CAJ | 학술논문

构建数学模型分析IPO市场中的噪声交易者（狂热投资者和正向反馈交易者）对新股首日交易价格的影响。模型表明，持过度乐观预期的狂热投资者愿意为IPO支付较高的价格，来自狂热投资者的需求使新股上市首日交易价格高于发行价格；正向反馈交易者观察到上市首日交易价格的上涨．会在随后积极加入市场，理性投机者预期到正向反馈交易者的存在．会在上市首日加大对新股的需求．使首日交易价格进一步上涨。狂热投资者和正向反馈交易者的同时存在使IPO上市首日价格偏离了内在价值，产生了IPO溢价。IPO溢价与投资者狂热程度和正向反馈交易风险成正比，而IPO长期表现则与投资者狂热程度和正向反馈交易风险成反比。噪声交易者的存在能较好地解释IPO首日超额收益和长期表现欠佳现象的并存，也能较好地解释中国IPO首日超额收益在不同时期内的波动。
구건수학모형분석IPO시장중적조성교역자（광열투자자화정향반궤교역자）대신고수일교역개격적영향。모형표명，지과도악관예기적광열투자자원의위IPO지부교고적개격，래자광열투자자적수구사신고상시수일교역개격고우발행개격；정향반궤교역자관찰도상시수일교역개격적상창．회재수후적겁가입시장，이성투궤자예기도정향반궤교역자적존재．회재상시수일가대대신고적수구．사수일교역개격진일보상창。광열투자자화정향반궤교역자적동시존재사IPO상시수일개격편리료내재개치，산생료IPO일개。IPO일개여투자자광열정도화정향반궤교역풍험성정비，이IPO장기표현칙여투자자광열정도화정향반궤교역풍험성반비。조성교역자적존재능교호지해석IPO수일초액수익화장기표현흠가현상적병존，야능교호지해석중국IPO수일초액수익재불동시기내적파동。
This paper models the impact of two kinds of noise traders （ sentiment investor and positive feedback trader） on the first-day trading price of IPOs. The model shows that sentiment investors, who have overoptimistic expectations of IPO firms, have the willingness to overpay and lead to a rise from the offer price to the first-day trading price. Positive feedback traders, who observe the rise in the price, will participate in the market in the next day. Expecting the potential demand from the positive feedback traders, rational speculators will increase their demand for new shares on the frst trading day, which leads to further increase in the market price of IPOs. Co-existence of sentiment investors and positive feedback traders drive the trading price high above the fundamental value of IPOs on the first trading day, which results IPO overvaluation. IPO overvaluation is positively related to the investor sentiment and positive feedback trading risk. However, the long-run performance of IPOs is negatively related to investor sentiment and positive feedback trading risk. This model can explain the coexistent of IPO＇s abnormal initial return and long-run underperformance.