本文選題：投資者情緒　切入點：IPO抑價　出處：《東北師范大學》2013年碩士論文　論文類型：學位論文

【摘要】：IPO抑價是世界各國證券市場中長期并且普遍存在的一種現(xiàn)象，同時它也一直是金融學中的一個謎團，受到了國內(nèi)外學者的廣泛重視，提出了很多相關(guān)的理論來進行解釋，如信息不對稱理論，中國特殊安排假說等。隨著行為金融學的不斷成熟，越來越多的學者開始從行為金融的角度來解釋IPO抑價現(xiàn)象，本文就從投資者情緒的角度來對IPO抑價現(xiàn)象進行研究。 傳統(tǒng)金融理論認為，新股發(fā)行制度的非市場化、政府干預(yù)過多，，信息的不對稱是IPO抑價的主要原因。但是隨著我國股票市場不斷向市場化方向轉(zhuǎn)變，股票市場在完成股權(quán)分置改革、實行詢價制度之后，這些因素已經(jīng)不再是IPO抑價的主要原因。本文的研究目的就是說明雖然我國的各種發(fā)行定價制度已經(jīng)趨于合理，但是IPO抑價仍然居高不下，由此來證明投資者情緒的存在和研究投資者情緒對IPO抑價的影響程度。 文章首先介紹了IPO抑價的相關(guān)理論，國內(nèi)外的相關(guān)文獻和研究進展，存在的問題等。之后對IPO抑價影響做相關(guān)的實證研究。本文選取了上市首日換手率、市值賬面價值比、消費者預(yù)期指數(shù)作為衡量投資者情緒的指標；用公司年齡、發(fā)行股數(shù)、中簽率來反應(yīng)信息不對稱的程度，搜集了2006-2012年所有在我國A股市場IPO的股票，并對其進行了沒有投資者情緒指標和有投資者情緒指標參與的兩次回歸模型，并對回歸結(jié)果進行分析。通過研究我們發(fā)現(xiàn)，相對于信息不對稱理論和中國特殊制度安排假說，投資者情緒理論能夠從投資者的心理及行為出發(fā)更好地解釋我國的IPO抑價現(xiàn)象。 最后，根據(jù)實證研究的結(jié)果，分別對證券監(jiān)管機構(gòu)、個人投資者、發(fā)行人等提出各項政策建議，旨在通過各方的努力，減小我國的IPO抑價水平，使其符合市場的基本規(guī)律，更好地發(fā)揮融資的功能。
[Abstract]:IPO underpricing is a long-term and widespread phenomenon in the world's securities markets. At the same time, it is also a mystery in finance, which has been widely paid attention to by domestic and foreign scholars, and put forward a lot of relevant theories to explain it. With the development of behavioral finance, more and more scholars begin to explain the phenomenon of IPO underpricing from the perspective of behavioral finance. This paper studies the phenomenon of IPO underpricing from the perspective of investor sentiment. The traditional financial theory holds that the non-marketization of the new issue system, excessive government intervention and asymmetric information are the main reasons for the underpricing of IPO. These factors are no longer the main reasons for the underpricing of IPO after the reform of split share structure and the implementation of inquiry system in the stock market. The purpose of this paper is to explain that although the various pricing systems of issuance in our country have tended to be reasonable, However, IPO underpricing is still high, which proves the existence of investor sentiment and the influence of investor sentiment on IPO underpricing. This paper first introduces the relevant theory of IPO underpricing, domestic and foreign relevant literature and research progress, existing problems, and so on. Then it makes a related empirical study on the influence of IPO underpricing. This paper selects the first day turnover rate, market value book value ratio, and so on. The consumer expectation index is used as an indicator of investor sentiment; the company age, the number of shares issued, and the success rate are used to reflect the degree of information asymmetry, and all IPO stocks in China's A-share market from 2006 to 2012 are collected. Two regression models with no or no investor emotion index are carried out, and the regression results are analyzed. We find that compared with the information asymmetry theory and the hypothesis of China's special institutional arrangement, we find out that the regression model is based on the theory of information asymmetry and the hypothesis of special institutional arrangement in China. The theory of investor sentiment can better explain the phenomenon of IPO underpricing in China from the perspective of investors' psychology and behavior. Finally, according to the results of empirical research, this paper puts forward various policy recommendations to securities regulatory agencies, individual investors, issuers and so on, in order to reduce the IPO underpricing level of our country through the efforts of all parties and make it conform to the basic laws of the market. Better play the function of financing.
【學位授予單位】：東北師范大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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