投资者情绪与新股长期表现研究——来自我国创业板市场的证据  

Study on Investor Sentiment and IPOs' Long-run Performance——Evidence from China's Growth Enterprise Market

作　　者：田岚[1,2] 刘澄[1] 皇甫玉婷 

机构地区：[1]北京科技大学东凌经济管理学院,北京100083 [2]河北经贸大学金融学院,河北石家庄050061

出　　处：《河北经贸大学学报》2016年第4期84-91,共8页Journal of Hebei University of Economics and Business

基　　金：北京科技大学博研基金(06198068)

摘　　要：以我国2009—2012年创业板市场为样本,在实证检验IPOs长期表现基础上,采用格兰杰因果检验和回归分析等方法,将机构投资者和个人投资者情绪分别考虑,进一步分解两种情绪中的理性和非理性成分,考察对于新股长期表现的影响,得出个人投资者情绪非理性成分反向影响以及机构投资者理性成分正向影响新股长期表现的结论。This paper studies the long-run performance of initial public offerings by using sample data in China's growth enterprise market from 2009 to 2012, then by using Granger test and regression analysis, dividing individual investor sentiment and institutional investor sentiment into rational sentiment and irrational ones separately, and further analyzing how these sentiment affect investors' aftermarket performance. Based on IPO's long-run performance existing in China's growth enterprise market, the empirical result indicatesthat the irrational component of individual investor sentiment negatively influence long-run performance and rational component of institutional investor sentimentaffect positively.

关 键 词：个人投资者情绪 机构投资者情绪 新股发行 上市公司 创业板 市场收益 市场情绪 

分 类 号：F830.91[经济管理—金融学]