新股投资者情绪度量及其与新股价格行为关系

A Measure Method of New Issue's Investor Sentiment and the Relationship Between It and New Issue's Price Behaviors

结合现代市场微观结构和行为金融学理论,建立了非对称信息环境下,投资者情绪与新股价格行为关系模型,在此基础上提出了一种新股投资者情绪分析方法。深入研究发现:投资者情绪与新股发行价格、上市初期交易价格和IPO抑价正相关。这表明投资者情绪会导致投资者高估新股价值,发行公司将利用投资者情绪制定较高的发行价格以最大化发行收益,但出于保证发行成功和获得必要的股权分散等考虑,发行价格仍然低于投资者价值认知,从而形成IPO抑价。利用新股发行和分笔交易数据进行实证检验,获得了与理论分析一致的结论。

With the help of modern micro-structure theory and modern behavior finance theory, a model is set up for analyzing the relation between investor sentiment and new issues＇ price behavior under the asymmetric information environment. On the basis of it, a new method of measuring the investor sentiment of new issuers investors is brought forward. It is found during the further study that investor sentiment has the direct relation ship with the issue price, the trade price and IPO underpricing. These indicate that investor sentiment maybe overvalue the value of new issue, issuer will use this point and increase the issue price to maximum the issue revenue, but for other thinks, the issue price is still lower than the investor＇s judgment, and then forms the IPO underpricing. At last, we tested our findings using the high-frequency trading data of Shanghai exchange, and found the same result with the theoretical analysis.