商业研究

商业研究

• 财经纵横 • 上一篇    下一篇

IPO破发、投资者情绪与市场反应 ——基于中国A股市场的经验研究

谢汉昌   

  1. 福建商学院 会计系，福州 350012
  • 收稿日期:2017-03-30 出版日期:2017-10-10
  • 作者简介:谢汉昌（1978-），男，福建龙岩人，福建商学院会计系讲师，管理学博士，研究方向：资本市场、财务会计。
  • 基金资助:
    国家自然科学基金项目，项目编号：G0206-71502150；教育部人文社科研究项目青年基金项目，项目编号：14YJC630224；福建省中青年教师教育科研项目，项目编号：JAS14416。

IPO Overpricing, Investor Sentiment and Market Response: An Empirical Study based on China′s A-Share Market

XIE Han-Chang   

  1. Accounting Department，Fujian Business University，Fuzhou 350012, China
  • Received:2017-03-30 Online:2017-10-10

摘要： 我国资本市场频现的IPO破发现象使投资者情绪与投资策略成为行为金融理论关注的对象。本文选择沪深两市2010-2012年654家A股上市公司为样本，分析上市前后股东户数变化和机构投资者持股比例变化，考察投资者对IPO破发的反应。研究发现，IPO破发中小投资者因代表性偏差、损失厌恶与后悔厌恶而产生过度反应，而机构投资者因信息优势和技术经验优势而过度自信以至于产生过度反应；由于投资者过度反应，退出股东的势力压倒进入股东的势力，造成破发股在市场上面临着在股东户数减少和机构投资者持股比例降低情形下新一轮股东的大洗牌。

关键词: IPO破发, 行为金融, 投资者情绪, 市场反应

Abstract: Frequent IPO overpricing makes investor sentiment and investment strategy become the focus of behavioral finance theory in China′s capital market. This paper selects 654 A-share listed companies from 2010 to 2012 in Shanghai and Shenzhen market as samples, analyzes the proportional change in shareholders number and the shareholding proportion of institutional investors before and after IPO, and examines investors′ reaction to IPO overpricing. The study finds that IPO overpricing makes medium and small investors do excessive reaction because of representativeness bias, loss aversion and regret aversion, and institutional investors also overreact due to overconfidence from the advantages of information superiority and technical experience; the investors′ overreaction makes withdraw shareholders more than entry shareholders so that the shares with IPO overpricing face a new round of a major reshuffle of shareholders under the condition that their shareholders number and proportion of institutional investors become less.

Key words: IPO Overpricing, behavioral finance；investor sentiment, market response