本文關(guān)鍵詞：IPO抑價(jià)與投資者非理性相關(guān)性實(shí)證研究　出處：《東北大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： IPO 非理性投資 行為金融

【摘要】：IPO市場(chǎng)作為上市公司繼續(xù)發(fā)展、融資的重要渠道,是股票二級(jí)市場(chǎng)的基礎(chǔ)。然而,IPO市場(chǎng)存在多個(gè)經(jīng)典金融理論難以解釋的問題。目前國(guó)內(nèi)外對(duì)IPO市場(chǎng)的研究主要集中于IPO長(zhǎng)期弱勢(shì)、IPO抑價(jià)和IPO熱銷市場(chǎng)三個(gè)方面,其中IPO抑價(jià)是行為金融學(xué)者研究的熱門課題。 IPO抑價(jià)是指新股上市首日收盤價(jià)格遠(yuǎn)高于其發(fā)行價(jià)格的現(xiàn)象。根據(jù)有效市場(chǎng)假說,在一個(gè)競(jìng)爭(zhēng)市場(chǎng)中,所有的投資者之間的競(jìng)爭(zhēng)會(huì)使股票價(jià)格與其內(nèi)在價(jià)值相平衡,在股票發(fā)現(xiàn)首日不會(huì)存在明顯的抑價(jià)現(xiàn)象。但是,在實(shí)際股票市場(chǎng)中,股票IPO抑價(jià)現(xiàn)象卻十分普遍。IPO抑價(jià)現(xiàn)象會(huì)阻礙一級(jí)市場(chǎng)發(fā)揮資源配置功能,對(duì)我國(guó)股票市場(chǎng)產(chǎn)生較大的負(fù)面影響。 為了解釋IPO抑價(jià)現(xiàn)象,并為政府決策提供政策建議。首先介紹了相關(guān)的研究意義和背景、研究方法,然后分析國(guó)內(nèi)外的IPO研究現(xiàn)狀,并概括了形成IPO抑價(jià)的主要原因。接著,將股票市場(chǎng)分為上漲、盤整、下降三個(gè)不同形態(tài)期間,選取我國(guó)IPO股票數(shù)據(jù)進(jìn)行分析,采用行為金融學(xué)理論建立回歸分析模型,根據(jù)回歸結(jié)果具體分析了在股票市場(chǎng)處于不同時(shí)期時(shí)造成我國(guó)IPO抑價(jià)的原因。最后,根據(jù)實(shí)證分析結(jié)果提出關(guān)于IPO市場(chǎng)的政策建議及結(jié)論。研究認(rèn)為新股發(fā)行市場(chǎng)上的投資者對(duì)新發(fā)售股票的價(jià)值和價(jià)格的判斷并非企業(yè)自身的條件數(shù)據(jù),而是受到其系統(tǒng)定價(jià)偏差的影響。投資者購(gòu)買新股的原因并非長(zhǎng)期持有,市場(chǎng)上的投機(jī)氣味濃厚。新股發(fā)行市場(chǎng)上投資者過多的投機(jī)行為造成了新股首日的高收盤價(jià)格,對(duì)新股發(fā)行首日的收益率有著十分重大的影響。
[Abstract]:As a listed company to continue the development of the IPO market, an important channel for financing, is the foundation of the stock market two. However, the IPO market is difficult to explain a number of classic financial theory. The current research on the IPO market at home and abroad mainly focus on IPO IPO under long-term weakness, three aspects of price and IPO hot market, including IPO underpricing is a hot research topic in behavioral finance scholars.
IPO underpricing refers to the IPO first day closing price is much higher than the issue price of the phenomenon. According to the efficient market hypothesis, in a competitive market, the competition between all the investors will make the stock price and the intrinsic value of the stock in the first day of discovery phase equilibrium, there will be no obvious underpricing phenomenon. However, in the actual stock market in stock, IPO underpricing phenomenon is very widespread phenomenon of.IPO underpricing will hinder the level of market allocation of resources to play the function, have a greater negative impact on the stock market of our country.
In order to explain the phenomenon of IPO underpricing, and provide policy recommendations for the government decision-making. This paper first introduces the related research background and significance, research methods, and then analyzes the domestic and foreign research status quo of IPO, and summarizes the main reason of the formation of IPO underpricing. Then, the stock market will be divided into rise, consolidation, down three different forms during the analysis and selection of China IPO stock data, using the behavioral finance theory to establish the regression analysis model, according to the results of regression analyses in the stock market in different periods when the causes of China's IPO underpricing. Finally, according to the empirical results of the analysis put forward the policy suggestions and conclusions about IPO market conditions. The research results indicate that the value of data and the price of the IPO market investors to sell shares of the new judgment is not their own, but is affected by the deviation of system pricing. Investors to buy shares and In the long term market, there is a strong speculative smell. Investors' excessive speculation in the new stock market caused the first closing price of new shares, which has a great impact on the first day's yield of new shares.

【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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