CAJ | 학술논문

以2005—2010年期间中国对IPO实行询价制以来的671个IPO样本为研究对象，从信息不对称和投资者情绪两个方面对中国IPO首日二级市场收益率及影响该收益率的因素进行了研究，结果发现中国IPO的抑价主要是由一级市场的收益决定的，二级市场收益率主要受投资者情绪主导。进一步分析IPO公司的后市异常收益率后发现，其与首日二级市场收益率显著负相关，说明中国IPO公司的首日二级市场收益率确实是受投资者情绪主导的。
이2005—2010년기간중국대IPO실행순개제이래적671개IPO양본위연구대상，종신식불대칭화투자자정서량개방면대중국IPO수일이급시장수익솔급영향해수익솔적인소진행료연구，결과발현중국IPO적억개주요시유일급시장적수익결정적，이급시장수익솔주요수투자자정서주도。진일보분석IPO공사적후시이상수익솔후발현，기여수일이급시장수익솔현저부상관，설명중국IPO공사적수일이급시장수익솔학실시수투자자정서주도적。
We have studied the secondary market return of the first day of initial public offering （IPO） and the factors affecting this return from the aspects of investor sentiment and information asymmetry by using 671 samples from 2005 to2010 since China applies the inquiry system for IPO as the study object. We find that the main reason for the high IPO underpricing is determined by primary market returns, while the returns of the secondary market are primarily dominatedby investor sentiment. When further analyzing the afternoon market abnormal return of the IPO companies, we also find that they are negatively correlated in a significant way, denoting that the secondary market yield is mainly driven by investor sentiment.