本文關(guān)鍵詞：投資者情緒與我國(guó)創(chuàng)業(yè)板IPO首日收益率研究　出處：《華僑大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

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【摘要】：IPO首日超額收益，也稱IPO抑價(jià)，是指首次公開(kāi)發(fā)行的股票上市后首日市場(chǎng)交易價(jià)格高于發(fā)行價(jià)格，發(fā)行市場(chǎng)與交易市場(chǎng)出現(xiàn)了較大價(jià)差，導(dǎo)致首次公開(kāi)發(fā)行存在較高的超額收益率。IPO首日超額收益現(xiàn)象是全球金融市場(chǎng)普遍存在的一種金融異象。我國(guó)創(chuàng)業(yè)板市場(chǎng)也存在明顯的IPO首日超額收益現(xiàn)象，截至2012年9月30日，在我國(guó)深圳股票交易所創(chuàng)業(yè)板上市的355只股票中，除去退市的6只股票，共300只股票存在IPO抑價(jià)現(xiàn)象。首批上市的28只股票全部為抑價(jià)發(fā)行，IPO抑價(jià)率均值高達(dá)106.18％；后續(xù)上市并保留下來(lái)的321只股票中，有272只股票存在IPO抑價(jià)現(xiàn)象，IPO抑價(jià)率均值為41.58%。針對(duì)IPO抑價(jià)現(xiàn)象，前人的研究中提出了許多種假說(shuō)進(jìn)行分析研究。但是從國(guó)內(nèi)外的研究來(lái)看，傳統(tǒng)金融理論并不能有效地解釋IPO首日超額收益現(xiàn)象。 本文在回顧前人研究和綜述已有文獻(xiàn)的基礎(chǔ)上，從行為金融學(xué)的投資者情緒理論出發(fā)，對(duì)我國(guó)創(chuàng)業(yè)板IPO首日超額收益現(xiàn)象進(jìn)行理論分析，并通過(guò)利用2009年10月30日至2012年9月30日期間在我國(guó)深圳證券交易所創(chuàng)業(yè)板公開(kāi)發(fā)行并上市的所有股票進(jìn)行實(shí)證分析。本文得出以下結(jié)論：首先，我國(guó)創(chuàng)業(yè)板一級(jí)市場(chǎng)上存在較為狂熱的投資者情緒，，信息不對(duì)稱理論以及過(guò)度自信心理等投資者情緒對(duì)創(chuàng)業(yè)板IPO首日超額收益現(xiàn)象具有一定解釋作用；其次，創(chuàng)業(yè)板二級(jí)市場(chǎng)也存在狂熱的投資者情緒，羊群行為對(duì)創(chuàng)業(yè)板IPO首日超額收益現(xiàn)象具有較好的解釋力；最后，反映二級(jí)市場(chǎng)投資者情緒的上市首日換手率對(duì)創(chuàng)業(yè)板IPO首日超額收益率的解釋能力要比反映一級(jí)市場(chǎng)投資者情緒的網(wǎng)上申購(gòu)中簽率來(lái)的強(qiáng)，因此相對(duì)于一級(jí)市場(chǎng)，來(lái)自二級(jí)市場(chǎng)上的非理性的投資者情緒更有可能是造成創(chuàng)業(yè)板IPO首日超額收益現(xiàn)象的主要因素。
[Abstract]:The first day of IPO excess return, also known as IPO underpricing, refers to the first day after the initial public offering of shares trading price is higher than the issue price, the issue market and the trading market has a large price difference. The phenomenon of excess return on the first day of IPO is a common financial anomaly in the global financial market. There is also an obvious overcharge of IPO in China's gem market. Beneficial phenomenon. As of September 30th 2012, out of the 355 stocks listed on the gem of Shenzhen Stock Exchange, 6 stocks have been delisted. There is a phenomenon of IPO underpricing in 300 stocks. The average underpricing rate of 28 stocks listed in the first batch is as high as 106.18; Of the 321 stocks listed and retained, 272 stocks have IPO underpricing phenomenon. The average price underpricing rate is 41.58. aiming at the IPO underpricing phenomenon. Many hypotheses have been put forward in previous studies, but from the domestic and foreign studies, the traditional financial theory can not effectively explain the phenomenon of IPO first-day excess return. On the basis of reviewing the previous studies and summarizing the existing literatures, this paper makes a theoretical analysis of the phenomenon of IPO's first-day excess return in China's gem based on the investor sentiment theory of behavioral finance. Through the empirical analysis of all the stocks listed on the gem of Shenzhen Stock Exchange from October 30th 2009 to September 30th 2012, this paper draws the following conclusions:. First. There are more fanatical investor emotions in the first level market of gem in our country. The information asymmetry theory and overconfidence psychology can explain the phenomenon of excess return on the first day of gem. Secondly, there is fanatical investor sentiment in the secondary market of gem, and herding behavior has a better explanation for the phenomenon of excess return on the first day of gem IPO. Finally, the rate of turnover on the first day of listing reflects the sentiment of investors in the secondary market. The ability of explaining the excess yield of IPO on the first day of gem is stronger than the rate of successful purchase on the net which reflects the sentiment of investors in the primary market. Compared with the primary market, the irrational investor sentiment from the secondary market is more likely to be the main factor that causes the excess return on the first day of IPO in gem.
【學(xué)位授予單位】：華僑大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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