IPO抑价指首次公开发行的股票在上市交易首日收盘价高于发行价的现象。 发达和发展中国家都普遍存在着IPO抑价现象。我国为了防止新股炒作，交易 所在2014年6月发出通知，明确规定首次公开发行股票首日增长不应超过发行 价的44%。但首日涨幅限制只是暂时压低了上市首日的股票价格，而连续涨停则 是逐步释放这种压力。人为设定首日上涨限制并未减少新股超额收益，我国IPO 抑价现象受到监管部门、投资者以及上市公司的高度关注。投资者情绪表现为投 资者心理情感波动所引发的非理性行为，会导致股票价格高估或低估，所以在研 究IPO抑价问题时应该把投资者情绪作为重点考虑因素。相比于传统的信息获 取途径，微信、微博、博客、贴吧等网络媒体的出现为投资者提供了新的信息获 取渠道。网络媒体上股市文章的发布者基本上是股票市场上的投资者，并且包含 着不同类型的投资者，他们在不同的目的与约束条件下，发布文章的情感倾向会 有所差异。因此，网络媒体中包含着大量的机构投资者情绪和个体投资者情绪数 据，值得进一步研究与挖掘。 本文以2015年1月1日至2017年10月31日在深沪主板上市的IPO公司 为研究对象，从网络媒体中挖掘机构投资者情绪和个体投资者情绪数据，研究不 同类型的投资者情绪对IPO抑价的影响以及影响差异，进一步研究承销商声誉 的高低对两者关系的影响。研究结果表明：（1）我国IPO抑价问题普遍存在且 波动较大；（2）机构投资者积极情绪会显著正向影响IPO抑价；（3）个体投 资者积极情绪对IPO抑价无显著影响；（4）机构投资者消极情绪和个体投资者 消极情绪对IPO抑价无显著影响；（5）相比于个体投资者，机构投资者积极情 绪对IPO抑价影响更大；（6）承销商声誉较低时，机构投资者积极情绪对IPO 抑价的正向影响更显著；（7）个体投资者积极情绪在区分了承销商声誉之后对 IPO抑价的影响仍不显著。 关键词：机构投资者情绪；个体投资者情绪；IPO抑价；网络媒体 III Abstract IPOunderpricingreferstotheextenttowhichtheinitialpublicofferingofshares ishigherthantheissuepriceonthefirstdayoftrading.IPOunderpricingis widespreadinbothdevelopedanddevelopingcountries.Inordertopreventnewstock speculationinChina,thestockexchangeissuedanoticeinJune2014,clearly stipulatingthatthefirstdayofIPOgrowthshouldnotexceed44%oftheissueprice. However,itcanbeseenthatthefirstday'sincreaselimitonlytemporarilysuppressed thefirstday'sstockprice,andthecontinuousdailylimitisthegradualreleaseofthis pressure.Artificiallysettingthefirstday'sincreaselimithasnotreducedtheexcess returnsofnewshares.China'sIPOunderpricinghasbeenhighlyconcernedby regulators,investorsandlistedcompanies.Investorsentimentischaracterizedby irrationalbehaviorcausedbyinvestors'psychologicalandemotionalfluctuations, whichwillleadtoovervaluationorunderestimationofstockprices.Therefore, investorsentimentshouldbeconsideredasakeyfactorinstudyingIPOunderpricing. Comparedwithtraditionalinformationaccessmethods,theemergenceofonline mediasuchasWeChat,Web,blogs,andpostbarsprovidesinvestorswithnew channelsforinformationacquisition.Thepublishersofstockmarketarticlesonthe onlinemediaarebasicallyinvestorsofthestockmarket,andcontaindifferenttypesof investors.Underdifferentpurposesandconstraints,thesentimenttendenciesof publishingarticlesaredifferent.Therefore,onlinemediacontainsalargenumberof institutionalinvestorsentimentandindividualinvestorsentimentdata,whichdeserves furtherresearchandexploration. ThispapertakesIPOcompanieslistedontheMainBoardofShenzhenand ShanghaifromJanuary1,2015toOctober31,2017astheresearchobject,explores institutionalinvestorsentimentandindividualinvestorsentimentdatafromonline mediaandstudiestheimpactofdifferenttypesofinvestorsentimentonIPO underpricingandtheimpactdifferences,furtherstudiestheimpactofthe underwriters'reputationontherelationshipbetweeninvestorsentimentandIPO underpricing.Theresearchresultsshowthat:(1)China'sIPOunderpricing phenomenoniswidespreadandfluctuating;(2)Thepositivesentimentofinstitutional investorswillsignificantlypositiveaffectIPOunderpricing;(3)Thepositive sentimentofindividualinvestorshasnosignificanteffectonIPOunderpricing;(4) Thenegativesentimentofinstitutionalinvestorsandnegativesentimentofindividual investorshavenosignificantimpactonIPOunderpricing;(5)Comparedwith IV individualinvestors,thepositivesentimentofinstitutionalinvestorshasagreater impactonIPOunderpricing;(6)Whentheunderwriters'reputationislow,thepositive impactofinstitutionalinvestors'positivesentimentonIPOunderpricingismore significant;(7)Afterdistinguishingthereputationofunderwriters,theimpactof individualinvestors'positivesentimentonIPOunderpricingisstillnotsignificant. Keywords:Institutionalinvestor’ssentiment;Individualinvestor’ssentiment; IPOunderpricing;Onlinemedia V 目录 摘要.........................................................................................................................I Abstract........................................................................................................................III 第一章绪论..............................................................................................................-1- 1.1研究背景.............................................................................................................-1- 1.2研究目的及意义.................................................................................................-2- 1.2.1研究目的..................................................................................................-2- 1.2.2研究意义..................................................................................................-2- 1.3研究思路、内容及方法.....................................................................................-2- 1.3.1研究思路..................................................................................................-2- 1.3.2研究内容..................................................................................................-3- 1.3.3研究方法..................................................................................................-4- 第二章文献综述......................................................................................................-5- 2.1IPO抑价的影响因素研究..................................................................................-5- 2.1.1基于制度相关研究..................................................................................-6- 2.1.2基于信息不对称相关研究......................................................................-7- 2.1.3基于行为金融学相关研究......................................................................-8- 2.1.4其他相关研究..........................................................................................-9- 2.2投资者情绪的相关研究...................................................................................-10- 2.2.1投资者情绪的度量研究........................................................................-10- 2.2.2投资者情绪与IPO抑价的相关研究...................................................-13- 2.3文献评述...........................................................................................................-14- 2.3.1IPO抑价评述.........................................................................................-14- 2.3.2投资者情绪评述....................................................................................-14- 2.3.3投资者情绪与IPO抑价关系评述.......................................................-15- 2.4本章小结...........................................................................................................-15- 第三章理论分析与假设提出................................................................................-17- 3.1相关概念界定...................................................................................................-17- 3.1.1IPO抑价相关概念.................................................................................-17- 3.1.2投资者情绪相关概念............................................................................-17- 3.2理论分析...........................................................................................................-18- 3.2.1行为金融理论........................................................................................-18- 3.2.2心理认知偏差理论..............................................................................