IPO、市场有效与行为金融

【作者】 王斌；

【导师】 俞乔；

【作者基本信息】 复旦大学 ， 财务金融系， 2005， 博士

【副题名】中国证券市场实证研究

【摘要】 IPO市场涉及政府监管部门、各类中介机构、上市公司、投资者等众多市场参与主体,是联系企业和投资者的纽带;是上市公司融资的重要渠道;是二级市场存在和发展的基础。因此,对一级市场进行研究具有重要意义。然而,时至今日,国内关于一级市场的研究大多局限于使用中国一级市场数据以验证西方理论,从而提高西方理论在中国运用的信度,较少考虑中国特有的市场环境和西方相关理论存在和发展的前提条件。本文的目的正是为了填补国内这一研究领域的不足和空白。 本文共分四部分: 第一部分:首先从上市动机及上市时机选择、IPO发行&分配机制、IPO定价、“Hot issues”市场、发行后二级市场定价、交易及长期股价表现不佳五个方面对国外学者在IPO领域的相关研究成果进行综述。然后,我们对国内学者的相关研究成果进行回顾。在此基础上,我们指出国外理论在中国市场的适用性和国内学者的研究不足并提出我们的研究方向和重点。 第二部分:首先对有效市场假说和现代金融理论进行回顾并指出金融市场并非是完全有效——市场存在大量的“异常现象”。在此基础上我们对中国IPO市场的有效性进行实证研究。对IPO市场有效性的实证研究具有重要意义,因为市场是否有效直接决定国内学者的研究基础以及国外有关理论在中国的适用性。实证研究结果表明中国IPO市场尚未达到弱势有效,这在一定程度上推翻了国内学者在该领域的有关研究结论。 第三部分:本章侧重于西方行为金融理论和中国行为金融方面的实证研究成果在中国IPO市场的实际运用。中国投资者在特有的封闭证券市场中存在各种认知偏差和非理性行为,特别是框架效应和锚定心理将会对IPO公司二级市场定价产生重要影响。此外,投资者存在的其它认知偏差和非理性行为以及社会的交互作用在IPO周期性现象和二级市场定价中会产生较大的影响。 第四部分:首先对中国IPO市场的周期性现象进行研究,研究发现中国IPO公司数量和上市首日收益率具有明显的周期性特点且IPO公司数量和上市首日收益率存在相关性。然后讨论“噪声交易者”在“hot issues”市场形成中的作用,在此基础上我们提出了IPO市场周期性的理论模型并建立IPO市场的需求——供给模型对IPO公司的数量和上市首日收益率的相关性进行实证研究。研究结果表明;IPO市场存在明显的“动量效应”,IPO数量会对IPO公司的上市首日收益率产生影响,但滞后效应明显。同样,IPO公司的上市首日收益率也会对IPO公司数量产生滞后影响。更多还原

【Abstract】 The IPO market includes government, intermediaries, enterprises and investors. It’s a bridge between investors and enterprises, an important financing method for enterprises and the fundamental of second market. So the research of this field is very useful. But up to now, most of the researches about IPO market in China only focus on testifying the theory of western countries so as to increase the credibility of these theories without so much as taking the character of China market. The purpose of this article is to fill in this blank.This article includes four parts:The first part I review the IPO activity from the motivation and timing of IPO, IPO mechanisms, "hot issues" market, IPO under pricing and the long term under performance. After that I review what the researchers of China had done in this field. And then, I point out the weakness of their researches and what I will do in my article.The second parts I point out there are many "anomalies" in financial market and the stock market is not a perfect market, especially for China market. To testify my ideas, I use autocorrelation test and runs test to test the efficiency of China IPO market. The empirical results show China IPO market is not a weak efficient market and which question the exiting research results of China market.The third part I point out China stock market is a closed market and the investors in IPO market maybe have some psychological bias and irrational behaviors. These irrational behaviors and interactions between investors may causes some "anomalies" and influent the pricing of IPO in the second market.In the fourth part I found there exist cycles in China IPO market meanwhile there are some correlations between IPO volumes and IPO initial returns. And then I discuss the role of "nosier" in IPO cycles. By providing a simple demand-supply model of IPO market I research into the correlation between IPO volumes and IPO initial returns. The empirical results show there is obviously "momentum effect" in IPO market and the IPO volumes will influent the IPO initial returns, but the influence is lagged. Meanwhile the IPO initial returns will influent IPO volumes, too. Also this influence is lagged.The last part I research into how these irrational behaviors influent IPO pricing through providing multifactor regression model. Before doing that I first review the traditional capital pricing theories and the suitability of these theories in IPO pricing. Second, I discuss the pricing environment of China enterprises. And then I hypothesis the initial returns includes two part, which are risk redemption caused by更多还原