投资者情绪与IPO溢价的实证研究  

Empirical Study on Investor Sentiment and IPO Overvaluation

作　　者：汪宜霞[1] 夏新平[1] 程梦群[1] 

机构地区：[1]华中科技大学管理学院,湖北武汉430074

出　　处：《武汉理工大学学报（信息与管理工程版）》2009年第5期821-824,833,共5页Journal of Wuhan University of Technology：Information & Management Engineering

基　　金：国家自然科学基金资助项目(70572031);教育部高等学校博士学科点专项科研基金资助项目(20050487041)

摘　　要：通过构造代理变量衡量投资者非理性情绪,验证了投资者情绪对IPO溢价的影响。研究发现,媒体公众关注度和IPO溢价水平显著正相关;在存在卖空限制下,价格由乐观投资者决定,机构投资者的价格预测离散程度越大,意见分歧程度越大,IPO溢价越高;较高的消费者预期指数和平均IPO溢价水平会助长投资者的狂热情绪,提高IPO溢价水平;上市首日换手率越高,IPO溢价水平越高。Proxy variables were used to measure investor sentiment and examine the impacts of investor sentiment on IPO overvaluation.The results show that the media coverage is positively related to IPO overvaluation.In a stock market with short sales constraints,the optimistic investors determine the asset price.The higher of the dispersion of analysts′ forecasts of the trading price is,the bigger the divergence of opinions is and the higher the IPO overvaluation is.They are positively related to the dispersion of analysts＇ forecasts. The higher consumer expectation index and mean overvaluation of IPOs contribute to investor sentiment and increase the IPO overvaluation. The turnover of IPOs on the first trading day also has a positive relation with the level of overvaluation.

关 键 词：IPO溢价 投资者情绪 媒体关注度 意见分歧 

分 类 号：F830.91[经济管理—金融学]