本文選題：IPO首日超額收益　切入點(diǎn)：投資者情緒　出處：《南京大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：IPO首日超額收益是指上市首日收盤價(jià)顯著高于發(fā)行價(jià)的現(xiàn)象,這種現(xiàn)象在國內(nèi)外資本市場廣泛存在。IPO首日超額收益自從上世紀(jì)70年代被發(fā)現(xiàn)以來,一直吸引著大量的學(xué)者對(duì)其進(jìn)行研究。目前對(duì)IPO首日超額收益的研究主要集中在兩個(gè)方面：一是由于發(fā)行人、承銷商、投資者之間的信息不對(duì)稱等原因造成了一級(jí)市場定價(jià)偏低,所以新股上市首日價(jià)格上漲,形成首日超額收益。二是投資者對(duì)新股過度反應(yīng),新股上市首日價(jià)格虛高,同樣形成上市首日的超額收益。 我國創(chuàng)業(yè)板自2009年10月推出,IPO首日超額收益現(xiàn)象較為突出,企業(yè)上市收盤價(jià)屢創(chuàng)新高。首批28家創(chuàng)業(yè)板上市公司,平均首日超額收益率達(dá)到106.23%。截至2011年底的281家創(chuàng)業(yè)板上市公司的首日算術(shù)平均收益率37.92%。創(chuàng)業(yè)板IPO首日超額收益使一級(jí)市場集中大量的資金專門用于新股申購,不利于資金優(yōu)化配置。并使投資者過分關(guān)注是否申購成功,而忽視對(duì)公司基本面的研究,造成新股上市后價(jià)格過度波動(dòng),形成巨大的風(fēng)險(xiǎn)。 本文主要對(duì)創(chuàng)業(yè)板IPO首日超額收益進(jìn)行研究,針對(duì)上述我國創(chuàng)業(yè)板IPO的特殊情況,本文在對(duì)國外相關(guān)理論適用性分析的基礎(chǔ)上,主要從二級(jí)市場投資者情緒角度去解釋我國創(chuàng)業(yè)板IPO首日超額收益問題。 本文首先對(duì)國內(nèi)外關(guān)于IPO首日超額收益的研究進(jìn)行梳理；接著,在第3章對(duì)投資者情緒理論和我國創(chuàng)業(yè)板IPO首日收益情況進(jìn)行概述,并從投資者情緒角度對(duì)創(chuàng)業(yè)板IPO首日收益做簡要解釋。本文第4章,建立了基于投資者情緒的創(chuàng)業(yè)板IPO首日收益模型,從理論上論證投資者情緒對(duì)創(chuàng)業(yè)板IPO首日收益的影響。在第5章,選取了新股上市前15個(gè)交易日市場日均收益等六個(gè)投資者情緒代理變量,通過主成分分析法,構(gòu)建了創(chuàng)業(yè)板IPO投資者情緒指數(shù),以此衡量創(chuàng)業(yè)板IPO投資者情緒的高低。并以創(chuàng)業(yè)板IPO首日收益為被解釋變量,以投資者情緒指數(shù),信息不對(duì)稱代理變量和承銷商聲譽(yù)作為解釋變量,建立多元回歸模型�；貧w結(jié)果顯示投資者情緒指數(shù)系數(shù)顯著,對(duì)創(chuàng)業(yè)板IPO首日收益解釋有較強(qiáng)的能力。第6章,根據(jù)上述理論模型和實(shí)證研究,提出了本文的研究結(jié)論,并對(duì)未來的研究方向做了展望。
[Abstract]:The first day excess return of IPO refers to the phenomenon that the closing price on the first day of listing is significantly higher than the issue price. This phenomenon widely exists in the domestic and foreign capital markets. It has attracted a large number of scholars to study it. At present, the research on IPO's first-day excess income is mainly focused on two aspects: first, the issuer, the underwriter, The information asymmetry among investors causes the pricing of the primary market to be on the low side, so the price of new shares on the first day of listing rises, forming the first day of excess returns. Second, investors overreact to new shares, and the prices of new shares on the first day of listing are artificially high. Also formed the first day of the listing of excess returns. Since the launch of the gem on October 2009, the phenomenon of excess returns on the first day of IPOs has become more prominent, and the closing price of enterprises has reached record highs. The first batch of 28 gem listed companies are listed on the gem. The average first-day excess rate of return reached 106.23.As of end of 2011, the average first-day arithmetic yield of 281 gem listed companies was 37.92.The first day excess income of gem IPO made the primary market concentrate a large amount of funds specifically for new stock requisitions. It is not conducive to the optimal allocation of funds, and makes investors pay too much attention to the success of the purchase and purchase, while neglecting the study of the company's fundamentals, which results in excessive fluctuations in the price of new shares after listing, and creates a huge risk. This paper mainly studies the excess income of IPO on the first day of gem. According to the special situation of IPO in China, this paper analyzes the applicability of relevant theories in foreign countries. From the perspective of investor sentiment in the secondary market, this paper explains the problem of the first day excess return of IPO in China's growth Enterprise Market (gem). In chapter 3, the author summarizes the investor sentiment theory and the first day return of IPO in China's gem. And from the perspective of investor sentiment to do a brief explanation of the growth Enterprise Market (IPO) first-day income. In Chapter 4, we establish the gem IPO first-day income model based on investor sentiment. In Chapter 5, we select six investor sentiment agent variables, such as the average return of the market for 15 trading days before the IPO, and use the principal component analysis method to analyze the influence of investor sentiment on the first-day return of gem. This paper constructs the gem IPO investor sentiment index to measure the level of the gem IPO investor sentiment, and takes the gem IPO first day income as the explanatory variable, and uses the investor sentiment index as the index. The information asymmetry agent variable and underwriter reputation are used as explanatory variables to establish a multivariate regression model. The regression results show that the investor sentiment index coefficient is significant and has a strong ability to explain the first-day earnings of gem. Chapter 6, According to the above theoretical model and empirical research, the conclusion of this paper is put forward, and the future research direction is prospected.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51

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