投资者情绪、新股发行方式与IPO首日收益率  

Investors Sentiment,Way of IPO and Its First-day Revenue

作　　者：李博[1] 

机构地区：[1]厦门大学管理学院,福建厦门361005

出　　处：《东北大学学报（社会科学版）》2010年第4期317-322,共6页Journal of Northeastern University(Social Science)

摘　　要：在基于投资者情绪理论的基础上构建了市场投资者情绪指数,同时结合一级市场的发行方式来研究2000年至2008年的新股首日收益率。研究结果表明二级市场的投资者情绪对新股首日收益率产生显著为正的影响,询价发行方式下的新股首日收益率明显较低;同时,相对于其他发行方式而言,询价发行方式更能反映二级市场投资者的情绪和需求,能显著降低市场投资者情绪对新股首日收益率的影响,使首日收益率更为稳定。Based on the investor sentiment theory,built a market-level sentiment index to measure the investor sentiment,and combined with the allocation mechanisms in the primary market to investigate the initial return of the IPO firms listed between 2000 and 2008.The empirical evidences support the hypothesis that the investor sentiment in the secondary market is positively related to the IPO initial returns,and the IPO initial returns under the book-building allocation mechanism are lower than that under the other allocation mechanisms.The further investigation finds that,relative to the other allocation mechanisms,the book-building allocation mechanisms can significantly lower the impact of the investor sentiment on the IPO initial returns,and make the IPO initial returns more stable.

关 键 词：IPO首日收益率 投资者情绪 新股发行方式 

分 类 号：F276.6[经济管理—企业管理]