IPO发行价溢价异象与投资者情绪研究  

Research on the IPO Issue Price Premium Vision and Investor Sentiment

作　　者：吕东锴[1] 蒋先玲[1] 

机构地区：[1]对外经济贸易大学国际经贸学院,北京100029

出　　处：《经济与管理》2013年第1期32-36,共5页Economy and Management

基　　金：2012年度国家社会科学基金一般项目(12BJY151);对外经济贸易大学研究生科研创新基金项目(B20100203)

摘　　要：以2003—2011年沪深两市所有A股作为样本进行研究可以发现,IPO发行价与IPO溢价之间存在显著的负相关关系,IPO发行价越低,IPO溢价现象越明显,称之为"发行价溢价异象"。采用受限因变量Tobit模型对投资者结构进行分析又可发现,IPO发行价越低,个人投资者持股比例越高,机构投资者持股比例越低。由此表明,正是由于低发行价股票投资以个人投资者为主,个人投资者易于受到投资者情绪影响,高估股票价值,增加非理性投资需求,才导致了"发行价溢价异象"产生。Using the data frum2003 - 2011 in Shanghai and Shenzhen two of all A shares as samples for research, we found that IPO issue price and IPO premium is negatively correlated, IPO issue price is lower, IPO premium phenomenon more obvious, whii：h called ＂ the issue price premium vision ＂. It can be found that IPO issue price is lower, higher proportion of individual investors, institutional investors, the lower the proportion of shareholding by a limited dependent variable model of Tobit investor structure analysis. This shows that the low price stock investment mainly to individual investors, individual investors easily afthcted by investor sentiment, overestimate the value of stock, increase irrational investment demand, which lead to ＂the issue price premium vision＂.

关 键 词：IPO发行价 发行价溢价异象 投资者结构 投资者情绪 

分 类 号：F830.91[经济管理—金融学]