媒体情绪与IPO市场表现——询价制下的理论与实证  

Media Sentiment and the Market Performance of IPOs: Theory and Evidence under Inquiry System

作　　者：陈鹏程[1] 周孝华[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400044

出　　处：《管理评论》2016年第7期22-30,共9页Management Review

基　　金：国家自然科学基金项目(71373296)

摘　　要：在询价制的背景下构建媒体情绪模型,从理论上说明媒体情绪影响IPO市场表现的内在机制。模型结论表明,媒体情绪导致了散户投资者的认知偏差,激发了他们的市场需求,表现为媒体情绪越高涨,IPO首日回报越高;而在长期媒体情绪却与IPO绩效呈现显著的负相关关系,说明媒体情绪只能短暂提高IPO首日回报,在长期反而使股价下跌的越明显。以2010年11月至2012年12月在沪深交易所上市且披露网下具体报价情况的471家IPO公司为样本,以百度新闻搜索量作为媒体情绪的代理变量,按照总样本及不同上市板块的样本分别对模型进行实证分析,实证检验结果支持了模型结论,且媒体情绪对IPO首日回报及长期绩效的影响在创业板市场表现更为强烈。This paper develops a media sentiment model under the background of inquiry system to investigate the influence mechanism of media sentiment on IPO performance. The results of the model show that media sentiment results in cognitive biases of retail investors and stimulates their market demands. Hence,the more optimistic the media sentiment is,the higher the return on the first day of IPO will be. In the long term,however,the IPO performance has a significantly negative correlation with media sentiment,showing that the effect of media sentiment on IPO first day return is temporary. At the last,this paper uses Baidu news search volume as a proxy variable for the media sentiment and tests the model according to total sample and sample of different listed section using 471 IPOs which are listed in Shanghai and Shenzhen Stock Exchange and disclose bids of investors from Nov. 2010 to Dec. 2011. We find empirical evidence in support of the model and the impact of the media sentiment on the first day of IPO return and long-term performance in the GEM market performance is more intense.

关 键 词：媒体情绪 认知偏差 询价制 IPO市场表现 

分 类 号：F832.51[经济管理—金融学]