媒体情绪与IPO市场绩效:理论与实证  

Media Sentiment and theMarket Performance of IPOs:Theory and Evidence

作　　者：陈鹏程 CHEN Peng-cheng(School of Business, Zhengzhou University, Zhengzhou 450001, China)

机构地区：[1]郑州大学商学院,河南郑州450001

出　　处：《系统工程》2017年第5期37-43,共7页Systems Engineering

基　　金：国家自然科学基金资助项目(71373296)

摘　　要：将媒体情绪纳入到新股定价过程中,通过构建媒体情绪模型阐述媒体情绪影响IPO市场表现的内在机制。模型结论表明,媒体情绪是影响IPO市场绩效的一个重要因素,媒体情绪与IPO首日回报呈显著的正相关关系,却导致IPO长期表现更为弱势,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,以百度新闻搜索作为媒体新闻的来源对模型结论进行实证检验,实证检验结果支持了模型结论。This paper develops a media sentiment model in the IPO process of pricing to investigate the influence mechanism of media sentiment on IPO performance.The results of the model show that the more optimistic of the media sentiment,the higher the return on the first of IPO.In the long term,however,the IPO performance is significantly negative correlated 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 as the source of media news and tests the model using 471 IPOs which are listed in Shanghai and Shenzhen Stock Exchange and disclose bids of investors from November of 2010 to December of 2011.We find empirical evidence in support of the model.

关 键 词：媒体情绪 询价制 IPO首日回报 IPO长期表现 

分 类 号：F830[经济管理—金融学]