我国创业板IPO首日收益与投资者情绪的相关性

本文借鉴国内外学者的研究遴选出适合我国证券市场特征的投资者情绪指标,检验投资者情绪指标与我国创业板IPO申购需求之间的相关性,结果显示,新股申购需求与近期新股上市表现之间显著正相关,因此证明了投资者情绪在一级市场的客观存在。进而实证研究投资者情绪指标与IPO定价水平及首日收益之间相关关系,结果显示,投资者情绪显著正向作用于IPO定价水平及首日收益水平;同时也证实信息不对称不是影响我国创业板IPO首日收益的主要原因。     

异质信念、投资者情绪与创业板IPO溢价

本文研究着眼于二级市场溢价视角,以我国创业板市场发行的267只新股为研究样本,对异质信念、投资者情绪与创业板IPO首日溢价的关系进行实证分析。研究发现:异质信念与IPO首日溢价显著正相关,投资者情绪与创业板IPO首日溢价显著正相关。本研究结果为我国特殊资本市场IPO初始收益高涨的形成机理提供了经验证据。     

风险投资机构特征、投资者情绪与IPO折价

院基于2004 年6 月-2011 年6 月深圳中小板和创业板上市公司数据,文章从异质性风险投资机构和投资者情绪两个角度出发,研究了它们对IPO 折价的影响.结果显示,投资者情绪指标对IPO 折价作用非常明显,首日换手率与IPO 折价显著正相关而新股中签率则相反.不同性质的风险投资机构在总体层面上对IPO 折价作用并不显著,但是有过成功IPO经验的风险投资机构或者有多种背景的风险投资机构参与能有效降低IPO 折价程度.     

创业板IPO高初始收益及原因探究

本文以2009年10月30日在创业板上市的28只股票为研究对象,以网上发行中签率、首日换手率、网下发行中签率、首日交易金额等作为投资者情绪的衡量变量,通过检验投资者情绪与创业板上市股票初始收益的关系,发现投资者情绪变量中只有网上发行中签率与首日初始收益高度相关.通过构建投资者情绪与首日初始收益的回归模型,进行回归分析得出在创业板上市的股票其首日初始收益主要受投资者情绪的影响,在此基础上提出关于在创业板进行投资的建议.     

询价制下市场环境对IPO首日收益率的影响——基于分位数回归技术

文章主要通过分位数回归方法研究询价发行方式下不同IPO首日收益率水平下市场环境的影响.研究结果发现:上市公司更愿意在市场收益较高和市场波动较小的情况下发行股票;随着IPO首日收益率从低分位点到高分位点的不断变大,上市前市场收益率和上市前市场波动率对IPO首日收益率的影响强度不断加强,即IPO首日收益率越高,上市前的市场环境的影响越强.     

创业板和中小板IPO抑价比较

为健全新股发行机制,降低发行抑价率,中国政府多次进行新股发行体制改革,并适时推出创业板,其IPO抑价程度和原因等问题亟待探究.文章针对创业板实际情况,以2009年6月IPO重启后至2010年10月所发行的创业板和中小板股票为样本,通过梳理IPO定价的制度变迁、比较研究和实证检验,发现以市场化为导向的询价制有效降低了新股抑价率,基于投资者情绪的中签率、上市首日换手率对IPO抑价产生了显著影响.     

会计信息与投资者情绪相关性研究

本文构建了基于换手率的投资者情绪测量指标,随机抽取沪深两市300家上市公司2009年的年报数据作为样本,对会计信息与投资者情绪之间的关系进行了分析。结果显示:反映股东获利能力和公司盈利能力的会计信息能显著影响投资者情绪,除每股收益外其他会计信息与投资者情绪之间并非呈简单的线性关系。     

深圳创业板市场IPO抑价现象研究

IPO抑价是股票市场的一种常见现象,但是过大的抑价则反映了股票发行定价机制的失灵,由此引发的一系列问题将不利于股票市场的健康发展。本文通过对2009年10月30日开市以来至2010年10月26日为期一年的所有在创业板上市的共134家上市公司首日IPO抑价情况进行分析,发现上市首日换手率和IPO抑价率正相关;发行价格和IPO抑价率负相关,即发行价越低,IPO抑价率越高;每股收益和网上定价中签率的高低对创业板IPO抑价水平影响显著。此外,结合我国股票市场的相关制度,笔者认为我国创业板较高的IPO抑价水平还主要受发行、定价制度和交易制度改革割裂的影响,对此我国股票交易制度应做出必要的改变。     

民营风险投资、声誉效应与新股价格炒作

声誉对于风险投资的后续融资具有重要意义,而IPO是风险投资的最佳退出方式和建立声誉机会,因此风险投资机构可能干预IPO过程和价格。以A股1 040家IPO公司为样本,通过分析风投参与对IPO首日收益及其价格的影响,研究了我国风险投资的声誉效应行为。在以往学者指出我国风险投资整体上存在声誉效应的基础上,进一步研究发现,我国风险投资的声誉效应主要存在于民营的风险投资机构;我国民营风投通过炒作新股上市首日价格获得高额IPO首日收益赚取声誉,而不是以发行折价为代价获得声誉。文章深化了我国风险投资机构声誉效应的相关研究,并为规范风险投资机构发展提供理论指导。     

创业板IPO折价实证研究

IPO折价现象在我国的股票市场上广泛存在。本文通过对国内外IPO折价相关文献的回顾,选取创业板上市的152支股票作为研究样本,通过计算未经市场指数调整的首日收益率和经过市场指数调整的首日超额收益率来估计IPO折价的情况。对IPO影响因素的选择分别基于新股发行情况、投机泡沫假说以及承销商声誉假说,选取5个变量与首日超额收益率进行线性回归。以说明,在创业板市场,IPO折价现象的产生并非发行人和承销商的有意行为,新股的供不应求和投资者的投机行为导致了创业板IPO现象的产生。     

Overnight stock returns,intraday returns,and firm-specific investor sentiment

In this study, we propose a new index for measuring firm-specific investor sentiment using overnight and intraday stock returns. We use actual equity data to construct the firm-level investor sentiment index and find that the new index has characteristics expected of a sentiment measure. In addition, we propose a novel sentiment-weighted trading strategy and apply it to momentum and short-term reversal strategies. We find that the sentiment-weighted trading strategy generates better performance in momentum and short-term reversal strategies. The sentiment-weighted trading strategy’s superior performance is evidence that our firm-level investor sentiment index possesses predictive powers with regard to future returns.     

Excess co-movement of agricultural futures prices: Perspective from contagious investor sentiment

This study investigates the excess co-movement of agricultural futures prices from a new perspective of contagious investor sentiment. This study shows that contagious investor sentiment is a key determinant of excess co-movement of agricultural futures prices, by using contagious investor sentiment among different agricultural futures. Further, this study decomposes contagious investor sentiment into expected and unexpected contagious investor sentiment. Results show that both of them can positively affect excess co-movement of agricultural futures prices. More interestingly, expected contagious investor sentiment outperforms unexpected contagious investor sentiment in soybean 1 future, soymeal future, and strong wheat future. In general, the results of this study can provide strong support for the significant roles of contagious investor sentiment in asset pricing applications.     

Geopolitical risks and investor sentiment: Causality and TVP-VAR analysis

This paper aims to explore the relationship between geopolitical risks (GPR) and investor sentiment in the US stock market based on Granger causality test and time-varying parameter vector autoregression (TVP-VAR) analysis. Empirical results indicate that changes in geopolitical risks can affect investor sentiment, whereas investor sentiment cannot affect geopolitical risks. More importantly, geopolitical risks have significant negative effects on investor sentiment, suggesting that higher (lower) geopolitical risks dampen (promote) investor sentiment directly or indirectly. Specifically, the negative effects of geopolitical risks show substantial time variation and generally decrease over time. The response of investor sentiment appears to be more pronounced in the short and medium term than in the long term, and is more sensitive to domestic geopolitical events. There is no significant difference in the impacts of geopolitical risks (GPR), geopolitical threats (GPT), and geopolitical acts (GPA). The results obtained are robust for alternative investor sentiment and geopolitical risk indicators.     

The 1986–88 stock market: Investor sentiment or fundamentals?

This paper tests the widely held proposition that investor sentiment contributed to the stock market crash of 1987. Using weekly data during the 1986–8 period and conventional measures of stock fundamentals, changes in fundamentals are found to have a statistically significant influence on the movement of stock prices. In addition, a much-discussed measure of investor sentiment is used to test the proposition that investor sentiment contributed to the stock market crash of 1987. However, insignificant results regarding the investor sentiment index suggest that either the recently proposed sentiment index is faulty or investor sentiment did not significantly influence stock prices in the period surrounding the 1987 crash.     

Impact of network investor sentiment and news arrival on jumps

This paper studied the influence of news announcements and network investor sentiment on Chinese stock index and index futures market jumps. A machine learning text analysis algorithm was employed to measure investor forum sentiment. It was found that news arrivals were an important reason for jump occurrences, jumps were significantly associated with network investor sentiment, and while occasionally the news and network investor sentiment resulted in simultaneous market jumps, they appeared to be relatively independent. The network investor sentiment time-lag and asymmetric effects were also tested, from which it was found that network investor sentiment had a significant asymmetric effect on the jumps, but time-lag effects had little influence. News announcements and the top 25% of the extreme network sentiments were found to explain more than 50% of the jumps, with extreme sentiments tending to increase the volatility of the news-related jumps and persistently influencing returns after the news-related jumps.     

The momentum and reversal effects of investor sentiment on stock prices

In this paper, we illustrate the real function relationship between the stock returns and change of investor sentiment based on the nonparametric regression model. The empirical results show that when the change of investor sentiment is moderate, the stock return is positively correlated with the change of investor sentiment, presenting an obvious momentum effect. However, the stock return is negatively correlated with the change of investor sentiment if the change of investor sentiment is dramatic, presenting significant reversal effects. Moreover, the degree of reversal effect caused by extremely optimistic sentiment is greater than that driven by extremely pessimistic sentiment, which shows a significant asymmetry. Our findings offer a partial explanation for financial anomalies such as the mean reversion of stock returns, the characteristic of slow rise and steep fall in China's stock market and so on.     

Impact of investor sentiment on mutual fund risk taking and performance: evidence from China

ABSTRACT

This study provides empirical rationale and guidance for incorporating investor sentiment into mutual fund enterprise information systems. It investigates the effect of fund-specific investor sentiment on fund risk taking and performance. Working on a sample of equity funds in China, our panel regressions reveal that fund risk-taking is negatively related to lagged fund-specific investor sentiment. Investor sentiment is negatively linked to subsequent fund performance, which conforms with the dumb money effect. Encouragingly, there is evidence that mutual fund managers in China possess investing expertise. Fund-specific investor sentiment shows asymmetric impacts. The dumb money effect is primarily driven by positive sentiment.     

Information asymmetry,sentiment interactions,and asset price

We develop an asset pricing model with sentiment interactions between institutional and individual investors under the condition of information asymmetry. Our model considers private information and investor sentiment, two imperfections in securities markets, and integrates them into a theoretical model to investigate the role of the interaction between information asymmetry and investor sentiment in asset pricing. We show that the joint effect of private information and investor sentiment deviate the price of risky assets and efficiently explains anomalies in the stock market. Investor sentiment changes the effect of information on the equilibrium price relative to a world where all investors are completely rational. Private information changes the effect of investor sentiment on the equilibrium price in comparison with a scenario with symmetric market information. In addition, the individual investors’ learning and the disclosure of information both allow private information to be better integrated into the price and simultaneously changes the effect of investor sentiment on the equilibrium price.     

Assessing the reversal of investor sentiment

Assessing the reversal of sentiment in stock markets is needed because, according to the social mood cycle, the change of social mood over time is an antecedent of price movements. The purpose of this study is to empirically assess reversal of investor sentiment, to show the phases of social mood cycle from increasing mood to decreasing mood, and to explain the dynamic change in market inefficiency from increasing to decreasing. Growth modeling, developed particularly for dealing with the change over time, is used in this study for assessing the reversal of investor sentiment. The autocovariance structure of errors and the variances/covariances of the random coefficients are all taken into account in the model. The results have indicated that the change in investor sentiment over time is inverted U-shaped for the entire market. Moreover, arbitrage constraint and stock characteristics exert a joint moderating effect on sentiment reversal. Less arbitrage constraint can strengthen sentiment reversal only when the market for individual stocks is dominated by noise traders. Based on the results obtained, we discuss asset pricing, liquidity management, and market intervention.     

Economic policy uncertainty,investor sentiment and financial stability—an empirical study based on the time varying parameter-vector autoregression model

This paper applies the time varying parameter-vector autoregression model to explore the dynamic relationship between economic policy uncertainty, investor sentiment and financial stability in China in different periods and at different time points. The empirical results show that economic policy uncertainty has an obvious negative impact on investor sentiment before 2012 and financial stability in the short term, and the influence of economic policy uncertainty on investor sentiment is greater than that of economic policy uncertainty on financial stability. These influences were more significant during the period of the global financial crisis in 2008. Moreover, investor sentiment had a positive and gradually increasing effect on financial stability, while after 2010, the positive impact gradually weakened. Furthermore, economic policy uncertainty is negatively affected by financial stability, and the effect of financial stability on investor sentiment is positive. In terms of mediating effects, economic policy uncertainty has an indirect impact on financial stability through investor sentiment and vice versa. This paper provides a new solution to economic problems explored in behavioral finance research. Additionally, Chinese government agencies can achieve the goal of preventing financial crises and maintaining financial stability by monitoring investor sentiment and implementing targeted economic policies.