基于投资者情绪的IPO首日超额收益和长期绩效研究

Research on IPO First-day Excess Return and the Long-term Performance Based on the Mood of the Investors

从一级市场抑价和二级市场溢价两个方面分析IPO首日超额收益的形成机理。通过随机前沿方法研究一级市场定价效率,数据表明,新股定价效率达到99%,并不存在故意折价现象。同时应用多元回归模型分析投资者情绪和财务指标与溢价率的关系,研究表明,投资者情绪指标与IPO溢价率显著相关。通过长期绩效进行再检验,结果表明,投资者情绪因素造成了一定的价格泡沫,随着投资者对新股的认识趋于理性,股票价格逐渐回归正常。因此,新股的首日超额收益主要来自于二级市场投资者的非理性行为。针对该实证结果提出相关对策建议。

This paper analyzes the formation mechanism of the IPO first - day excess return from two aspects including first market underpricing and secondary market overpricing. Stochastic frontier method is used to study the price efficiency of the first market. Results show that there is no deliberate underpricing and the price efficiency reaches 99.9%. Meanwhile, multi - regression model is used to analyze the relationship between the mood of investors and accounting index and overpricing rate. The research shows that the mood indicator of investors significantly correlated with IPO overpricing rate. Long -term performance is used to make re -examination, and the re- sults show that the mood factors of investors lead to certain price bubble. However, when investors become more rational towards new shares, share price returns to the normal level. Therefore, most of the IPO first - day excess return can be attributed to the irrational behavior of the investors in secondary market. Suggestions are put forward based on the findings.