明星效应、投资者情绪与新股上市后的过度投机

Star Effect,Investor's Emotion and Overspeculation on Aftermarket Stocks

沿着寻找新股"过度投机"与股票估值"非价值因素"联系的思路,基于"锚定效应"的理论假设,通过建立一个新股上市后短期价格过度投机的模型,分析过度投机的形成机制,并构造测度新股上市后短期价格非理性程度的指标,甄别影响过度投机程度的非理性因素。研究发现,影响短期投资者决策的锚定物为上一个月内已上市新股中单个股票的最好市场表现,说明新股短期投资非理性现象中存在"明星效应",前期上市新股中"明星"股票的表现左右投资者的投资情绪,进而影响新一期的过度投机程度。此外,新股发行制度的诸多改革并未有效影响新股上市后短期非理性投资的现象。

Intending to explore the connection between overspeculation and non-value factors in equity valuation on the basis of hypothesis of anchor effect,we construct an overspeculation model based on a stock＇s short-term aftermarket performance to analyze the mechanism of overspeculation of aftermarket stocks. AMCR measuring aftermarket performance of IPO stocks and negative binomial regression is also adopted to analyze the irrational influences on AMC. Empirical proofs show that instead of the average returns of IPO stocks one month prior to the target IPO stock,the maximum return of the prior IPO stock has a strong effect on the aftermarket performance of the target IPO stock. This phenomenon signifies that＂star effect＂exists in the irrational investment at IPO stocks aftermarket as the star stock inspires the emotion of sensitive investors. Finally,we do not find evidence to support the idea that the reforms in IPO policies have reduced speculations on IPO stocks in aftermarket period.