發(fā)布時間：2018-03-07 07:22

  本文選題：IPO　切入點：首日超額收益　出處：《浙江大學》2008年碩士論文　論文類型：學位論文

【摘要】： IPO首日超額收益是困擾學術(shù)界多年的金融異象之一,對于它的解釋可以分成兩種角度:一種是一級市場發(fā)行時定價過低,另一種是二級市場上首日收盤價虛高。在我國IPO研究領(lǐng)域內(nèi),基于以往嚴格的發(fā)行管制,學者們普遍認為引起我國IPO首日超額收益的主要原因是,非市場化的新股發(fā)行制度使得IPO在一級市場上發(fā)行時定價過低,從而造成了我國特別異常的IPO首日超額收益。但是隨著發(fā)行監(jiān)管部門對新股發(fā)行制度的改革,我國的新股發(fā)行制度已經(jīng)在市場化的道路上前進了一大步,因此文章懷疑股權(quán)分置改革、實行詢價制后,發(fā)行制度使一級市場定價過低已經(jīng)不是我國IPO首日超額收益的主要原因。利用隨機前沿方法對2006年6月5日至2008年1月31日發(fā)行并上市的A股進行定價效率檢驗,分析表明這段時期內(nèi)我國新股的定價效率已經(jīng)趨于合理,但是IPO首日超額收益仍居高不下。因此針對我國投資者投機心態(tài)嚴重的特點,從行為金融學的角度,進一步研究投資者情緒對我國二級市場上首日收盤價的影響才更符合現(xiàn)實情況。 然后文章對我國投資者情緒的來源和表現(xiàn)進行分析,認為我國投資者對IPO有尋求暴富心理、過度自信以及羊群效應嚴重的情緒特點。在此基礎(chǔ)上將我國新股上市首日的樂觀投資者分為狂熱投資者和正反饋交易者,并利用DHS模型和DSSW模型對這兩種情緒投資者對IPO首日收盤價的影響機制進行分析�；趦蓚�模型,文章認為在新股上市首日之初,狂熱投資者出于對新股的極度樂觀,對新股有極大的需求,使得新股的交易價格偏離了發(fā)行價。接下來,正反饋交易者在觀察到新股價格上漲后,也加入到對新股的需求中,從而使新股上市首日的收盤價進一步偏離了真實價值。但是隨著公共信息的不斷到來,新股的價格在長期來看會逐漸回歸到基本面。 文章以2006年6月5日至2008年1月31日發(fā)行并上市的A股為樣本,選取了相應的情緒代理指標用于表征狂熱投資者和正反饋交易者,通過相關(guān)性分析和多元回歸分析發(fā)現(xiàn),IPO首日超額收益隨投資者的狂熱程度和正反饋程度增加而增加,并且與IPO的一年長期超額收益負相關(guān)。總體實證研究進一步表明,投資者情緒是引起我國IPO首日超額收益的主要原因。此外,通過主板和中小板的比較、行業(yè)間的比較,也證明了投資者對于中小板IPO的情緒更為狂熱,對部分行業(yè)IPO的情緒更為高漲,相應的IPO首日超額收益也更高�；谝陨涎芯�,文章最后提出應著重培養(yǎng)投資者健康的投資心態(tài)以提高我國IPO市場的資源配置效率。
[Abstract]:The first day of IPO excess return is one of the financial anomalies that haunt the academic circles for many years. The explanation for it can be divided into two angles: one is that the pricing of the primary market is too low when it is issued. The other is the false closing price of the first day in the secondary market. In the field of IPO research in China, based on the strict issuance control in the past, scholars generally believe that the main reasons for the excess return on the first day of IPO in China are, The non-market-oriented new issue system makes the pricing of IPO on the primary market too low, which results in the abnormal first day excess return of IPO in China. However, with the reform of the new issue system, The new issue system in our country has made a big step forward on the road of marketization. Therefore, the article suspects that the reform of split share structure, after the implementation of the inquiry system, The underpricing in the primary market is not the main reason for the first day excess return of IPO in China. The pricing efficiency of A shares issued and listed from June 5th 2006 to January 31st 2008 is tested by using the stochastic frontier method. The analysis shows that the pricing efficiency of new shares in China has become more and more reasonable in this period, but the excess return of IPO on the first day is still high. Therefore, in view of the serious characteristics of investors' speculative mentality in China, from the point of view of behavioral finance, Further study on the impact of investor sentiment on the first day closing price in the secondary market is more in line with the reality. Then this paper analyzes the origin and performance of investor sentiment in China, and concludes that Chinese investors have the psychology of seeking to become rich in IPO. On the basis of this, the optimistic investors on the first day of IPO in China are divided into enthusiastic investors and positive feedback traders. Using DHS model and DSSW model to analyze the influence mechanism of these two kinds of emotional investors on the closing price of IPO on the first day. Based on the two models, the paper thinks that at the beginning of the first day of new stock listing, the fanatical investors are extremely optimistic about the new shares. There is a huge demand for new shares, which causes the trading price of new shares to deviate from the issue price. Next, positive feedback traders add to the demand for new shares after they have observed an increase in the price of new shares. As a result, the closing price of the first day of IPO deviates further from the real value. But with the coming of public information, the price of new stock will gradually return to the fundamental aspect in the long run. Taking A shares issued and listed from June 5th 2006 to January 31st 2008 as samples, this paper selects the corresponding emotional proxy index to represent the enthusiastic investors and positive feedback traders. Through correlation analysis and multiple regression analysis, it is found that the first day excess return of IPO increases with the increase of investor fanaticism and positive feedback, and is negatively correlated with the one-year long term excess return of IPO. Investor sentiment is the main reason for the first day excess return of IPO in China. In addition, the comparison between main board and small board, and the comparison among industries, also proves that investors' sentiment towards IPO on small and medium-sized board is more fanatical. On the basis of the above research, this paper puts forward that we should focus on cultivating investors' healthy investment mentality in order to improve the efficiency of resource allocation in IPO market of our country.
【學位授予單位】：浙江大學
【學位級別】：碩士
【學位授予年份】：2008
【分類號】：F832.51

【引證文獻】

相關(guān)期刊論文 前1條

1 趙進文;李計花;;中國創(chuàng)業(yè)板IPO首日超額收益研究[J];經(jīng)濟管理;2010年09期

相關(guān)碩士學位論文 前7條

1 陳維維;開放式基金流動與股票收益及波動的關(guān)聯(lián)研究[D];南京財經(jīng)大學;2010年

2 劉劍敏;我國創(chuàng)業(yè)板IPO定價研究[D];東北財經(jīng)大學;2010年

3 程穎博;投資者情緒對創(chuàng)業(yè)板IPO首日超常收益的影響研究[D];哈爾濱工業(yè)大學;2011年

4 姚云剛;基于行為金融的IPO初始收益率研究[D];西南交通大學;2009年

5 金田;異質(zhì)信念、投資者情緒與AH股折溢價的關(guān)系[D];浙江大學;2010年

6 郭晨鳴;IPO重啟首日超額收益實證分析[D];安徽大學;2010年

7 江宵;投資者情緒對我國IPO首日超額收益的影響研究[D];西南財經(jīng)大學;2012年

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本文編號：1578450