本文選題：IPO抑價(jià)　切入點(diǎn)：超額收益　出處：《遼寧大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：IPO抑價(jià)現(xiàn)象在各國普遍存在，各國的學(xué)者對其進(jìn)行了大量的研究。早期的研究主要集中于發(fā)行價(jià)定價(jià)過低，認(rèn)為抑價(jià)是發(fā)行人和承銷商主動(dòng)采取的措施以確保股票順利發(fā)行。20世紀(jì)80年代以來，隨著行為金融的發(fā)展，學(xué)者們開始從二級市場尋找抑價(jià)的原因，認(rèn)為是二級市場的定價(jià)過高而非發(fā)行價(jià)定價(jià)過低導(dǎo)致了抑價(jià)。 中國的證券市場存在的時(shí)間短、規(guī)模小，中國的個(gè)人投資者由于缺少足夠的金融知識和相關(guān)經(jīng)驗(yàn)，在投資決策的選擇上更容易受到情緒的左右，從而影響投資者的交易行為，，進(jìn)而影響股票價(jià)格。同時(shí)這種情緒很容易被發(fā)行人、承銷商和機(jī)構(gòu)投資者利用，以獲取超額的IPO首日收益。 因此，本文結(jié)合中國證券市場的特點(diǎn)，對投資者情緒如何影響IPO階段的價(jià)格進(jìn)行了分析，并以中簽率、前5只IPO平均收益率、換手率作為投資者情緒的代理變量，分析了其對IPO高抑價(jià)現(xiàn)象的影響。數(shù)據(jù)采用2005至2011年滬市和中小板的IPO股票，將其中的破發(fā)股票剔除，分別對滬市、中小板、破發(fā)股進(jìn)行分析。本文在實(shí)證部分，引入了除情緒因素之外的一個(gè)新的解釋變量“開盤超額收益率”，以分析開盤價(jià)與抑價(jià)率之間的關(guān)系。 本文共分五個(gè)部分，第一部分對投資者情緒進(jìn)行了詳細(xì)的闡述；第二部分分析了IPO階段投資情緒的影響；第三部分對中國IPO市場的特點(diǎn)進(jìn)行了說明；第四部分結(jié)合相關(guān)數(shù)據(jù)對投資者情緒與IPO抑價(jià)之間的關(guān)系進(jìn)行了實(shí)證分析；第五部分結(jié)合分析的結(jié)果給出了政策建議。
[Abstract]:The phenomenon of IPO underpricing exists in many countries, and scholars in many countries have done a lot of research on it. It is considered that underpricing is an active measure taken by issuers and underwriters to ensure the smooth issuance of stocks. Since 80s, with the development of behavioral finance, scholars have begun to look for the reasons for underpricing in the secondary market. It is believed that the underpricing in the secondary market is caused by the overpricing rather than the low issue price. China's securities market has been in existence for a short time and on a small scale. Due to the lack of sufficient financial knowledge and relevant experience, individual investors in China are more susceptible to emotional influence on their choice of investment decisions, thus affecting their trading behavior. This sentiment is easily exploited by issuers, underwriters and institutional investors to earn excess IPO first-day earnings. Therefore, combining with the characteristics of China's securities market, this paper analyzes how investor sentiment affects the price of IPO stage, and takes the success rate, the average yield of the top five IPO and the turnover rate as proxy variables of investor sentiment. This paper analyzes its influence on the phenomenon of high underpricing of IPO. The data adopt the IPO stocks of Shanghai stock market and small and medium-sized board from 2005 to 2011, and eliminate the broken stocks, and analyze the Shanghai stock market, the small and medium-sized board and the broken stock respectively. In order to analyze the relationship between opening price and underpricing, a new explanatory variable, "open excess return", is introduced in addition to emotional factors. This paper is divided into five parts, the first part of the detailed description of investor sentiment, the second part of the analysis of the impact of the IPO stage of investment sentiment, the third part of the characteristics of China's IPO market has been explained; Part 4th makes an empirical analysis of the relationship between investor sentiment and IPO underpricing in combination with relevant data; part 5th combines with the results of the analysis to give policy recommendations.
【學(xué)位授予單位】：遼寧大學(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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