投资者情绪、意见分歧与中国股市IPO之谜  

Investor sentiment,disagreement and IPO puzzle in China's stock market

作　　者：俞红海[1] 李心丹[1] 耿子扬 

机构地区：[1]南京大学工程管理学院,南京210093 [2]上海浦东发展银行,上海200002

出　　处：《管理科学学报》2015年第3期78-89,共12页Journal of Management Sciences in China

基　　金：国家自然科学基金重点资助项目(70932003);国家自然科学基金资助项目(71102036;71472085);教育部人文社科青年基金资助项目(10YJC790352)

摘　　要：中国股票市场IPO首日回报高、长期回报低的现象十分突出,传统理性金融理论难以对这两者同时加以解释.文章基于行为金融理论,从二级市场个体投资者情绪与意见分歧相结合的角度,利用账户交易数据中的投资者IPO首日净买入构建情绪指标对上述现象进行研究,结果表明IPO首日投资者情绪和意见分歧均对IPO首日回报有显著为正的解释力,尤其是当意见分歧严重时,投资者情绪的影响更大,同时首日投资者情绪对IPO长期超额回报有显著为负的影响,但意见分歧却对长期回报没有影响.文章的研究从二级市场个体投资者非理性偏好角度揭示了中国股市"IPO之谜"产生的根源.The phenomena of high initial IPO returns and poor long-term returns are popular in China ’ s stock market , and the traditional rational financial theory is unable to explain such phenomena at the same time .In this paper , based on the behavioral financial theory , from the perspective of investor sentiment and disagree-ment, we construct a buy-sell imbalance（BSI） index, using initial IPO from the investors’ trading data, to represent investor sentiment to study these IPO phenomena in China .We find that investors ’ sentiment and disagreement both have significant positive impacts on the initial returns , and when the disagreement is big , the impact of sentiment is more serious .Meanwhile , sentiment has significant positive impact on the long-term abnormal return, but disagreement has no such impact .This paper provides explanations to the IPO puzzle in China ’ s stock market from the perspective of individual investors ’ irrational biases .

关 键 词：IPO之谜 投资者情绪 意见分歧 投资者交易 

分 类 号：F832.5[经济管理—金融学]