论文总字数：24849字

目 录

1. 导论 1

1.1 研究背景 1

1.2 研究意义 1

1.3 论文框架及主要内容 2

1.4 本文创新与不足 2

2.文献综述 3

2.1 IPO抑价现象研究 3

2.1.1基于信息不对称的理论研究 3

2.1.2基于行为金融学的理论 4

2.1.3 评析 6

2.2 投资者关注与IPO抑价关系研究综述 6

2.3 投资者情绪与IPO抑价关系研究综述 7

3.研究设计 8

3.1 研究假设 8

3.2 研究方法 9

3.3 变量与数据说明 10

3.3.1 研究变量的选定 10

3.3.2 样本数据描述 12

3.4 建立回归模型 13

4.实证分析 13

4.1 多元回归结果分析 13

4.1.1描述性统计分析 13

4.1.2模型变量相关性分析 14

4.1.3模型回归分析 15

4.2 投资者情绪的桥梁作用-中介效应检验 16

5.研究结论 17

5.1 本文研究结论 17

5.2 政策建议 17

参考文献 18

致谢 20

投资者关注、投资者情绪与IPO抑价

陈嘉敏

，China

Abstract：The phenomenon of IPO underpricing refers to the fact that the stock market price is higher than the issue price on the day of IPO listing. In recent years, many scholars at home and abroad have studied the phenomenon of IPO underpricing. This article will start from the perspective of investor concern and investor sentiment, Firstly, the underpricing rate of the A-share market was selected as the explanatory variable; secondly, the investor’s concern measured by the Baidu index as a proxy variable, and the turnover rate and the success rate of the stock were selected as proxy indicators, and the two variables were standardized. After the weighted average of the data obtained to measure investor sentiment; Finally, Due to the information asymmetry between the issuer and the investor, the size of the company and the macro economy will have a certain impact on the issuance of new stocks. Therefore, control variables are selected from these three perspectives, a regression model is established, and empirical analysis is performed through model regression. In addition, this article also conducted an intermediary effect test, using investor sentiment as an intermediary variable, to investigate whether investor concerns can affect the IPO underpricing rate by affecting investor sentiment. Finally, the article concludes: (1) Investors are concerned about the positive correlation of the initial price depression; (2) Investors' sentiment is also positively correlated with the new stock underpricing rate; (3) Investors’ concerns about the impact of IPO underpricing Part of it is imposed through investor sentiment.

Key words：Investor Concern; Investor Sentiment; IPO Underpricing

导论

1.1 研究背景

IPO指的是在金融市场上，通过审查的公司为了筹集资金，第一次向公众出售它的股票。IPO抑价现象是指的是新股上市后，首次公开的发行价格明显低于初始的市场价格。国内外学者对这个问题一直非常关注，而对于IPO抑价的研究常常从两个方面进行：信息不对称和行为金融学，而近年来主要是对投资者的行为进行研究。

投资者关注度在近年来研究热度非常高，许多学者都偏向于采用这一指标，本文认为，原因在于，现在一进入互联网时代，因此搜索信息变得很方便。一些可以衡量投资者关注的指标能够很快找到。例如许多学者采用搜索量来衡量这一指标，那么只需要在搜索引擎上输入股票名称或是代码就能很快找到它的搜索量。而当一只股票的搜索量增加时，表示其投资者投入了更多关注。在股票市场上选择投资时，投资者常常会购买有一定影响力和关注度的股票。通过这种现象，我们可以发现投资者关注与IPO抑价率有一定的关系。

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