CAJ | 학술논문

中国股票市场IPO首日回报高、长期回报低的现象十分突出，传统理性金融理论难以对这两者同时加以解释。文章基于行为金融理论，从二级市场个体投资者情绪与意见分歧相结合的角度，利用账户交易数据中的投资者IPO首日净买入构建情绪指标对上述现象进行研究，结果表明IPO首日投资者情绪和意见分歧均对IPO首日回报有显著为正的解释力，尤其是当意见分歧严重时，投资者情绪的影响更大，同时首日投资者情绪对IPO长期超额回报有显著为负的影响，但意见分歧却对长期回报没有影响。文章的研究从二级市场个体投资者非理性偏好角度揭示了中国股市“IPO之谜”产生的根源。
중국고표시장IPO수일회보고、장기회보저적현상십분돌출，전통이성금융이론난이대저량자동시가이해석。문장기우행위금융이론，종이급시장개체투자자정서여의견분기상결합적각도，이용장호교역수거중적투자자IPO수일정매입구건정서지표대상술현상진행연구，결과표명IPO수일투자자정서화의견분기균대IPO수일회보유현저위정적해석력，우기시당의견분기엄중시，투자자정서적영향경대，동시수일투자자정서대IPO장기초액회보유현저위부적영향，단의견분기각대장기회보몰유영향。문장적연구종이급시장개체투자자비이성편호각도게시료중국고시“IPO지미”산생적근원。
The phenomena of high initial IPO returns and poor long-term returns are popular in China ’ s stock market , and the traditional rational financial theory is unable to explain such phenomena at the same time .In this paper , based on the behavioral financial theory , from the perspective of investor sentiment and disagree-ment, we construct a buy-sell imbalance(BSI) index, using initial IPO from the investors’ trading data, to represent investor sentiment to study these IPO phenomena in China .We find that investors ’ sentiment and disagreement both have significant positive impacts on the initial returns , and when the disagreement is big , the impact of sentiment is more serious .Meanwhile , sentiment has significant positive impact on the long-term abnormal return, but disagreement has no such impact .This paper provides explanations to the IPO puzzle in China ’ s stock market from the perspective of individual investors ’ irrational biases .