投资者关注对IPO首日收益率影响几何?  

The Effect of Investors' Concern on the Initial Return Rate of IPO

作　　者：陈彬[1] 高劲[1] 

机构地区：[1]上海海事大学经济管理学院,上海200135

出　　处：《对外经贸》2014年第5期62-64,共3页FOREIGN ECONOMIC RELATIONS & TRADE

基　　金：上海市大文科研究生学术新人培育计划(编号:wk2013041);上海海事大学研究生创新基金资助项目(编号:2013ycx027);上海市教委科研创新项目(编号:20120524);上海海事大学引进人才科研启动基金项目(编号:A2110008017X)

摘　　要：投资者关注被认为是影响IPO首日收益率的重要因素之一,学者在投资者关注的代理变量选择上进行了较多研究,近年来的趋势是利用搜索引擎数据来作为投资者关注代理变量。利用百度指数提供的搜索量数据,构造了一个投资者关注的直接代理指标,在此基础之上,又利用投资者关注理论创造性地将IPO首日收益率切分为初始收益率和IPO首日交易收益率,实证发现投资者关注对IPO首日交易收益率是没有显著影响的,只会影响IPO初始收益率,并借助于投资者行为对这一现象进行了解释,提出了相关的对策建议。Investors＇ concern is considered to be an important factor that affect the first day return of IPO,scholars studied much on the proxy for investor concern,the search data,which is being used more and more to construct a direct measure of investor attention,and has become a trend in recent years. We use the search data provided by Baidu Index,constructed a direct measure for investor attention. On the other hand,we creatively split the first day return of IPO into two parts： the initial return of IPO and the trading return of IPO. On this basis,we found that investor concern can only affect the initial return of IPO,but have no significant impact on trading return of IPO. After the analysis of the investor behavior in IPO,this phenomenon can be explained. Finally we put forward some relevant suggestions.

关 键 词：投资者关注 IPO首日收益率 百度指数 

分 类 号：F830.91[经济管理—金融学]