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  本文選題：媒體關注度 + IPO抑價理論　； 參考：《南京大學》2012年碩士論文

【摘要】：媒體關注對資產價格的影響最近幾年成為國內外學者研究的熱門課題,許多學者研究表明媒體關注會通過吸引投資者的注意力,影響投資者的情緒最終影響資產價格,新股上市首日的表現(xiàn)亦會受到媒體關注的影響。我國資本市場作為一個新興的市場,整個市場中的情緒交易者較多,在我國媒體關注度對新股表現(xiàn)是怎樣的?對于新股的一級市場抑價率和二級市場溢價率的影響是否相同?不同時期的媒體關注度對新股表現(xiàn)的影響是否一致?這些都是亟需解答的。 本文主要考察媒體關注對新股表現(xiàn)的影響,按照理論分析、實證分析、對策分析的研究思路,首先論述本文的研究背景和研究意義,同時對媒體關注與新股上市表現(xiàn)的研究文獻進行整理歸納。其次進行媒體關注對新股上市表現(xiàn)影響的假設設計和變量選擇,在前面的理論綜述基礎設計實證的媒體關注度代理變量、被解釋變量和控制變量。選取2006年6月到2010年12月上市的所有股票,以百度新聞高級搜索出的上市前新聞報道數(shù)量作為衡量媒體關注度的代理變量,加入公司規(guī)模、發(fā)行規(guī)模、公開發(fā)行數(shù)量、凈利潤增長率、公司年齡、行業(yè)分類等控制變量實證研究媒體關注對新股上市后收益的影響。最后利用收集的數(shù)據(jù)進行描述性統(tǒng)計并進行模型的實證研究,分別對媒體關注度的影響因素、媒體關注對一級市場抑價率、二級市場溢價率及超額收益率的影響分別進行實證,并作適當調整。其中將影響做了細分研究,分別從新股的一級市場抑價率和二級市場溢價率兩個方面進行實證分析,同時基于我國IPO制度的改革,將數(shù)據(jù)分時間段進行檢驗,嘗試從理論上對實證結果做出合理的解釋并且探討媒體關注影響資產價格的微觀機理。 通過大量實證的研究結果表明：第一、媒體關注主要影響新股二級市場溢價率并且影響方向為正,即媒體關注度越高新股上市后二級市場溢價率越高,媒體關注對于一級市場抑價率有負向的影響,但是不是造成一級市場抑價的主要因素；第二、媒體關注雖然在泡沫時期對新股表現(xiàn)影響不顯著,但是在非泡沫的大多數(shù)時期有著顯著的影響。第三、媒體關注并不直接作用于新股收益,引起新股收益變化的主要因素是投資者行為,媒體關注主要通過吸引投資者關注,影響投資者行為從而影響新股收益的。以上結論對于引導投資者合理投資,避免大量情緒投資者對新股盲目追捧,引起市場泡沫的形成有較好的指導意義。同時也希望監(jiān)管機構對媒體報道進行有效的監(jiān)管,避免市場上出現(xiàn)“噪聲”,以保證市場的有效性。最后根據(jù)實證的結果,提出提高市場有效性,完善市場監(jiān)管的政策建議。
[Abstract]:In recent years, the influence of media attention on asset prices has become a hot topic for scholars at home and abroad. Many scholars have shown that media concerns will affect asset prices by attracting the attention of investors and ultimately affecting investor sentiment. New shares listed on the first day of performance will also be affected by media attention. China's capital market as a new market, the whole market of emotional traders more, in our country media attention to the performance of new shares is how? Whether the influence of the primary market underpricing rate and the secondary market premium rate on the new shares is the same? Is the impact of media attention on the performance of new shares consistent in different periods? These are all in urgent need of solution. This paper mainly investigates the influence of media attention on the performance of new shares, according to the theoretical analysis, empirical analysis, countermeasure analysis of the research ideas, first of all, discusses the research background and significance of this paper. At the same time, the media concern and the performance of new stock listing research literature is summarized. Secondly, the hypothesis design and variable selection of media concern influence on IPO performance are carried out, and the media attention agent variable, explained variable and controlled variable are summarized in the previous theoretical review. Selecting all the stocks listed from June 2006 to December 2010, taking the number of pre-listing news reports searched by Baidu News Advanced as the proxy variable to measure the media attention, joining the company size, issuance scale, and the number of public offerings. Empirical study on controlling variables such as net profit growth rate, firm age, industry classification and so on. Finally, using the collected data for descriptive statistics and empirical research on the model, respectively, media attention to the impact of media attention on the primary market underpricing rate, secondary market premium rate and excess rate of return, respectively. And make appropriate adjustments. The impact is analyzed in detail from two aspects: the primary market underpricing rate and the secondary market premium rate. At the same time, based on the reform of IPO system in China, the data are tested in time. This paper attempts to make a reasonable explanation of the empirical results theoretically and to explore the microscopic mechanism of media attention to the influence of asset prices. The results of a large number of empirical studies show that: first, media attention mainly affects the secondary market premium rate and the direction is positive, that is, the higher the media attention is, the higher the secondary market premium rate is. Media attention has a negative impact on the primary market underpricing rate, but it is not the main factor that causes the primary market underpricing. Second, although the media concern has not had a significant impact on the performance of new shares during the bubble period, But during most of the non-bubble period, it had a significant impact. Third, the media concern does not directly affect the new stock return, the main factor that causes the change of the new stock return is investor behavior, and the media concern mainly affects the new stock return by attracting investors' attention and influencing the investor's behavior. These conclusions can guide investors to invest reasonably avoid a large number of emotional investors blindly chasing for new shares and cause the formation of market bubbles. Regulators are also expected to regulate media reports effectively to avoid "noise" in the market to ensure the effectiveness of the market. Finally, according to the empirical results, the paper puts forward some policy suggestions to improve the market effectiveness and market supervision.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

【引證文獻】

相關碩士學位論文 前1條

1 羅躍紅;“高度關注”下鄉(xiāng)村艾滋病人社會行動策略研究[D];華中師范大學;2013年

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本文編號：2009959