中国IPO市场周期基于投资者情绪与政府择时发行的分析.pdfVIP

研究领域：金融学 IPO IPO 中国IIPPOO市场周期：基于投资者情绪与政府择时发行的分析 摘要：本文使用1993年至2008年数据证实中国IPO市场存在显著的周期性，在政府对发 行上市具有控制能力的背景下，我们通过分析政府在市场情绪约束条件下的优化行为来解释 周期形成机制。在投资者具有非理性行为偏差、市场存在严重套利限制的条件下，投资者情 绪对二级市场和新股上市初期的表现具有显著影响。由于政府“运动员”和“裁判员”的双重身 份，它实际对新股上市初期的价格负有隐性担保责任，为了维护声誉，面对过度乐观的市场 情绪，政府倾向于按价值核准新股定价，这使得IPO初期收益率的波动主要反映的是市场 情绪的波动；但情绪对市场指数形成冲击，在市场缺乏自我平衡能力的条件下，政府将IPO 数量作为调控市场指数、平衡情绪冲击的工具，结果形成了IPO 数量的波动。进一步的实 证分析支持上述理论假说。 Abstract Abstract AAbbssttrraacctt: Using the data from 1993 to 2008, this paper verifies that there exists significant cycles in IPO market of China. In the circumstance that IPO process is under the control of government, we tryto explain its cycle by solving the maximization problem constrained byinvestor sentiment faced by government. Based on the irrational behavioral biases and various limits of arbitrage, investor sentiment influences the secondary market andthe initial tradingprices of IPOs to a large extent. Subject to the dual characters of player and referee in market, government takes the implicit responsibility to support the initial trading prices of IPOs. To maintain its reputation and credibility, government inclines to price the IPOs according to their values in spite of the overoptimistic sentiment around the market. However, sentiments will shock the stock index, in the absence of market self-stabilization mechanism, government uses the IPO quantity as a policy tool to offset the sentiment effect on stock index, which leads to the fluctuation of IPO volume. Further empirical study supports the above theoretical hypothesis. 关键词：IPO周期 投资者情绪 政府 KeyWords KeyWords KKeeyyWWoorrddss：IPO Cycles; Investor Sentiment; Government JEL JEL JJEELL 分类： G12; G14; G18 JELClassification JELClassification JJEELLCCllaassssiiffiiccaattiioonn: G12; G14; G18 一、导论 在关于首次公开发行（IPO）的文献中，存在三个挑战有效市场假说的异象（anomaly）， 包括：a.IPO初始抑价发行，即由发行人和承销商确定的IP