CAJ | 학술논문

在IPO上市初期，个体投资者对新股估值呈现出过度乐观情绪，而在资金抽签的新股分配制度下，资金实力占优的机构投资者将成为新股的主要获配者，他们将利用个体的情绪向其抛售获配新股，个体越乐观，股价泡沫越大，机构的抛售数量越多，这是形成超高换手率的重要机制；但是在IPO上市后的两年内，个体的过度乐观情绪逐渐消退，新股初期交易价格中的泡沫逐渐萎缩，这使得IPO新股表现出长期弱势异象，并且机构抛售数量指标对于IPO长期收益率具有显著的反向预测能力：首日换手率越高，长期收益率相对越低．
재IPO상시초기，개체투자자대신고고치정현출과도악관정서，이재자금추첨적신고분배제도하，자금실력점우적궤구투자자장성위신고적주요획배자，타문장이용개체적정서향기포수획배신고，개체월악관，고개포말월대，궤구적포수수량월다，저시형성초고환수솔적중요궤제；단시재IPO상시후적량년내，개체적과도악관정서축점소퇴，신고초기교역개격중적포말축점위축，저사득IPO신고표현출장기약세이상，병차궤구포수수량지표대우IPO장기수익솔구유현저적반향예측능력：수일환수솔월고，장기수익솔상대월저．
On the first day of IPO aftermarket trading in China, investors flip their allocated shares actively and the turnover（ flipped shares deflated by the tradable shares）is as high as 61% on average from 1995 to 2008. It is found that individual investors have shown over-optimistic sentiment about the IPO value in the initial aftermarket. However, under the institution of lottery by cash, rational institutional investors will get the majority of allocated IPO shares, who incline to exploit the over-optimistic sentiment of individual investors by flipping the allocated shares to them on high trading prices. The more optimistic, the larger IPO price bubble, the more shares are flipped by institutional investors. The extremely high turnover is formed in this way to some extent. However, in the two years after the IPO begins trading, the individual sentiment gradually weakens, the bubble in IPO trading price gradually disappears, which results in the IPO long-term underperformance in China. In addition, the institutions＇ flipping activity has the function of predicting the long-run return of IPO, in another words, higher flipping ratio means lower IPO long-term return.