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中国管理科学 ›› 2016, Vol. 24 ›› Issue (4): 37-44.doi: 10.16381/j.cnki.issn1003-207x.2016.04.005

• 论文 • 上一篇    下一篇

机构投资者私人信息、散户投资者情绪与IPO首日回报率

陈鹏程, 周孝华   

  1. 重庆大学经济与工商管理学院, 重庆 400044
  • 收稿日期:2014-07-22 修回日期:2015-05-06 出版日期:2016-04-20 发布日期:2016-04-29
  • 通讯作者: 陈鹏程(1981-),男(汉族),河南开封人,重庆大学经济与工商管理学院博士生,研究方向:资本市场与证券定价,E-mail:cpc_4302@aliyun.com. E-mail:cpc_4302@aliyun.com
  • 基金资助:

    国家自然科学基金资助项目(71373296)

Institutional Investor Private Information, Retail Investor Sentiment and IPO First-day Return

CHEN Peng-cheng, ZHOU Xiao-hua   

  1. School of Economy and Business Administration, Chongqing University, Chongqing 400044, China
  • Received:2014-07-22 Revised:2015-05-06 Online:2016-04-20 Published:2016-04-29

摘要: 针对影响IPO首日回报率的一级市场与二级市场因素,本文将机构投资者的私人信息和散户投资者的情绪结合起来,以我国新股发行市场为背景建立模型,对IPO破发或抑价产生的微观机制给出一种理论上的解释。模型结论表明:IPO是否破发主要取决于散户投资者的情绪,而不是机构投资者的私人信息,并且散户投资者情绪越乐观,IPO破发的可能性就越小;同时发现IPO首日回报率与散户投资者情绪正相关,与机构投资者的私人信息负相关。以2010年11月至2013年12月在沪深交易所上市且披露网下具体报价情况的477家IPO公司为样本对模型进行实证检验,实证结果支持了模型结论。研究结果对于如何提高IPO发行效率提供了一些启示。

关键词: 机构投资者, 私人信息, 散户投资者情绪, IPO首日回报率

Abstract: Based on private information of institutional investors at the primary market and sentiment of retail investors at the secondary market, a model is developed to investigate the micro-mechanism of IPO overpricing or underpricing under the background of China's IPO market. The results of the model show that: whether IPO overpricing or not depends on retail investor sentiment mainly, rather then private information of institutional investors, meanwhile the more optimistic of the retail investor sentiment, the less likely of IPO overpricing. Moreover, IPO first-day return is positively related to retail investors' sentiment and is negatively correlated to institutional investors' private information. The model is tested by using 477 IPOs disclosing investor' bids in Shanghai and Shenzhen Stock Exchange from November 2010 to December 2013. It is found that empirical evidence in support of the model. Empirical results can provide some revelation about how to improve IPO issue efficiency.

Key words: institutional investor, private information, retail investor sentiment, IPO first-day return

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