基于BAPM模型的IPO首日超額收益實證研究
發(fā)布時間：2018-12-10 19:29
【摘要】：作為傳統(tǒng)金融理論的核心,資本資產(chǎn)定價模型(CAPM)的提出為資產(chǎn)定價研究提供了科學、嚴密的理論研究體系。它基于有效市場假說理論(EMH),認為非理性投資者并不會影響資產(chǎn)的市場價格。但是,隨后各種金融異象的存在使得資本資產(chǎn)定價模型受到了越來越多的質(zhì)疑。 為了更好的解釋金融市場中的特殊現(xiàn)象,學者們嘗試著從行為財務角度展開研究。行為資產(chǎn)定價模型(BAPM)是行為財務理論實證研究層面的代表,它不再將投資者假設為理性人,揭示了股票市場上投資者普遍存在認知風險的現(xiàn)實,使得BAPM模型中的行為β在解釋股市異象上比CAPM模型中的傳統(tǒng)β更加有效。 一直以來,IPO首日超額收益問題都是與傳統(tǒng)的標準金融學相違背的“謎”。對此進行的早期研究是以市場有效為前提的,但是IPO首日異常回報率和長期弱勢表現(xiàn)使得這種解釋并不能很好地解決這一特殊現(xiàn)象。研究者們開始嘗試從行為財務學的角度來解釋投資者的行為,發(fā)現(xiàn)了投資者的非理性行為對股價有明顯影響。在我國股票市場中,中小投資者所占比例較高,這使得中小投資者的認知偏差和非理性行為對股價的影響更加突出。 本文從行為財務的角度出發(fā),將行為資產(chǎn)定價模型(BAPM)引入到中國的IPO市場,運用實證的方法對我國IPO首日超額收益問題作出解釋。首先在理論方面介紹了IPO首日超額收益相關研究成果及行為財務理論,并對傳統(tǒng)資本資產(chǎn)定價模型(CAPM)和行為資本資產(chǎn)定價模型(BAPM)進行了詳細介紹。在實證方面,選取了2009年6月1日至2012年11月30日期間100家A股IPO企業(yè)作為樣本,在構建動量指數(shù)(DVI)的基礎上進行BAPM和CAPM中β值的比較和噪聲交易者風險(NTR)的衡量。 通過相關分析檢驗,我國A股IPO市場普遍存在著“噪聲”和噪聲交易,在一定程度上影響了正常的收益率的獲得,導致了IPO首日收益率虛高。通過比較,發(fā)現(xiàn)行為β在解釋股票收益率時比傳統(tǒng)β更加有效,這也就意味著,在我國IPO市場不斷變動和完善的狀況下,使用行為資本資產(chǎn)定價模型比傳統(tǒng)資本資產(chǎn)定價模型更加適合和有效。
[Abstract]:As the core of traditional financial theory, capital asset pricing model (CAPM) provides a scientific and rigorous theoretical research system for asset pricing research. Based on the efficient Market hypothesis (EMH),) theory, it argues that irrational investors do not affect the market price of assets. However, the existence of various financial anomalies makes the capital asset pricing model more and more questionable. In order to better explain the special phenomenon in the financial market, scholars try to conduct the research from the perspective of behavioral finance. The behavioral asset pricing model (BAPM) is the representative of the empirical study of behavioral finance theory. It no longer assumes investors as rational people, which reveals the reality that investors generally have cognitive risks in the stock market. The behavior 尾 in the BAPM model is more effective than the traditional 尾 in the CAPM model in explaining the anomaly of the stock market. All along, the IPO's first day of excess return has been a mystery that runs counter to traditional standard finance. The early research on this is based on market efficiency, but the abnormal rate of return on the first day of IPO and long-term weak performance make this explanation not very good to solve this special phenomenon. Researchers began to try to explain the behavior of investors from the perspective of behavioral finance, and found that the irrational behavior of investors has a significant impact on stock prices. In China's stock market, the proportion of small and medium-sized investors is high, which makes the cognitive bias and irrational behavior of small and medium-sized investors more prominent. From the point of view of behavioral finance, this paper introduces the behavioral asset pricing model (BAPM) into the IPO market in China, and uses the empirical method to explain the problem of the first-day excess return of IPO in China. Firstly, the paper introduces the research results of IPO's first-day excess return and behavioral finance theory, and introduces the traditional capital asset pricing model (CAPM) and the behavioral capital asset pricing model (BAPM) in detail. From June 1, 2009 to November 30, 2012, 100 A-share IPO companies were selected as samples to compare the 尾 value between BAPM and CAPM and measure the risk of noise trader (NTR) on the basis of constructing momentum index (DVI). Through correlation analysis and test, there are "noise" and noise trading in China's A-share IPO market, which to some extent affects the normal rate of return and leads to the false high first day return rate of IPO. By comparison, it is found that behavior 尾 is more effective than traditional 尾 in explaining stock return, which means that under the condition of constant change and perfection of IPO market in our country, The behavioral capital asset pricing model is more suitable and effective than the traditional capital asset pricing model.
【學位授予單位】：遼寧大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F830.42;F832.51
本文編號：2371083
[Abstract]:As the core of traditional financial theory, capital asset pricing model (CAPM) provides a scientific and rigorous theoretical research system for asset pricing research. Based on the efficient Market hypothesis (EMH),) theory, it argues that irrational investors do not affect the market price of assets. However, the existence of various financial anomalies makes the capital asset pricing model more and more questionable. In order to better explain the special phenomenon in the financial market, scholars try to conduct the research from the perspective of behavioral finance. The behavioral asset pricing model (BAPM) is the representative of the empirical study of behavioral finance theory. It no longer assumes investors as rational people, which reveals the reality that investors generally have cognitive risks in the stock market. The behavior 尾 in the BAPM model is more effective than the traditional 尾 in the CAPM model in explaining the anomaly of the stock market. All along, the IPO's first day of excess return has been a mystery that runs counter to traditional standard finance. The early research on this is based on market efficiency, but the abnormal rate of return on the first day of IPO and long-term weak performance make this explanation not very good to solve this special phenomenon. Researchers began to try to explain the behavior of investors from the perspective of behavioral finance, and found that the irrational behavior of investors has a significant impact on stock prices. In China's stock market, the proportion of small and medium-sized investors is high, which makes the cognitive bias and irrational behavior of small and medium-sized investors more prominent. From the point of view of behavioral finance, this paper introduces the behavioral asset pricing model (BAPM) into the IPO market in China, and uses the empirical method to explain the problem of the first-day excess return of IPO in China. Firstly, the paper introduces the research results of IPO's first-day excess return and behavioral finance theory, and introduces the traditional capital asset pricing model (CAPM) and the behavioral capital asset pricing model (BAPM) in detail. From June 1, 2009 to November 30, 2012, 100 A-share IPO companies were selected as samples to compare the 尾 value between BAPM and CAPM and measure the risk of noise trader (NTR) on the basis of constructing momentum index (DVI). Through correlation analysis and test, there are "noise" and noise trading in China's A-share IPO market, which to some extent affects the normal rate of return and leads to the false high first day return rate of IPO. By comparison, it is found that behavior 尾 is more effective than traditional 尾 in explaining stock return, which means that under the condition of constant change and perfection of IPO market in our country, The behavioral capital asset pricing model is more suitable and effective than the traditional capital asset pricing model.
【學位授予單位】：遼寧大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F830.42;F832.51
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