收益率有著十分重大的影響。
[Abstract]:As a listed company to continue the development of the IPO market, an important channel for financing, is the foundation of the stock market two. However, the IPO market is difficult to explain a number of classic financial theory. The current research on the IPO market at home and abroad mainly focus on IPO IPO under long-term weakness, three aspects of price and IPO hot market, including IPO underpricing is a hot research topic in behavioral finance scholars.
IPO underpricing refers to the IPO first day closing price is much higher than the issue price of the phenomenon. According to the efficient market hypothesis, in a competitive market, the competition between all the investors will make the stock price and the intrinsic value of the stock in the first day of discovery phase equilibrium, there will be no obvious underpricing phenomenon. However, in the actual stock market in stock, IPO underpricing phenomenon is very widespread phenomenon of.IPO underpricing will hinder the level of market allocation of resources to play the function, have a greater negative impact on the stock market of our country.
In order to explain the phenomenon of IPO underpricing, and provide policy recommendations for the government decision-making. This paper first introduces the related research background and significance, research methods, and then analyzes the domestic and foreign research status quo of IPO, and summarizes the main reason of the formation of IPO underpricing. Then, the stock market will be divided into rise, consolidation, down three different forms during the analysis and selection of China IPO stock data, using the behavioral finance theory to establish the regression analysis model, according to the results of regression analyses in the stock market in different periods when the causes of China's IPO underpricing. Finally, according to the empirical results of the analysis put forward the policy suggestions and conclusions about IPO market conditions. The research results indicate that the value of data and the price of the IPO market investors to sell shares of the new judgment is not their own, but is affected by the deviation of system pricing. Investors to buy shares and In the long term market, there is a strong speculative smell. Investors' excessive speculation in the new stock market caused the first closing price of new shares, which has a great impact on the first day's yield of new shares.

【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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