本文關鍵詞： 投資者情緒 投資行為 IPO市場　出處：《西南財經大學》2012年碩士論文　論文類型：學位論文

【摘要】：IPO異象普遍存在于各國資本市場,并引起了廣泛關注。截至2010年,2102只A股的平均抑價率為137%,香港的抑價率為15.40%,而美國近50年的平均抑價率為16.80%,A股IPO抑價率高居世界主要國家之首。在超額收益、長期弱勢和熱市現(xiàn)象之外,我國IPO市場還存在低配售率、低中簽率和高換手率等異象。配售率平均在5%左右,中簽率更是低至1%,而換手率高達70%。IPO市場的良性運行是資本市場健康發(fā)展的重要前提。我國IPO市場存在嚴重的非理性行為,不僅普通投資者如此,眾多的機構投資者也是如此。機構投資者被看作是價值投資的支柱,然而IPO市場頻頻出現(xiàn)的問題,暴露出機構投資者并不完全理性,其投資行為也受到情緒的影響,普通投資者的非理性行為更是導致了狂熱的新股投資熱潮。IPO市場的非理性行為嚴重影響了資本市場的健康發(fā)展,機構投資者不再遵循價值理念把好股票發(fā)行上市的第一道關口,在一開始就出現(xiàn)了上市公司財務造假和估值偏高等現(xiàn)象。同時,機構投資者也熱衷于投資新股,使得較低的配售率和中簽率成為常態(tài),大量資金沉淀在發(fā)行市場,降低了資金的運行效率,弱化了資本市場資源配置的效率。新股發(fā)行和上市初期的狂熱給股價的長期走勢留下了隱患,國內外普遍存在新股長期弱勢現(xiàn)象,給投資者造成了損失,也不利于二級市場的良性運行。本文主要研究投資者情緒對IPO市場投資行為的影響。 第二章為文獻綜述,分別從信息不對稱理論和行為金融理論進行分析和評論。20世紀70年代后西方學者開始關注IPO市場,發(fā)現(xiàn)IPO市場存在三大異象——抑價發(fā)行、長期弱勢以及熱市現(xiàn)象,相關研究也不斷涌現(xiàn)。早期研究主要從信息不對稱理論進行分析,認為抑價發(fā)行是因為IPO市場參與者之間的信息不對稱所致,各種信息的不均衡使得股票價格被人為壓低,抑價之說也由此而來。20世紀后期,越來越多的學者從行為金融角度對IPO市場進行研究,認為新股超額收益來自上市首日的交易價格偏高,由此得出溢價一說。兩種理論從不同方面對IPO市場的投資行為進行了分析,對解釋我國IPO市場異象有借鑒意義。作為新興市場,我國資本市場仍不夠完善,與成熟市場有較大差距。我國IPO市場也存在抑價發(fā)行、長期弱勢和熱市三大異象,同時也存在高價發(fā)行、高倍認購和高額收益等現(xiàn)象,并受到更多關注,產生更大影響。從實際出發(fā),深入分析我國IPO市場的特點,對存在的問題進行理論和實證分析,有利于我國資本市場的不斷完善和長遠發(fā)展。 第三章分析情緒影響投資行為的機理,分別從心理學和金融學對投資者情緒影響投資行為的機理進行分析�，F(xiàn)代金融理論基于理性人假設認為投資者在遵循效用最大化原則下作出決策,但人的行為過程除了追求利益還訴求心理滿足,投資者情緒在投資決策中扮演了重要角色,使得投資行為產生偏差。以Miller(1977)、DSSW(1990)和DHS(1998)三個模型分析投資者情緒對資產價格的影響。 第四章分析IPO市場的情緒行為。從廣義情緒理論出發(fā),將影響投資決策的因素分為市場行情、公司質量和發(fā)行條件三類,市場行情中影響投資者情緒的具體因素有市場指數(shù)收益和新股首日收益,公司質量包括盈利能力、償債能力、發(fā)展能力和營運能力等,發(fā)行條件涵蓋承銷商聲譽、發(fā)行規(guī)模、估值水平和申購活躍度等。本文拓展了IPO市場的研究范圍,在研究新股抑價問題的基礎上,同時分析一級市場網下和網上的投資行為以及二級市場首日的量能行為。在此基礎上,提出了情緒變量與行為變量的相關性假設。 第五章進行實證分析。以2010年1月至2011年6月在滬深兩市首次公開發(fā)行并上市的股票為樣本,比較滬市主板、深市中小板和創(chuàng)業(yè)板在投資行為、財務狀況和發(fā)行條件等方面的差異。將解釋變量按序分組,分析各個情緒變量與行為變量的相關性。以此建立多元回歸模型,分析模型對IPO市場投資行為的解釋力度,以及影響投資者情緒的顯著因素。 實證結果結果顯示,主板、中小板和創(chuàng)業(yè)板IPO市場表現(xiàn)出不同的板塊特征。深市中小板和創(chuàng)業(yè)板IPO公司的財務狀況顯著優(yōu)于滬市主板,其中又以創(chuàng)業(yè)板為最,創(chuàng)業(yè)板上市公司的銷售毛利率高出主板和中小板十幾個百分點,資產負債率僅為40%,凈利潤增長率更是高達67%。發(fā)行承銷方面,主板表現(xiàn)出更多成熟市場的特征,中小板向主板市場趨同,創(chuàng)業(yè)板作為新興市場的特征較為明顯。主板IPO市場的承銷保薦機構主要為大型券商,前十大投資銀行控制了一半以上的市場份額,而中小板和創(chuàng)業(yè)板60%以上的市場份額為大量小型券商所占有。主板發(fā)行規(guī)模顯著普遍較大,中小板和創(chuàng)業(yè)板的發(fā)行量較小。主板發(fā)行市盈率為43倍,中小板為53倍,創(chuàng)業(yè)板高達65倍,相對二級市場行業(yè)平均估值水平明顯偏高,創(chuàng)業(yè)板最高151倍的發(fā)行市盈率更是令人咋舌。板塊之間的投資行為也表現(xiàn)出較大差異。主板IPO一級市場的配售率和中簽率顯著大于深市中小板和創(chuàng)業(yè)板,而深市兩板塊之間的差異較小。深市中小板和創(chuàng)業(yè)板新股上市首日的換手率都在70%左右,高于滬市主板60%的首日換手率。樣本期間,中小板上市首日的收益率最高,平均為35%,主板和創(chuàng)業(yè)板分別在20%和25%左右。 研究表明情緒理論能夠一定程度解釋IPO市場的投資行為。模型具有較好的擬合優(yōu)度,情緒變量的相關性與預期基本一致,市場行情和發(fā)行條件指標總體顯著,但財務指標與預期有所差別。新股發(fā)行上市前的市場行情,包括前期市場走勢和新股收益,對一級市場和二級市場的情緒行為都有明顯的積極影響。發(fā)行條件對情緒行為的影響是多方面的。承銷商聲譽對情緒行為的影響并不明顯。聲譽在中國IPO市場的作用較為有限,承銷保薦機構招攬項目較少依賴市場聲譽,違規(guī)行為所承擔的責任降低,對聲譽的損害較輕,承銷保薦機構主動建立和維護市場聲譽的動力不足。同時投機炒作之風盛行,投資者對承銷保薦機構的聲譽較少關注。發(fā)行市盈率對不同市場情緒行為的影響是不同。一級市場投資者受到估值水平的正向影響,當然這其中較高的估值水平本身就是由詢價對象所催生,但參與網上申購的普通投資者也對高估值股票表現(xiàn)出積極的投資熱情。二級市場投資者是風險規(guī)避的,高估值股票上市首日的交易活動略顯平淡,股價漲幅也相對較低。發(fā)行規(guī)模對情緒行為有顯著影響,投資者對小盤股表現(xiàn)出明顯的偏好。一級市場網下和網上申購的活躍度直接影響到二級市場的情緒行為,市場之間的聯(lián)動性較強。 反映公司質量的財務指標對IPO市場情緒行為的影響較為有限。新股發(fā)行定價過程中,發(fā)行人和承銷商擬定價格區(qū)間,詢價對象在價格區(qū)間內確定發(fā)行價格,網上投資者根據價格上限進行申購�？梢�,發(fā)行價格本質上由發(fā)行人和承銷商決定。發(fā)行人和承銷商擁有關于公司價值的充分信息,且中國資本市場中發(fā)行人和承銷商抑價發(fā)行的動力不足,財務狀況只為說明定價合理,不存在未被挖掘的價值洼地。因此,在IPO市場上,投資者較少關注公司的財務狀況,財務指標對情緒行為的影響較為有限。 針對現(xiàn)階段我國IPO市場存在的問題,本文提出以下政策建議：一是提高機構投資者質量。IPO市場中,機構投資者有著嚴格的準入條件,同時機構投資者的投機炒作也屢見不鮮,為此需要進一步放寬IPO一級市場的準入條件,允許更多機構投資者參與新股申購,充分的市場競爭有助于降低相互串通和暗箱操作等違規(guī)行為。在增加機構投資者數(shù)量的同時,需要加強監(jiān)督和管理,提高機構投資者隊伍的質量。二是加強投資者教育。我國普通投資者數(shù)量眾多,力量分散,跟風炒作,過度自信。加強投資者教育,增強風險意識,形成正確的投資理念,不僅是對投資者利益的保護,也是市場有效運行的基礎。三是完善制度規(guī)范。IPO市場的重要功能是資金融通,但制度規(guī)范要做到公平公正,不能有失偏頗。倘若制度上傾斜于融資方,而漠視投資方的利益,將不利于市場的長遠發(fā)展。需要加強對發(fā)行人和承銷商的管理,對發(fā)行過程中的重大責任需要從嚴處理。四是推動機制創(chuàng)新。我國IPO市場嚴禁賣空,空方無法通過賣空表達意愿,被排斥在市場之外,市場為多方力量所控制。引入賣空機制,可以改變單向獲利的現(xiàn)實,股價向下調整至均衡水平可以降低高價交易,對一級市場投資者也產生警示作用,降低高倍申購。
[Abstract]:IPO vision exists in the capital market in the world, and has attracted wide attention. As of 2010, 2102 A shares the average underpricing rate is 137%, Hongkong underpricing rate is 15.40%, while the United States nearly 50 years the average underpricing rate is 16.80%, A shares IPO underpricing rate in the major countries in the world first. In addition to excess returns, long-term underperformance and hot market phenomenon, China's IPO market is still low placement rate, low success rate and high turnover rate of vision. Placing in the average rate of about 5%, the success rate is as low as 1%, and the turnover rate is as high as 70%.IPO market benign operation is an important prerequisite for the healthy development of the capital the IPO market in China market. There are serious non rational behavior, not only ordinary investors, but also so many institutional investors. Institutional investors is regarded as a pillar of value investment, but the IPO market appeared frequently exposed problems, institutional investors are not completely rational, and its investment Investment behavior is also affected by emotion, the irrational behavior of ordinary investors is led to the irrational behavior of fanatical shares investment boom.IPO market has seriously affected the healthy development of the capital market, institutional investors no longer follow the step value of good stock issuance and listing, at the outset, there appears the phenomenon of financial listed companies fraud and higher valuation. At the same time, institutional investors are keen to invest in shares, the lower the placement rate and success rate becomes the norm, precipitated a lot of money in circulation market, reduce the rate of capital operation efficiency, weakening the efficiency of resource allocation of capital market. The IPO and listing the initial enthusiasm has left a hidden danger to the long-term the trend of stock price, widespread domestic and overseas IPO long run underperformance caused losses to investors, is not conducive to the benign operation of the market of the two main research in this paper. The influence of investor sentiment on the investment behavior of the IPO market.
The second chapter is literature review, analyze and comment on the.20 century after 70s western scholars began to pay attention to the IPO market from the asymmetric information theory and behavioral finance theory, found that the IPO market has three vision, underpricing, long-term underperformance and hot market phenomenon, research is emerging. The early research mainly carries on the analysis from the theory of information asymmetry and that underpricing is due to the information asymmetry between the IPO market participants, all kinds of information caused by the unbalance of stock price artificially low, underpricing that is the resulting.20 century, more and more scholars to study the IPO market from the perspective of behavioral finance, that excess returns of new shares listed on the first day of the trading price from the resulting high premium said. The two theories are analyzed from different aspects of the investment behavior of the IPO market, to explain the IPO market in China is different As a reference. As an emerging market, China's capital market is still not perfect, and there is a big gap between the mature market. China's IPO market, there are three big visions underpricing, long-term underperformance and hot city, there is also the issue of high prices, high income and high times subscription phenomenon, and has attracted more and more attention greater impact. From the reality, analyzes the characteristics of the IPO market in China, the theoretical and Empirical Analysis on the existing problems, is conducive to China's capital market continues to improve and long-term development.
The third chapter analyzes the influence mechanism of emotional investment behavior, were analyzed from the psychology and finance mechanism of investor sentiment affect investment behavior. The modern financial theory hypothesis that investors make decisions in accordance with the principle of utility maximization based on human behavior, but also the psychological process in addition to the pursuit of interests demands satisfied, investor sentiment plays an important role in the investment decision, make the investment behavior bias. With Miller (1977), DSSW (1990) and DHS (1998) analysis of the impact of investor sentiment on asset prices of the three models.
The fourth chapter analyzes the emotional behavior of the IPO market. Starting from the generalized theory of emotion factors, will affect the investment decisions into the market, the company quality and conditions of issue three, the market in the specific factors that affect investor sentiment market index returns and return on the first day, the company quality including profitability, solvency, development ability and operation ability, the conditions of issue covers the underwriter's reputation, issue size, valuation and purchase activity. This paper extends the research scope of the IPO market, based on the study of IPO underpricing, and investment behavior analysis of a market network and online and on the first day of the two market volume this behavior. Based on the proposed hypothesis of correlation between emotional variables and behavioral variables.
The fifth chapter makes an empirical analysis. From January 2010 to June 2011 in Shanghai and Shenzhen two initial public offering and listing of shares as the sample, comparing the Shanghai motherboard, the Shenzhen SME board and gem in investment behavior, differences in financial conditions and the conditions of issue. The explanatory variables in sequence components, correlation analysis of each emotion variables and behavioral variables. In order to establish the multiple regression model, explanation analysis model of IPO market investment behavior, and the significant factors affecting investor sentiment.
The empirical results showed that the main board, small board and gem IPO market shows different characteristics of the plate. The Shenzhen SME board and gem IPO company's financial condition is better than the Shanghai motherboard, the gem as the main board and small board more than ten percentage points higher GEM listed company's gross margin. The asset liability ratio is only 40%, net profit growth rate is as high as 67%. distribution, the motherboard features more mature market, small board to the main market convergence, the gem as a feature of emerging markets is more obvious. IPO motherboard market underwriting sponsor mainly for large firms, ten investment banks control more than half of the market share, while the small board and gem more than 60% of the market share for a large number of small and medium-sized firms share. The motherboard issuance was generally larger, the circulation of the small board and the gem is Small. The motherboard issuance price earnings ratio of 43 times, 53 times as small plates, the gem up to 65 times relative to the two level market industry average valuation level is significantly higher, the gem up to 151 times the price earnings ratio is even more staggering. The investment behavior between plates has obvious difference. IPO motherboard market level the placement rate and success rate was significantly higher than that of the Shenzhen SME board and gem, and the difference between the Shenzhen two plate is smaller. In about 70% of the turnover rate on the first day of IPO Shenzhen SME board and gem, on the first day of the exchange rate is higher than the Shanghai motherboard 60%. During the sample period, the small board listed on the first day of the highest yield, average 35%, the main board and gem respectively in 20% and 25%.
The research shows that emotional theory can partly explain the investment behavior of the IPO market. The model has good fitting degree, correlation with the expected emotional variables are basically the same, and the market conditions of issue index significantly, but the financial index and the expected difference. Before the IPO market, including the market trend and new revenue have a positive impact on emotional behavior on the market level and two level market. The influence of conditions on the issue of emotional behavior is in many aspects. The influence of underwriter reputation on emotional behavior is not obvious. The role of reputation in the Chinese IPO market is more limited, the underwriting sponsor recruit project depends less on the market reputation, undertake illegal a responsibility to reduce the harm to reputation, lighter, lack of power to establish and maintain active sponsor underwriting market reputation. Sheng speculation at the same time For investors, the sponsor's reputation have paid less attention to underwriting. The earnings release effect on emotional behavior in different markets is different. The primary market investors have positive impact on the level of valuation, in which higher valuation itself is by the birth of an inquiry object, but also the ordinary investors to participate in online purchase of overvalued stocks a positive investment enthusiasm. Two level of market investors are risk averse, the high valuation of shares listed on the first day of trading activity slightly dull, price increase is relatively low. The issue size has significant impact on emotional behavior, investors in small cap stocks showed a clear preference. The level of market network and on-line purchase activity emotional behavior directly affects the market of the two market, the linkage between the strong.
Reflect the influence of financial indicators on quality of emotional behavior of IPO market is more limited. The IPO pricing process, issuers and underwriters to price range, the object of inquiry to determine the issue price in the price range, online investors purchase according to the price limit. Obviously, the issue price essentially by the issuers and underwriters decided to issue. And the underwriters have enough information about the value of the company, and China in the capital market, issuers and underwriters or lack of power price issue, the financial situation only to illustrate the price is reasonable, there is no untapped value of depression. Therefore, in the IPO market, investors are less concerned about the company's financial condition, financial index the emotional behavior is more limited.
Aiming at the present stage of China's IPO market, this paper puts forward the following suggestions: one is to improve the quality of the.IPO market to institutional investors, institutional investors have strict access conditions, while institutional investors speculation also need to further It is often seen., wide IPO level of market access conditions, to allow more institutional investors to participate in new shares purchase, full market competition will help reduce the collusion and manipulation of irregularities. The increase in the number of institutional investors at the same time, the need to strengthen supervision and management, improve the quality of institutional investors team. The two is to strengthen investor education. A large number of ordinary investors in China, scattered strength, follow the trend of speculation over confidence, strengthen. Investor education, strengthen the risk consciousness, form the correct investment concept, not only is the protection of the interests of investors, the market is based on efficiency . the three is to improve the important function of the system specification is.IPO market financing, but the system specification to be fair, not biased. If the system is inclined to the financing side, while ignoring the interests of investors, the market is not conducive to long-term development. The need to strengthen the management of the issuer and underwriter, on major the responsibility in the process of issuing requires strict processing. The four is to promote the innovation of mechanism. The IPO market in China is strictly prohibited to short selling, unable to express their wishes through short selling, are excluded outside the market, the market is controlled by multiple forces. Introduction of short selling mechanism, can change the one-way profit reality, the stock price downward adjustment to the equilibrium level can reduce the transaction price also, generate a warning to investors of a market, reduce the times of purchase.

【學位授予單位】：西南財經大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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