理性情绪、非理性情绪与IPO定价  

Rational sentiment,irrational sentiment and IPO pricing

作　　者：任成林 曹国华[1] 林川[2] REN Cheng-lin;CAO Guo-hua;LIN Chuan(School of Economics and Business Administration Chongqing University,Chongqing 400044,China;School of Business Sichuan International Studies University,Chongqing 400031,China)

机构地区：[1]重庆大学经济与工商管理学院,重庆400044 [2]四川外国语大学国际商学院,重庆400031

出　　处：《管理工程学报》2019年第4期88-96,共9页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71232004);国家社会科学基金资助项目(15CJY014)

摘　　要：本文将投资者情绪扩展为两个维度,即机构投资者的理性情绪和个人投资者的非理性情绪,并基于中国询价机制下的IPO新股发行背景建立模型,从微观视角分析并解释IPO新股发行中存在的“高超募、高溢价”现象。研究表明:IPO公司超募与否取决于机构投资者的私人信息,而机构投资者理性情绪与IPO公司超募程度负相关。同时发现,IPO首日高溢价率是个人投资者非理性情绪和机构投资者理性情绪共同作用的结果,其与个人投资者非理性情绪正相关,与机构投资者理性情绪同样正相关。本文以2009年7月至2014年12月中国沪深两市991家IPO公司作为样本进行了实证检验,其结果也支持了模型推导的结论。In the capital market,investors have different views and reactions to asset information.These views and reactions may be“good”or“bad,”and drive investors to trade and create a market equilibrium price for assets.This paper expands the investor behavior into two dimensions:institutional investors’rational sentiment and individual investors’irrational sentiment.Based on the background of the IPO inquiry mechanism in China,this article aims to analyze and explain the phenomenon of"high over-funding,high premium"from a micro perspective.Firstly,we construct a mathematical model with the assumption of investors utility maximization.In the first section of the model,we analyze the impact of private information and the rational sentiment of institutional investors on the equilibrium issue price in the primary market.In the second section,we analyze the impact of the rational sentiment of institutional investors and the irrational sentiment of individual investors on the equilibrium IPO price in the secondary market.Secondly,the panel data of 991 IPO companies in Shenzhen stock exchange and Shanghai stock exchange from July 2009 to December 2014 are used for empirical analysis.The empirical results support the research model.The results show four major findings.First,whether the IPO company will be over-funding or not depends on the private information of institutional investors.When the private information is“positive,”institutional investors raise their price and demand,leading to IPO company“over-funding.”Second,the over-funding level of IPO company is negatively correlated with the rational sentiment of institutional investors.Due to the short-selling restrictions of IPO market and the long-term“IPO underpricing puzzle”in China,the rational sentiment makes institutional investors treat the“positive”private information prudently and believe that it is temporary or not good enough that institutional investors are encouraged to choose a low offer.Third,individual investors are the key to the

关 键 词：机构投资者 个人投资者 理性情绪 非理性情绪 IPO定价 

分 类 号：F276.6[经济管理—企业管理]