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

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【摘要】：IPO首日超額收益，也稱IPO抑價，是指首次公開發(fā)行的股票上市后首日市場交易價格高于發(fā)行價格，發(fā)行市場與交易市場出現(xiàn)了較大價差，導致首次公開發(fā)行存在較高的超額收益率。IPO首日超額收益現(xiàn)象是全球金融市場普遍存在的一種金融異象。我國創(chuàng)業(yè)板市場也存在明顯的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抑價現(xiàn)象。首批上市的28只股票全部為抑價發(fā)行，IPO抑價率均值高達106.18％；后續(xù)上市并保留下來的321只股票中，有272只股票存在IPO抑價現(xiàn)象，IPO抑價率均值為41.58%。針對IPO抑價現(xiàn)象，前人的研究中提出了許多種假說進行分析研究。但是從國內(nèi)外的研究來看，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的基礎上，從行為金融學的投資者情緒理論出發(fā)，對我國創(chuàng)業(yè)板IPO首日超額收益現(xiàn)象進行理論分析，并通過利用2009年10月30日至2012年9月30日期間在我國深圳證券交易所創(chuàng)業(yè)板公開發(fā)行并上市的所有股票進行實證分析。本文得出以下結論：首先，我國創(chuàng)業(yè)板一級市場上存在較為狂熱的投資者情緒，，信息不對稱理論以及過度自信心理等投資者情緒對創(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)板二級市場也存在狂熱的投資者情緒，羊群行為對創(chuàng)業(yè)板IPO首日超額收益現(xiàn)象具有較好的解釋力；最后，反映二級市場投資者情緒的上市首日換手率對創(chuàng)業(yè)板IPO首日超額收益率的解釋能力要比反映一級市場投資者情緒的網(wǎng)上申購中簽率來的強，因此相對于一級市場，來自二級市場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.
【學位授予單位】：華僑大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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