| 过度反应对IPO抑价影响的实物期权模型及实证研究 |
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| 引用本文： | 吴建祖,辛江龙,贾明琪.过度反应对IPO抑价影响的实物期权模型及实证研究[J].软科学,2008,22(10). |
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| 作者姓名： | 吴建祖 辛江龙 贾明琪 |
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| 作者单位： | 兰州大学,管理学院,兰州,730000 |
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| 摘 要： | 运用实物期权理论与实证研究相结合的方法,研究了我国A股市场IPO高抑价现象存在的原因。研究表明,投资者的过度反应是我国A股市场IPO高抑价的主要原因。投资者在新股投资中过度反应有两个原因,一是由于我国证券市场的发展尚不完善,投资者的知识及经验相对缺乏,投资者羊群效应严重;二是由于投资渠道欠缺以及二级市场长期风险偏高,投资者倾向于一级市场和在二级市场进行短期投机套利。
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| 关 键 词： | IPO 抑价率 过度反应 实物期权 回归分析 |
Real Options Model and Empirical Research on Excessive Reaction to the IPO Underpricing |
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| WU Jian-zu,XIN Jiang-long,JIA Ming-qi.Real Options Model and Empirical Research on Excessive Reaction to the IPO Underpricing[J].Soft Science,2008,22(10). |
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| Authors: | WU Jian-zu XIN Jiang-long JIA Ming-qi |
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| Abstract: | By using real options theory and demonstrative research,this paper studied the reason for IPO underpricing in our A price market.It shows that investors'over-reaction is the main reason for the IPO underpricing in our A price market.Over-reaction of investors has two reasons in new investigations:one reason is that the development of China's securities market is still not perfect,investors'relative lack of knowledge and experience,and herding effect is serious;the other reason is being the lack of investmen... |
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| Keywords: | IPO underpricing rate over-reaction real option regression analysis |
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