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1.
投资者情绪、意见分歧与中国股市IPO之谜   总被引:2,自引:0,他引:2  
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.  相似文献   

2.
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  相似文献   

3.
O'Hara理性预期模型假设非知情交易者对市场交易价格信息存在完全学习行为,从而知情交易者概率对资产期望收益产生负向效应。本文放松这一假设,引入非知情交易者学习程度,在理性预期模型框架下,以新股发行市场为背景对理性预期模型进行了拓展,模型结论表明:非知情交易者对市场交易价格的学习行为影响了知情交易者概率与资产期望收益的关系;当市场非知情交易者存在学习行为时,随着非知情交易者的学习程度加深,知情交易者概率对资产期望收益产生负向影响。在进一步的实证研究中,通过羊群效应验证了市场上非知情交易者的学习行为,以2010年1月到2011年12月在中小板上市的278家IPO公司为样本,对模型进行实证检验,实证结果支持理论模型结论。本研究对已有实证研究中知情交易者概率对资产收益产生正或负效应这一矛盾的研究结论提出了一种理论解释,并基于此对询价制度改革的有效性进行了检验。本文研究结论对知情交易者概率在资产定价中的适用性具有一定启示性,同时对非知情交易者的学习行为提出了一种实证检验的方法,具有一定的开创性。  相似文献   

4.
放宽卖空禁止假设,构建模型探讨投资者过度自信引起的异质信念和卖空限制对企业证券发行决策的影响。研究发现:(1)项目收益公共信号利多时,投资者信念异质性与企业股权发行意愿正相关;公共信号弱利空时,两者负相关。(2)仅当公共信号强利多时,卖空限制强度与股权发行意愿正相关;否则两者无关。研究结论表明异质信念、卖空限制与企业证券发行关系受公共信号影响。  相似文献   

5.
本文通过构建换手率分离模型计算未预期交易量,并以此作为异质信念的度量指标,探讨其对股票收益的解释能力.依据异质信念程度高低分组发现,异质信念越大的股票组合当期收益越高、未来一期收益越低,这一差异对小规模公司股票最为明显;将异质信念引入CAPM和Fama-French三因子模型,得到异质信念对股票当期收益的影响显著为正、对未来一期收益的影响显著为负;在进一步考虑了流动性、动量效应等因素后,结论依然成立;但针对2010年后允许卖空的股票,异质信念对股票未来一期收益的影响不再显著.本文基于中国证券市场的制度环境,一方面验证了Miller理论的有效性,同时也发现引入卖空机制能在一定程度上减弱异质信念导致的资产定价偏差.  相似文献   

6.
基于异质信念和卖空限制的分割市场股票定价   总被引:2,自引:1,他引:2  
假定分割市场中投资者信息处理能力存在差异,推导了具有异质信念的两阶段定价模型,证明了异质信念和卖空限制是导致H股价格低于A股价格的原因之一,通过A股和H股市场交易数据的实证分析,表明了该模型的合理性和有用性,在一定程度上解释了中国分割资本市场股价的异象,有助于认识中国新兴资本市场的微观结构和市场特征.  相似文献   

7.
袁怀宇  张宗成 《管理学报》2009,6(8):1098-1103
利用改进的BB法则划分股市的波动周期,运用EGARCH-GED模型比较研究了上海和香港股票市场的非对称性问题.通过研究发现,上证综指的收益分布从长期来看呈负偏,而恒生指数呈正偏;在熊市中两个市场均存在"杠杆效应",在牛市中香港市场坏消息的影响仍然更大,而上海市场则存在"反杠杆效应".出现这一差异主要由于上海证券市场缺乏卖空机制,影响了价格对坏消息的吸收,这一结果能够解释我国内地股市"暴涨暴跌"的现象.  相似文献   

8.
本文以南钢股份要约收购案例作为研究对象,从控股溢价和流通溢价两个角度分别对非流通股东和流通股东的要约收购行为和结果进行了深入分析。研究发现,虽然非流通股东可以分享控股溢价,但是控股溢价偏低,对非流通股东不具有充分吸引力;如果非流通股东兑现利润退出,将承受较大的隐性损失。而流通股东不能分享控股溢价,且其拥有的流通溢价遭受了折价的不公正待遇;如果流通股东受约退出,将承受较大的直接成本。根据强制要约收购的法理判断,非流通股东和流通股东都未获有效保护,中国的要约收购仅具有形式而非实质。  相似文献   

9.
噪声交易者与IPO溢价   总被引:2,自引:0,他引:2  
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.  相似文献   

10.
李准  李强  曾勇 《管理科学》2018,21(8):54-63
通过改变资产的相对构成和运营杠杆的水平,企业的在位资产收缩对总资产风险溢价具有重要影响。在连续时间框架下,利用实物期权方法和定价核技术,研究收缩期权、运营杠杆及二者共同作用对资产风险溢价的影响机理,并为“价值溢价”现象、账面市值比效应和市值规模效应给予理论解释。结果表明:运营杠杆和贝塔为负的收缩期权分别对资产风险溢价具有正向和负向影响,二者的相反作用可以为“价值溢价”现象给出风险补偿视角的理论解释。同时,收缩期权会减弱市值规模效应;运营杠杆则会放大账面市值比效应和减弱市值规模效应。  相似文献   

11.
本文从融资约束和融券约束的视角出发,研究我国股票市场融资机制和融券机制对标的股票波动率的影响。相比于融资融券交易量,约束可以更好地识别融资融券机制的作用,因为它可以从交易渠道、信息渠道、公司治理渠道对股价产生影响。我们利用融资融券机制推进过程中标的证券名单的变化识别融资融券约束放松后的总体效果,然后合理构造子样本识别融资约束的作用,最后利用转融通的实施识别融券约束的作用。研究结果显示融资约束和融券约束的放松显著降低了标的股票的波动率,表明融资融券机制可以发挥稳定股票市场的作用。  相似文献   

12.
不允许卖空情况下均值-方差和均值-VaR投资组合比较研究   总被引:12,自引:1,他引:12  
文章研究了不允许卖空情况的均值-方差和均值-VaR两种投资组合模型,并运用不等式组的旋转算法并结合序列二次规划法进行求解。最后,通过实证研究验证了上述算法的有效性。计算结果还表明,在不允许卖空情况下,均值-VaR投资组合的有效前沿为均值-方差投资组合有效前沿的子集;置信度越低,投资者越倾向于选择收益率大而风险也大的投资组合。  相似文献   

13.
近年来,我国拟上市公司引入风险投资的现象日益普遍,但已有文献很少基于制度背景研究风险投资的引入动机.基于我国股票发行核准制的特殊背景,首次从风险投资提高IPO成功率和进程效率的角度揭示了我国拟上市公司有别于成熟市场中企业的风险投资引入动机.研究发现,风险投资入股不仅提高了被投资公司IPO首次申报的过会概率,而且缩短了其IPO进程的总耗时和过会时间;风险投资对IPO过会概率和耗时的影响主要由高声誉风险投资引起,而风险投资的持股比例、所有权性质和是否联合入股对过会概率、IPO进程时间未产生影响或影响一致.  相似文献   

14.
基于成熟资本市场的研究表明,高声誉券商会抑制IPO公司的盈余管理.本文以2001-2011年处于中国制度环境下的IPO公司为样本,重新考察了券商声誉与IPO公司盈余管理之间的关系.研究发现,券商声誉越高,其所承销IPO公司的盈余管理程度也就越高,但券商声誉与IPO公司盈余管理程度之间的正向关系只有在投资者法律保护较差的地区才显著.进一步的研究还发现,高声誉券商纵容或协助IPO公司盈余管理的重要动因在于获取更高的经济收益.尽管高声誉券商确实能够降低IPO公司的抑价率,但这是通过提高IPO公司盈余管理程度的途径来实现的.本文的结论表明,要使我国资本市场中的券商声誉机制发挥作用,还需要大力提高券商机会主义行为所面临的法律风险.  相似文献   

15.
Reforms known collectively as the new public management (NPM) are sweeping governments worldwide. For a movement espousing customer-based service orientations, there is a curious paucity of research on citizens' attitudes toward these reforms. We know little about how citizens feel about them, how they arrive at their conclusions, and how durable their attitudes are likely to be. Using citizen attitudes culled from the 1987--1992 British General Election Panel Survey, we apply multiple regression analysis to begin exploring these issues in one critical area of NPM reform: privatization of state-owned enterprises. We find that the overall predictive power of the five theoretical perspectives culled from public opinion research and operationalized in our model is quite respectable, but that evaluations are too complex for any single explanation of public opinion formation to capture. We also find that British attitudes toward privatization were most associated with cue-taking from leaders and parties, ideological moorings associated with individualism, and income. From these findings we offer a set of hypotheses suitable for testing in future research—most especially, a disparate impact hypothesis—that have important implications for practice and theory-building regarding public opinion and market-based administrative reforms worldwide.  相似文献   

16.
销售努力和适应性销售是两类最基本的销售行为,探寻这两种销售行为的决定因素是销售管理领域的热点研究问题.基于教育心理学和销售力管理的相关研究成果,探讨3种目标取向与两类消费行为的关系,并通过引入过时这一概念,探究不同目标取向导致不同程度的销售努力和适应性销售的内在机理.通过对9家公司160名销售人员的问卷调查,运用结构方程模型,考察销售人员的不同目标取向与销售行为和销售力过时感知能力以及销售力过时感知能力与销售行为的关系,并重点检验销售力过时感知能力对目标取向与销售行为关系的中介效应.实证研究结果表明,目标取向对销售力过时感知能力和销售行为均有显著影响,销售力过时感知能力也会显著影响销售行为,销售力过时感知能力在目标取向与销售行为的关系中起到一定的中介作用.  相似文献   

17.
本文以公司参股银行为视角,在行为金融理论、企业组织理论与信贷融资理论相融合的分析框架下,构建基于异质预期的信贷配置模型,探讨了银行股权关联和银行业竞争影响民营企业融资约束的传导机理。以A股民营企业2006~2013年的数据为例,运用Heckman两阶段回归等方法,我们发现:参股银行和提高银行业竞争性均能显著缓解民营企业的融资约束,参股比例越高该效应越强,且两者在缓解融资约束方面存在替代关系。但进一步的分析显示,银行股权关联对资本配置的影响具有两面性:即银行股权关联所带来的融资优势能够减少因资金短缺导致的投资不足,但代理问题的存在也可能导致银行股权关联被部分异化,使其对于资本配置的正向作用减弱甚至被异化为利益寻租的工具。上述结论既丰富了委托代理理论与公司财务理论的相关研究成果,也有助于我们深入理解银行股权关联的"正面效果"和"负面效果"。  相似文献   

18.
This paper considers industry-specific contingencies that may account for some of the inter-firm heterogeneity in the deployment of specific corporate governance mechanisms in IPO firms. We examine how differences in demand, competitive, and technological uncertainty in the industry influence the levels of IPO firm monitoring by board outsiders and institutional investors. We test our theory using a sample of U.S. firms that completed an IPO in 24 manufacturing industries. The results indicate that industry uncertainty is, indeed, significantly related to the use of corporate governance mechanisms. In particular, the empirical results indicate that industry effects on IPO firm board monitoring and institutional investor ownership are the strongest and most consistent for demand uncertainty and competitive uncertainty.
Sharon WatsonEmail:

Yasemin Y. Kor   is an Associate Professor of Strategic Management at University of South Carolina. She earned her Ph.D. in Business Administration in 2001 from the University of Illinois at Urbana-Champaign. Her research focuses on the intersections of three topics: development and renewal of firm resources and capabilities, top management teams, and corporate governance. The first stream of her research examines how firms develop and deploy their technology and human assets to generate entrepreneurial rents and competitive advantage. The second research area deals with how entrepreneurial skills, experiences, and interactions of top managers shape firms’ strategic choices (including opportunity recognition and team entrepreneurship). The third stream of her research focuses on human and social capital of board directors, and cooperative interactions and frictions between board outside directors and executives. Dr. Kor’s research has been published in Strategic Management Journal, Organization Science, and Journal of Management Studies. She received awards from Academy of Management and she currently serves on the editorial boards of Strategic Management Journal, Journal of Management Studies, and International Journal of Strategic Change Management. Professor Kor has taught Strategic Management, Corporate Strategy, and Entrepreneurship courses at undergraduate and MBA levels. Joseph T. Mahoney   earned his B.A., M.A., and Ph.D. from the University of Pennsylvania. His doctorate from the Wharton School of Business was in Business Economics. Joe joined the College of Business of the University of Illinois at Urbana-Champaign in 1988, was promoted to Full Professor in 2003, and to Investors in Business Education Professor of Strategy in 2007. Joe’s research interest is organizational economics, which includes: resource-based theory, transaction costs theory, real-options theory, agency theory, property rights theory, stakeholder theory, and the behavioral theory of the firm. He has published 42 articles in journal outlets such as Journal of Management, Journal of Management Studies, Strategic Organization, and Strategic Management Journal. His publications have been cited over 2000 times from scholars in 36 countries. In 2005, he published his Sage book intended for first-year doctoral students in the Strategy field: Economic Foundations of Strategy. Currently, Joe is an Associate Editor of International Journal of Strategic Change Management, and of Strategic Management Journal. He also serves on the editorial boards of Journal of Business Research, and Journal of Management Studies. Joe has taught courses in the undergraduate, M.S., M.B.A., Executive MBA, and Ph.D. programs. He has won the outstanding teaching award (as voted by the executives) five times in the Executive MBA program. In the year 2000, he won the Graduate Studies Teaching Award for the College of Business. In the year 2005, he received honorable mention for the Campus Award for Excellence in Graduate and Professional Education. He has served on 39 completed doctoral dissertation committees. Sharon Watson   is an Associate Professor of Management at the University of Delaware and earned her Ph.D. in International Business from the University of South Carolina. Her research centers around issues involved in the management of multinational corporations. Some of the topics she has studied include foreign subsidiary strategies, interdependence among MNC subsidiaries, cross-border mergers and acquisitions, and the influences of cultural values on human resources practices and outcomes. Her research has been published in outlets such as Academy of Management Journal, Strategic Management Journal, Journal of Management Studies and Management International Review. Sharon serves on the editorial board of the Journal of Management and reviews regularly for the Journal of International Business Studies and Academy of Management Journal. She teaches undergraduate and MBA courses in Strategic Management, International Business, Strategic Thinking, and New Venture Creation.  相似文献   

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