本文選題：信息不確定性 + 投資者情緒��； 參考：《武漢大學》2017年碩士論文

【摘要】：2017年中央經濟工作會議和政府工作報告,均強調堅持創(chuàng)新驅動戰(zhàn)略以振興實體經濟。實體經濟的發(fā)展與金融市場息息相關,兩者相互依存,通過金融市場展開融資活動能夠為實體經濟提供發(fā)展所需資金,因此實體經濟失去金融市場的支撐將難以為繼,而金融市場必須服務于實體經濟的發(fā)展才能更加繁榮。股票市場是金融市場中影響最廣泛的一環(huán),而IPO作為股票市場中最引人矚目的部分,能幫助實體經濟解決融資問題。但是,IPO首日高回報和長期低迷的異象長期存在,引發(fā)了市場波動,對金融市場和實體經濟均帶來了負面影響。因此,研究IPO回報對于實體經濟的發(fā)展具有重要的參考價值,有助于促進我國經濟社會健康平穩(wěn)運行。本文回顧了 IPO回報的國內外文獻、梳理相關理論研究,將研究重點集中在IPO首日回報和長期回報兩方面,分析一級市場上市公司信息不確定性與二級市場投資者情緒如何影響IPO首日回報和長期收益,在研究我國IPO市場現(xiàn)狀的基礎上,提出文章的研究假設。本文選取IPO首日超額回報研究首日回報,用超額累積收益衡量IPO長期回報;選取會計信息質量作為信息不確定性的代理變量,衡量一級市場發(fā)行方對新股首發(fā)回報和長期績效的影響;選取反映市場情緒的五個代表性變量生成投資者情緒的代理指標,衡量二級市場投資者對新股首發(fā)回報和長期績效的影響。本文以2009-2015年間在A股發(fā)行上市的996家公司的數(shù)據(jù)為樣本展開IPO首日回報的實證研究,分別研究信息不確定性、投資者情緒對IPO首日回報的影響,根據(jù)投資者情緒的中位數(shù)劃分情緒樂觀組和情緒悲觀組,并生成信息不確定性與投資者情緒的交互項,研究不同投資者情緒下,信息不確定性對新股首發(fā)回報影響的變化;以2009-2012年中國A股市場684家IPO數(shù)據(jù)為樣本研究IPO長期回報,除考察信息不確定性、投資者情緒的影響之外,將新股首日超額回報加入到長期模型中,探究影響IPO長期回報的因素。研究結果顯示:其一,上市公司信息不確定性和投資者情緒,將引發(fā)更高的首發(fā)超額回報;其二,隨著投資者情緒趨于樂觀,首日超額回報受信息不確定性的影響減弱,甚至不再顯著,過熱的投資交易需求是導致新股超額回報的主要原因;當投資者情緒悲觀時,信息不確定對于新股超額回報顯著正相關,推動首日高回報產生的是上市公司的信息不確定性;其三,上市首日超額回報、投資者情緒與IPO長期回報均顯著負相關,但上市公司信息不確定性對長期績效的影響則相關性較低。
[Abstract]:Both the 2017 Central Economic work Conference and the report on the work of the government stressed the importance of innovation-driven strategies to revitalize the real economy. The development of the real economy is closely related to the financial market, and the two are interdependent. Financing activities through the financial market can provide the necessary funds for the development of the real economy, so it will be difficult for the real economy to lose the support of the financial market. And the financial market must serve the development of the real economy in order to be more prosperous. The stock market is the most influential part of the financial market, and IPO, as the most attractive part of the stock market, can help the real economy solve the financing problem. However, the phenomenon of high return and long-term depression on the first day of IPO has long existed, which has caused market volatility and brought negative impact on financial markets and the real economy. Therefore, the study of IPO returns has important reference value for the development of real economy, and is helpful to promote the healthy and stable operation of our country's economy and society. This paper reviews the domestic and foreign literature on IPO returns, combs the relevant theoretical studies, and focuses on the first day return and long-term return of IPO. This paper analyzes how the information uncertainty of the listed companies in the primary market and investor sentiment in the secondary market affect the first-day returns and long-term returns of IPO, and puts forward the research hypotheses on the basis of studying the current situation of the IPO market in China. This paper selects the IPO first day excess return to study the first day return, measures the IPO long-term return by the excess accumulated income, selects the accounting information quality as the agent variable of information uncertainty, To measure the impact of issuers on IPO returns and long-term performance, and select five representative variables reflecting market sentiment to generate proxy indicators of investor sentiment. Measure the impact of secondary market investors on IPO returns and long-term performance. Based on the data of 996 companies listed in A shares from 2009-2015, this paper conducts an empirical study on the first-day return of IPO, and studies the influence of information uncertainty and investor sentiment on the first-day return of IPO. According to the median of investor emotion, the paper divides the optimistic group and the pessimistic group, and generates the interactive terms between information uncertainty and investor emotion, and studies the effect of information uncertainty on IPO return under different investor emotions. Based on the data of 684 IPO in China's A-share market in 2009-2012, the long-term returns of IPO are studied. Besides the influence of information uncertainty and investor sentiment, the first-day excess returns of new shares are added to the long-term model to explore the factors that affect the long-term returns of IPO. The results show that: first, information uncertainty and investor sentiment of listed companies will lead to higher initial excess returns; second, as investor sentiment tends to be optimistic, the first day excess returns will be weakened by information uncertainty. Even less significant, the overheated demand for investment transactions is the main cause of the excess return of new shares; when investors are pessimistic, information uncertainty is significantly positively related to the over-return of new shares. What drives the high return on the first day is the information uncertainty of the listed company. Thirdly, the abnormal return on the first day of listing, investor sentiment and the long-term return of IPO are significantly negative correlation. However, the impact of information uncertainty on long-term performance of listed companies is low.
【學位授予單位】：武漢大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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