本文關(guān)鍵詞： IPO抑價 IPO長期收益 市場投資者情緒 機(jī)構(gòu)投資者情緒 主成分分析　出處：《南京大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：自上世紀(jì)70年代起,IPO(首次公開募股)所引起的三大異象：熱銷市場、IPO抑價、長期收益走弱便開始漸漸走入學(xué)者的視線,并在近十年引起了國內(nèi)學(xué)者的廣泛關(guān)注。IPO抑價指的是首次公開發(fā)行的股票上市后的市場交易價格遠(yuǎn)高于發(fā)行價格,發(fā)行市場與交易市場出現(xiàn)了巨額的價差,導(dǎo)致首次公開發(fā)行存在較高的超額收益率。IPO長期收益走弱是指首次發(fā)行的股票在上市后3-5年的長期收益低于同期的市場總體收益。 我國的IPO抑價現(xiàn)象與西方發(fā)達(dá)國家相比要高的多,我們發(fā)現(xiàn)形而上學(xué)的使用西方的種種信息經(jīng)濟(jì)學(xué)理論解釋我國市場的IPO抑價現(xiàn)象并不是很合適。這主要是由于中國市場具有其特殊性,如發(fā)行制度近年來屢次變遷,05年才開始股權(quán)分置改革,有流通股和非流通股之分,上市是審批制,股市受政策影響十分嚴(yán)重,個人投資者占多數(shù),容易受到噪音的影響。 行為金融學(xué)的流行給我們的研究提供了一個新的視角,而行為金融中投資者情緒的引入又讓我們對IPO抑價產(chǎn)生一種新的解釋——一級市場定價合理,二級市場定價過高導(dǎo)致的首日收益率高。它認(rèn)為投資者在面對瞬息萬變的經(jīng)濟(jì)市場和未知的變化時,會做出具有一定特性的決策,如從眾心理、系統(tǒng)偏差等。投資者并非完全理性,反而容易受到情緒的影響。 本文即是從投資者情緒的角度來考量IPO抑價和長期收益走弱,并在研究中將投資者情緒分為市場投資者情緒和機(jī)構(gòu)投資者情緒。這是出于現(xiàn)在機(jī)構(gòu)投資者在我國的大力發(fā)展和起著越來越大的作用的考慮。并就此提出以下幾個問題：市場投資者情緒、機(jī)構(gòu)投資者情緒是否對IPO抑價產(chǎn)生影響?是否對IPO長期收益產(chǎn)生影響?有多大的影響?本文圍繞這幾個問題展開研究。 本文在研究方法上采用了主成分分析法,借鑒BW指數(shù)結(jié)合數(shù)據(jù)的可獲得性和中國市場的實(shí)際,選擇了5個間接指標(biāo)：封閉式基金折價率、股票換手率、IPO數(shù)量、IPO首日收益率、發(fā)放股利的股票市凈率與不發(fā)放股利股票的市凈率之差,將這些具有較高相關(guān)性的解釋變量糅合為了一個情緒變量,此外還用到了相關(guān)性分析和回歸分析等方法。在數(shù)據(jù)選取方面,考慮到盡量減少股權(quán)分置改革的影響,選擇了2006年1月至2011年12月上市的數(shù)據(jù),并剔除了金融類企業(yè)和殘缺數(shù)據(jù)的企業(yè),樣本共包括499個。最終通過實(shí)證分析發(fā)現(xiàn)IPO抑價與市場投資者情緒、機(jī)構(gòu)投資者情緒均顯著正相關(guān)。IPO抑價、投資者情緒與上市后中期收益(1-2年)顯著負(fù)相關(guān),而與第三年相關(guān)性較弱。
[Abstract]:Since -30s, IPOs (initial public offerings) have caused three major anomalies: the hot market IPO underpricing, the weakening of long-term earnings began to gradually come to the attention of scholars. In the past decade, the IPO underpricing has aroused the widespread concern of domestic scholars. The IPO underpricing refers to the fact that the market transaction price after the initial public offering of stocks is much higher than the issuing price, and there is a huge price difference between the issuing market and the trading market. Lower long-term yield of IPO refers to the fact that the long-term yield of initial public offering is lower than that of market in the same period 3-5 years after the initial public offering. The phenomenon of IPO underpricing in China is much higher than that in western developed countries. We find that metaphysics is not suitable to explain the phenomenon of IPO underpricing in our market by using various western theories of information economics. This is mainly due to the particularity of the Chinese market. For example, the issue system has changed repeatedly in recent years, and it was only in 2005 that the reform of split share structure began. There are two kinds of shares: tradable shares and non-tradable shares. Listing is an examination and approval system. The stock market is seriously affected by the policy, and individual investors are the majority, so they are vulnerable to the influence of noise. The popularity of behavioral finance provides a new perspective for our research, and the introduction of investor sentiment in behavioral finance leads us to a new explanation for IPO underpricing-a reasonable pricing in the primary market. A high first-day yield due to overpricing in the secondary market. It believes that investors will make decisions with certain characteristics, such as herd mentality, in the face of rapidly changing economic markets and unknown changes. Investors are not completely rational, but susceptible to emotional influence. In this paper, we consider the weakening of IPO underpricing and long-term returns from the perspective of investor sentiment. In the research, investors' sentiment is divided into market investor's emotion and institutional investor's emotion. This is out of the current institutional investor's vigorous development in our country and the consideration that plays a more and more important role in our country. The question: market investor sentiment, Does institutional investor sentiment have an impact on IPO underpricing? Will it have an impact on IPO's long-term earnings? What's the impact? This paper focuses on these issues. In this paper, the principal component analysis method is used in the research, and five indirect indexes are selected for reference: discount rate of closed-end fund, stock turnover rate, IPO number and the first day yield of IPO, referring to the data availability of BW index and the reality of Chinese market. The difference between the price-to-book ratio of the stock that pays dividends and the price-to-book ratio of the stock that does not issue the dividend, which combines these highly relevant explanatory variables into an emotional variable. In addition, correlation analysis and regression analysis are also used. In the aspect of data selection, considering minimizing the impact of the split share structure reform, the data of listing from January 2006 to December 2011 are selected. Finally, the empirical analysis shows that IPO underpricing is positively correlated with market investor sentiment, and institutional investor sentiment is significantly positively correlated with IPO underpricing. Investor sentiment is negatively correlated with interim earnings (1-2 years), but weakly correlated with the third year.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 劉超;韓澤縣;;投資者情緒和上證綜指關(guān)系的實(shí)證研究[J];北京理工大學(xué)學(xué)報(社會科學(xué)版);2006年02期

2 周運(yùn)蘭;;創(chuàng)業(yè)板與中小板市場IPO抑價及其影響因素[J];商業(yè)研究;2010年07期

3 成蓉;徐榮貞;;創(chuàng)業(yè)板上市公司IPO定價機(jī)制研究[J];財會通訊;2012年09期

4 李博;;投資者情緒、新股發(fā)行方式與IPO首日收益率[J];東北大學(xué)學(xué)報(社會科學(xué)版);2010年04期

5 劉紅忠,張f ;投資者情緒與上市公司投資——行為金融角度的實(shí)證分析[J];復(fù)旦學(xué)報(社會科學(xué)版);2004年05期

6 陳共榮;李琳;;IPO前盈余管理與抑價現(xiàn)象的實(shí)證研究[J];系統(tǒng)工程;2006年09期

7 王春峰;趙威;房振明;;新股投資者情緒度量及其與新股價格行為關(guān)系[J];系統(tǒng)工程;2007年07期

8 蔣順才;蔣永明;胡琦;;不同發(fā)行制度下我國新股首日收益率研究[J];管理世界;2006年07期

9 韓立巖;伍燕然;;投資者情緒與IPOs之謎——抑價或者溢價[J];管理世界;2007年03期

10 浦軍;范麗;劉娟;;轉(zhuǎn)軌經(jīng)濟(jì)下IPO發(fā)行抑價問題研究——基于中國A股市場的實(shí)證分析[J];管理世界;2010年07期

，

本文編號：1519336