IPO溢价与投资者情绪的实证分析

摘要论文试图通过线性回归模型来解释投资者情绪对我国证券市场上IPO溢价现象的影响，选取社会关注度（NEWS）、新股发行前10只新股的平均溢价率（IR10）、新股发行当日的换手率（TR）、网上申购的中签率（LOTTERY）以及新股发行当月的市场平均市盈率（APE）这5个变量来代表投资者在新股发行首日的情绪。研究结果表明，我国股票市场上IPO溢价的主要原因来自于投资者的非理性投资，除中签率以外，描述投资者情绪的其他代替变量与IPO溢价之间均存在着显著地正向关系，即投资者在面对新股时，投资决策会受到市场气氛、先期经验和社会舆论的巨大影响，市场的乐观情绪会提高投资者对新股的预期，从而形成IPO的高溢价水平。现实中存在许多支持上述假说的经验证据。65951

毕业论文关键词 IPO 溢价率投资者情绪

毕业论文外文摘要

Title IPO Under-Price and Investor Sentiment

Abstract

This paper aims to explain the connection between the IPO under-price in china stock market and the Investor Sentiment within our national condition by equation model, and chooses 5 factors –NEWS、IR10、TR、LOTTERY and APE--to represent the investor sentiment in the first day when the companies were listed in the china stock market. The results show the reason that caused the initial public offering under-price is the irrational investment of investors.There is a positive correlation between the factors which represent the investor sentiment and the IPO issue besides LOTTERY. When investors choose new stocks, their decision will be effected significantly by the market atmosphere、experience and news. The positive sentiment from the stock market is going to enhance the investors’ expection on the new stocks, and then lead to IPO under-price.There are plenty of experienced evidence to support the hypothesis in our life.

Keywords IPO Underpricing Rate Ivestor Sentiment

1 绪论 1

1.1 研究背景 1

1.2 文献回顾 2

1.3 研究定位及论文结构 4

2 IPO溢价及相关概念 5

2.1 IPO溢价及其计算方法 5

2.2 投资者的行为和认知偏差 5

2.3 我国IPO市场投资者乐观情绪的来源 6

3 沪市A股近三年IPO统计数据分析 8

3.1 发行价统计 8

3.2 市盈率统计 8

3.3 发行规模分析 10

3.4 上市企业行业分布 10

3.5 个体投资者对于IPO溢价的认识 11

4 实证分析 11

4.1 模型的构造 11

4.2 变量的选择 12

4.3 实证分析及检验 14

5 结论及建议 17

5.1 结论 IPO溢价与投资者情绪的实证分析:http://www.751com.cn/jingji/lunwen_73696.html