投資者情緒與我國(guó)創(chuàng)業(yè)板IPO首日收益研究
發(fā)布時(shí)間：2019-03-10 21:50
【摘要】：IPO首日收益異常,是現(xiàn)代金融學(xué)研究的十大謎團(tuán)之一,一直廣受理論實(shí)務(wù)部門(mén)的關(guān)注。我國(guó)創(chuàng)業(yè)板市場(chǎng)于2009年10月30日正式成立,首批掛牌交易的28支新股首日平均漲幅高達(dá)106%。研究我國(guó)創(chuàng)業(yè)板市場(chǎng)新股首日收益的來(lái)源及形成機(jī)理,對(duì)于分析創(chuàng)業(yè)板新股發(fā)行效率、定價(jià)影響因素、股價(jià)未來(lái)走勢(shì)以及發(fā)行制度改革后的成效都有著積極的意義。 IPO首日收益是以新股在一、二級(jí)市場(chǎng)上的相對(duì)價(jià)差表現(xiàn)的,發(fā)行定價(jià)偏低和上市首日交易價(jià)格虛高都是影響IPO首日收益的原因,且皆與其成正相關(guān)關(guān)系。因此本文結(jié)合投資者情緒對(duì)IPO發(fā)行價(jià)格和交易價(jià)格分別研究,綜合探討我國(guó)IPO首日收益的形成過(guò)程。 本文以2009年10月—2011年4月期間在創(chuàng)業(yè)板上市的195家IPO公司為樣本,利用公司價(jià)值變量和隨機(jī)邊界模型檢驗(yàn)IPO發(fā)行定價(jià)是否偏低,結(jié)果顯示：我國(guó)創(chuàng)業(yè)板IPO發(fā)行價(jià)格不存在定價(jià)上邊界,存在定價(jià)下邊界,即新股發(fā)行定價(jià)沒(méi)有系統(tǒng)性偏低,甚至部分新股定價(jià)偏高。隨即構(gòu)建模型分析新股申購(gòu)需求與前一月的新股上市首日收益的關(guān)系,結(jié)果呈顯著的正相關(guān)關(guān)系,以此證明了投資者情緒在一級(jí)市場(chǎng)上的存在性。進(jìn)一步發(fā)現(xiàn)投資者情緒對(duì)發(fā)行定價(jià)具有顯著同向影響,即當(dāng)市場(chǎng)情緒樂(lè)觀時(shí)將提高IPO發(fā)行定價(jià),當(dāng)市場(chǎng)情緒悲觀時(shí)將降低IPO的發(fā)行定價(jià)。結(jié)合我國(guó)實(shí)際情況得出結(jié)論：我國(guó)一級(jí)市場(chǎng)上樂(lè)觀的情緒申購(gòu)者通過(guò)間接提高新股發(fā)行定價(jià)的方式降低了IPO首日收益。 我國(guó)股票二級(jí)市場(chǎng)存在嚴(yán)格的賣(mài)空限制,創(chuàng)業(yè)板成立時(shí)問(wèn)短,股票供給少,進(jìn)一步削弱賣(mài)方力量,使得參與新股首日交易的狂熱情緒投資者能夠推高首日交易價(jià)格,從而產(chǎn)生正向首日超額收益。以上述195家IPO公司為樣本,控制公司價(jià)值變量和宏觀環(huán)境變量的影響,實(shí)證結(jié)果表示：投資者情緒對(duì)IPO首日收益有顯著的正向作用,同時(shí)發(fā)現(xiàn)公司價(jià)值變量對(duì)IPO首日收益的解釋能力欠佳,說(shuō)明上市首日二級(jí)市場(chǎng)的情緒投資者才是導(dǎo)致我國(guó)創(chuàng)業(yè)板新股一、二級(jí)市場(chǎng)之間存在高額價(jià)差的主要原因。 本文的研究結(jié)果表明,投資者情緒廣泛存在于新股發(fā)行的、二級(jí)市場(chǎng),IPO首日收益的大小取決于兩級(jí)市場(chǎng)上投資者情緒的綜合作用。一級(jí)市場(chǎng)存在的投資者情緒拉低了IPO首日的真實(shí)收益。即使首日收益為零的情況下,投資者情緒的影響仍有可能存在。因此,IPO首日收益的相對(duì)減少不是衡量新股發(fā)行制度改革的績(jī)效之一；要提高市場(chǎng)效率,必須建立一、二級(jí)市場(chǎng)情緒導(dǎo)出機(jī)制。
[Abstract]:The abnormal first-day earnings of IPO is one of the ten mysteries of modern finance research, which has been paid close attention to by the theoretical and practical departments. China's gem market was officially established on October 30, 2009, with 28 new shares on the first day of trading rising as much as 106 percent on average. The research on the origin and formation mechanism of the first-day earnings of the new shares in the gem market of our country is of positive significance to the analysis of the issuing efficiency, the factors influencing the pricing, the future trend of the stock price and the results of the reform of the issuance system. The first-day earnings of IPO are represented by the relative price difference of new shares in the first and secondary markets. The low pricing of the issue and the false high of the trading price on the first day of listing are the reasons that affect the first-day earnings of the IPO, and all of them are positively correlated with the first-day earnings of the first day of the IPO. Therefore, this paper studies the issue price and transaction price of IPO in combination with investor sentiment, and comprehensively discusses the formation process of the first-day return of IPO in China. Taking 195 IPO companies listed on the gem from October 2009 to April 2011 as samples, this paper uses company value variables and stochastic boundary model to test whether the pricing of IPO issue is low or not. The results show that there is no upper boundary and lower boundary in the pricing of IPO in China's gem, that is, the pricing of new shares is not systemically low, and even some new shares are overpriced. Then a model is built to analyze the relationship between the demand for new stock requisition and the first day return of the new stock market in the previous month. The results show a significant positive correlation, which proves the existence of investor sentiment in the primary market. It is further found that investor sentiment has a significant co-effect on issue pricing, that is, when market sentiment is optimistic, IPO issue pricing will be increased, and when market sentiment is pessimistic, the issue price of IPO will be reduced. Combined with the actual situation of our country, it is concluded that the optimistic emotional requisitioners in the primary market of our country reduce the first day profit of IPO by indirectly increasing the pricing of the issue of new shares. There are strict short selling restrictions in China's secondary stock market, and the gem is short at the time of its establishment and the stock supply is small, which further weakens the seller's strength and enables fanatical investors who participate in the first day of trading of new shares to push up the first day trading price. Resulting in positive first-day excess returns. Taking the 195 IPO companies as samples to control the impact of company value variables and macro-environment variables, the empirical results show that investor sentiment has a significant positive effect on the first-day earnings of IPO. At the same time, it is found that the company value variable has a poor ability to explain the first day earnings of IPO, which shows that the emotional investors in the secondary market on the first day of listing are the main reasons for the high price difference between the secondary market and the new stock market in China's gem. The results of this study show that investor sentiment exists widely in the secondary market, and the size of the first-day return of IPO depends on the comprehensive role of investor sentiment in the two-tier market. Investor sentiment in the primary market has pushed down IPO's real earnings on its first day. Even with zero first-day earnings, the impact of investor sentiment may still exist. Therefore, the relative decrease in the first-day earnings of IPO is not one of the measures of the performance of the reform of the new stock issuance system; to improve the market efficiency, it is necessary to establish the first and second-level market sentiment export mechanism.
【學(xué)位授予單位】：南京師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224
本文編號(hào)：2438065
[Abstract]:The abnormal first-day earnings of IPO is one of the ten mysteries of modern finance research, which has been paid close attention to by the theoretical and practical departments. China's gem market was officially established on October 30, 2009, with 28 new shares on the first day of trading rising as much as 106 percent on average. The research on the origin and formation mechanism of the first-day earnings of the new shares in the gem market of our country is of positive significance to the analysis of the issuing efficiency, the factors influencing the pricing, the future trend of the stock price and the results of the reform of the issuance system. The first-day earnings of IPO are represented by the relative price difference of new shares in the first and secondary markets. The low pricing of the issue and the false high of the trading price on the first day of listing are the reasons that affect the first-day earnings of the IPO, and all of them are positively correlated with the first-day earnings of the first day of the IPO. Therefore, this paper studies the issue price and transaction price of IPO in combination with investor sentiment, and comprehensively discusses the formation process of the first-day return of IPO in China. Taking 195 IPO companies listed on the gem from October 2009 to April 2011 as samples, this paper uses company value variables and stochastic boundary model to test whether the pricing of IPO issue is low or not. The results show that there is no upper boundary and lower boundary in the pricing of IPO in China's gem, that is, the pricing of new shares is not systemically low, and even some new shares are overpriced. Then a model is built to analyze the relationship between the demand for new stock requisition and the first day return of the new stock market in the previous month. The results show a significant positive correlation, which proves the existence of investor sentiment in the primary market. It is further found that investor sentiment has a significant co-effect on issue pricing, that is, when market sentiment is optimistic, IPO issue pricing will be increased, and when market sentiment is pessimistic, the issue price of IPO will be reduced. Combined with the actual situation of our country, it is concluded that the optimistic emotional requisitioners in the primary market of our country reduce the first day profit of IPO by indirectly increasing the pricing of the issue of new shares. There are strict short selling restrictions in China's secondary stock market, and the gem is short at the time of its establishment and the stock supply is small, which further weakens the seller's strength and enables fanatical investors who participate in the first day of trading of new shares to push up the first day trading price. Resulting in positive first-day excess returns. Taking the 195 IPO companies as samples to control the impact of company value variables and macro-environment variables, the empirical results show that investor sentiment has a significant positive effect on the first-day earnings of IPO. At the same time, it is found that the company value variable has a poor ability to explain the first day earnings of IPO, which shows that the emotional investors in the secondary market on the first day of listing are the main reasons for the high price difference between the secondary market and the new stock market in China's gem. The results of this study show that investor sentiment exists widely in the secondary market, and the size of the first-day return of IPO depends on the comprehensive role of investor sentiment in the two-tier market. Investor sentiment in the primary market has pushed down IPO's real earnings on its first day. Even with zero first-day earnings, the impact of investor sentiment may still exist. Therefore, the relative decrease in the first-day earnings of IPO is not one of the measures of the performance of the reform of the new stock issuance system; to improve the market efficiency, it is necessary to establish the first and second-level market sentiment export mechanism.
【學(xué)位授予單位】：南京師范大學(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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