媒体报道与IPO绩效:信息不对称还是投资者情绪?——基于创业板上市公司的研究

本文以创业板开板以来至2011年4月底的所有创业板IPO公司为研究样本,通过讨论IPO前不同时期的媒体报道情况对IPO绩效的影响,探讨了媒体在IPO过程中所扮演的角色。在控制样本自选择偏差后,发现招股公告日至上市日之间的短期媒体报道与IPO抑价和首日换手率均呈显著的正相关关系,符合投资者情绪假说;而招股公告日前一年的长期媒体报道与IPO抑价也显著正相关,但是和首日换手率之间的关系并不显著,信息不对称假说未得到支持。本文认为信息不对称假说未得到支持可能与市场以情绪投资为主、忽视价值投资的现象有关。

Media Reports and IPO Performance:Information Asymmetry or Investor Sentiment——A Study Based on the Listed Companies in ChiNext

Taking all IPO firms in ChiNext from the beginning till April 2011 as research samples,this paper studies the role of media in IPO process by discussing the impact of media reports in different time spans before IPO.After controlling self-selection bias,we find that the short-term media reports between filing date and list date are positively correlated to IPO underpricing and first-day turnover significantly,which is in agreement with the investor sentiment hypothesis;and the long-term media reports one year before filing date are significantly positively correlated to IPO underpricing,but not to first-day turnover,which does not support the information asymmetry hypothesis.We believe that the failure of information asymmetry hypothesis may be because the market is mainly in emotional investment style rather than based on the value.