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	投资者情绪、市场理性与新股价格的半理性繁荣; Investor Sentiment,Market Rationality and the Semi-rational Boom of New Share Price
	何瑞卿 ; 谢汉昌
	2015-06-30
关键词	IPO抑价 溢价 投资者情绪 长期绩效 IPO under pricing overpricing investor sentiment long performance
英文摘要	利用一个简单的模型将IPO首日超额收益分解为一级市场抑价与二级市场溢价两种效应,并分析了两种效应对新股上市之后市场业绩的影响机理,然后以中国A股中小板2008—2009年期间发行的新股为样本,进行实证研究。结果发现一级市场“抑价“与二级市场“溢价“现象同时并存,定价市场化可能导致的IPO发行价虚高现象并未得到支持;研究还进一步发现IPO新股上市首日尽管投资者情绪推动股价偏离内在价值,但市场的理性定价机制仍然发挥作用:一方面投资者情绪并非完全外生随机变量,而是受到一级市场抑价程度影响,抑价程度越高则投资者情绪越强,首日超额收益越高;另一方面市场仍然能够识别出新股的长期增长潜力,即溢价程度与增长潜力呈现正相关关系。; In this paper,a simple model was used to decompose the abnormal initial return of IPOs into two effects:the primary market under-pricing and the secondary market overpricing,and the influence mechanism between the two effects and the long-term performance of IPOs was analyzed.Then using China A-share SME board IPO data during 2008 to 2009as samples for empirical study,we found that the primary market " under-pricing" and the secondary market " overpricing" may be coexistent,while criticisms about the"inflated"issue price in IPO are not supported.The further study suggests that the rational pricing mechanism of the market still plays a role to some extent although the irrational investor sentiment dominates the prices on the first day of listing of the IPO shares:on one hand,the higher the degree of under pricing is,the higher investor sentiment,and the higher the first day of excess returns;on the other hand,the shares with higher long-term growth potential obtain higher degree of secondary market overpricing.; 国家自然科学基金项目(70972110)
语种	zh_CN
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/103391]
专题	管理学院－已发表论文
推荐引用方式 GB/T 7714	何瑞卿,谢汉昌. 投资者情绪、市场理性与新股价格的半理性繁荣, Investor Sentiment,Market Rationality and the Semi-rational Boom of New Share Price[J],2015.
APA	何瑞卿,&谢汉昌.(2015).投资者情绪、市场理性与新股价格的半理性繁荣..
MLA	何瑞卿,et al."投资者情绪、市场理性与新股价格的半理性繁荣".(2015).

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