本文選題：投資者情緒 + IPO�。� 參考：《華南理工大學(xué)》2012年碩士論文

【摘要】：IPO首日收益表現(xiàn)為新股上市首日收益遠(yuǎn)高于其內(nèi)在價(jià)值，傳統(tǒng)（標(biāo)準(zhǔn)）金融從二級(jí)市場(chǎng)的有效性出發(fā)，認(rèn)為IPO首日收益是證券市場(chǎng)為了有效地反應(yīng)上市公司的價(jià)值信息，給一級(jí)市場(chǎng)的發(fā)行者、承銷(xiāo)商以及投資者提供補(bǔ)償而折價(jià)發(fā)行所致的。但是，學(xué)者們?cè)跒橐患?jí)市場(chǎng)的抑價(jià)提供了合理的解釋后隨之而來(lái)的是，IPO公司存在的長(zhǎng)期弱勢(shì)的走向，這種異象并不能完全以抑價(jià)解釋為主要理論的傳統(tǒng)金融得到很好的解釋。因而學(xué)者們開(kāi)始懷疑市場(chǎng)有效這個(gè)前提假設(shè)，并將研究目光轉(zhuǎn)向二級(jí)市場(chǎng)，研究新股的首日收盤(pán)價(jià)是否合理。學(xué)者們嘗試用行為金融學(xué)的理論來(lái)解釋投資者在二級(jí)市場(chǎng)上的行為，發(fā)現(xiàn)投資者的各種非理性情緒對(duì)股價(jià)有明顯的影響。 上世紀(jì)九十年代以后，隨著行為金融學(xué)的興起，學(xué)者們認(rèn)識(shí)到，在世界范圍內(nèi)沒(méi)有證據(jù)表明股票二級(jí)市場(chǎng)是足夠有效的，首日收益還有可能是首日交易價(jià)格過(guò)高而致的。行為金融學(xué)者們認(rèn)為IPO首日收益過(guò)高可以從IPO公司在一級(jí)市場(chǎng)的抑價(jià)發(fā)行，即新股發(fā)行價(jià)格過(guò)低和二級(jí)市場(chǎng)新股上市首日價(jià)格過(guò)度反應(yīng)而造成的溢價(jià)來(lái)解釋。 我國(guó)資本市場(chǎng)經(jīng)過(guò)二十多年的改革與探索，取得了巨大的成就，但是仍然具有超高的IPO首日收益率。這使我們有必要從一級(jí)市場(chǎng)和二級(jí)市場(chǎng)影響投資者情緒的因素來(lái)尋找IPO首日收益過(guò)高的原因。 因此，本文試圖從投資者情緒角度選取投資者在一級(jí)市場(chǎng)和二級(jí)市場(chǎng)的情緒代理變量來(lái)探討IPO首日收益。在理論方面，先簡(jiǎn)介了投資者行為理論，并對(duì)投資者情緒影響IPO首日收益的機(jī)理進(jìn)行了簡(jiǎn)介。在實(shí)證方面，選取了滬深A(yù)股市場(chǎng)2000年9月至2009年9月的758只IPO樣本進(jìn)行了考察，先構(gòu)建了投資者情緒指數(shù)，，然后在此基礎(chǔ)上與IPO首日收益率建立向量自回歸模型來(lái)動(dòng)態(tài)考察不同發(fā)行時(shí)期的投資者情緒與IPO首日收益率之間的動(dòng)態(tài)關(guān)系。結(jié)果發(fā)現(xiàn)在資金申購(gòu)時(shí)期投資者情緒與IPO首日收益之間均表現(xiàn)出比較顯著的動(dòng)態(tài)關(guān)系。而在市值配售時(shí)期，投資者情緒與股票收益之間均表現(xiàn)出不顯著的動(dòng)態(tài)關(guān)系。
[Abstract]:The first day return of IPO is that the first day income of new stock is much higher than its intrinsic value. The traditional (standard) finance starts from the efficiency of the secondary market and thinks that the first day return of IPO is the value information of the listed company in order to reflect the value information of the listed company effectively. Offer at a discount to issuers, underwriters, and investors in the primary market. However, after providing a reasonable explanation for the underpricing in the primary market, the scholars have followed the trend of long-term weakness of IPO companies, which can not be fully explained by traditional finance with underpricing explanation as the main theory. Therefore, scholars begin to doubt the hypothesis of market efficiency, and turn their attention to the secondary market to see if the closing price of new shares on the first day is reasonable. Scholars try to explain the behavior of investors in the secondary market with the theory of behavioral finance, and find that various irrational emotions of investors have a significant impact on the stock price. Since the 1990s, with the rise of behavioral finance, scholars have recognized that there is no worldwide evidence that the secondary stock market is efficient enough, and that first-day returns may be the result of high first-day trading prices. Behavioral finance scholars believe that the high first-day earnings of IPO can be explained by the underpricing of IPO in the primary market, that is, the premium caused by the underpricing of new shares and the overreaction of the first-day price of new shares in the secondary market. After more than 20 years of reform and exploration, China's capital market has made great achievements, but still has a high IPO first-day yield. This makes it necessary to look at the factors that affect investor sentiment in the primary and secondary markets to find out why IPO's first-day earnings are too high. Therefore, this paper attempts to select the investors' emotional agent variables in the primary market and the secondary market from the perspective of investor sentiment to explore the first-day return of IPO. In theory, the theory of investor behavior is introduced, and the mechanism of investor sentiment influencing IPO's first-day return is introduced. In the empirical aspect, we selected 758 IPO samples from September 2000 to September 2009 in Shanghai and Shenzhen A share market, and constructed the investor sentiment index. On this basis, a vector autoregressive model is established with the first day yield of IPO to dynamically investigate the dynamic relationship between investor sentiment and the first day yield of IPO in different issuing periods. The results show that there is a significant dynamic relationship between investor sentiment and IPO's first day return during the period of capital purchase. However, during the period of market value placing, the relationship between investor sentiment and stock returns was not significant.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224;F832.6

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