媒体寻租、投资者情绪与IPO抑价
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摘要
以2009年7月至2017年12月IPO公司为样本,考察媒体寻租和投资者情绪对IPO抑价的影响,研究发现:投资者情绪高涨会促进IPO抑价;媒体寻租会加剧投资者情绪对IPO抑价的促进作用,在投资者对整个资本市场的情绪低落时,媒体寻租的这种加剧作用更大。可能的原因在于:媒体寻租会导致过度自信投资者对自有信息准确性的高估程度加大;媒体寻租会扭曲历史信息,使得存在后视镜偏见的投资者做出更加失当的判断,进而导致新股价值进一步被高估。在利用倾向得分匹配法(PSM)弱化内生性问题以及替换媒体寻租测度指标进行稳健性检验后,所得研究结论依然成立。
Taking IPO companies from July 2009 to December 2017 as samples,this paper investigates the impact of media rent-seeking and investor sentiment on IPO underpricing. The study finds that high investor sentiment will encourage IPO underpricing;media rent-seeking will promote the IPO underpricing by intensifying investor sentiment;this exacerbation of media rent-seeking is more powerful when investors are depressed about the overall capital market. The possible reason is that media rent-seeking will make over-confident investors overestimate the accuracy of their own information.What's worse,media rent-seeking will distort historical information and make investors with rear-view mirror bias make more improper judgments,which will lead to further overvaluation of new stock prices. After using the PSM method to weaken the endogenous problem and replace the media rent-seeking index to test the robustness,the research conclusions obtained are still valid.
Taking IPO companies from July 2009 to December 2017 as samples,this paper investigates the impact of media rent-seeking and investor sentiment on IPO underpricing. The study finds that high investor sentiment will encourage IPO underpricing;media rent-seeking will promote the IPO underpricing by intensifying investor sentiment;this exacerbation of media rent-seeking is more powerful when investors are depressed about the overall capital market. The possible reason is that media rent-seeking will make over-confident investors overestimate the accuracy of their own information.What's worse,media rent-seeking will distort historical information and make investors with rear-view mirror bias make more improper judgments,which will lead to further overvaluation of new stock prices. After using the PSM method to weaken the endogenous problem and replace the media rent-seeking index to test the robustness,the research conclusions obtained are still valid.
引文
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[19]金智,赖黎.媒体在银行风险治理中的角色:中国的逻辑[J].金融研究,2014(10):102-115.
[20]方军雄.信息公开、治理环境与媒体异化--基于IPO有偿沉默的初步发现[J].管理世界,2014(11):95-104.
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[25]Glaser M,Weber M.Overconfidence and trading volume[J].Geneva Risk&Insurance Review,2007,32(1):1-36.
[26]Shiller J Y C R J.The dividend-price ratio and expectations of future dividends and discount factors[J].Review of Financial Studies,1988,1(3):195-228.
[27]Case K E,Shiller R J.The behavior of home buyers in boom and post-boom markets[J].Social Science Electronic Publishing,1988,12(10):1-23.
[28]Dyck A,Volchkova N,Zingales L.The corporate governance role of the media:Evidence from Russia[J].Journal of Finance,2008,63(3):1093-1135.
[29]赵梅,吴艳玲,姚颐.新闻媒体在IPO市场中发挥了监督作用吗?--基于经济人寻租的视角[J].经济评论,2017(5):91-106.
[30]张卫东,苏鑫,陈辉,等.涨幅限制影响IPO抑价了吗?[J].管理评论,2018(1):36-45.
[31]李明,赵梅.投资者保护、寻租与IPO资源配置效率[J].经济科学,2014(5):47-61.
[2]Ritter J R,Welch I.A review of IPO activity,pricing,and allocations[J].Journal of Finance,2002,57(4):1795-1828.
[3]韩立岩,伍燕然.投资者情绪与IPOs之谜--抑价或者溢价[J].管理世界,2007(3):51-61.
[4]魏志华,曾爱民,吴育辉,等.IPO补税影响IPO抑价吗?--基于信息不对称理论视角[J].金融研究,2018(1):191-206.
[5]Nagata K.Does earnings management lead to favorable IPO price formation or further underpricing?Evidence from Japan[J].Journal of Multinational Financial Management,2013,23(4):301-313.
[6]Boulton T J,Smart S B,Zutter C J.Earnings quality and international IPO underpricing[J].The Accounting Review,2011,86(2):483-505.
[7]Daniel B,Incheol K,Laurie K.Top VC IPO underpricing[J].Journal of Corporate Finance,2015,31(2):186-202.
[8]Ritter J R,Welch I.A review of IPO activity,pricing,and allocations[J].Journal of Finance,2002,57(4):1795-1828.
[9]Ljungqvist AP,Nanda V,Singh R.Hot markets,investor sentiment,and IPO pricing[J].Journal of Business,2006,79(4):1667-1702.
[10]Purnanandam A K,Swaminathan B.Are IPOs really underpriced?[J].Review of Financial Studies,2004,17(3):811-848.
[11]Derrien F.IPO pricing in“hot”market conditions:Who leaves money on the table?[J].Journal of Finance,2005,60(1):487-521.
[12]Dorn D.Does sentiment drive the retail demand for IPOs?[R].Working Paper,2003.
[13]Da Z,Engelberg J,Gao P.In search of attention[J].Journal of Finance,2011,66(5):1461-1499.
[14]Agarwal S,Liu C,Rhee S G.Investor demand for IPOs and aftermarket performance:Evidence from the Hong Kong stock market[J].International Financial Markets,Institutions and Money,2008,18(2):176-190.
[15]Jiang L,Li G.Investor sentiment and IPO pricing during pre-market and aftermarket periods:Evidence from Hong Kong[J].Pacific-Basin Finance Journal,2013,23(2):65-82.
[16]Chung C Y,Kim J,Park J.Individual investor sentiment and IPO stock returns:Evidence from the Korean stock market[J].Asia-pacific Journal of Financial Studies,2017,46(6):1-27.
[17]张雅慧,万迪昉,付雷鸣.媒体报道、投资者情绪与IPO抑价--来自创业板的证据[J].山西财经大学学报,2011(9):42-48.
[18]熊艳,李常青,魏志华.媒体“轰动效应”:传导机制、经济后果与声誉惩戒--基于“霸王事件”的案例研究[J].管理世界,2011(10):125-140.
[19]金智,赖黎.媒体在银行风险治理中的角色:中国的逻辑[J].金融研究,2014(10):102-115.
[20]方军雄.信息公开、治理环境与媒体异化--基于IPO有偿沉默的初步发现[J].管理世界,2014(11):95-104.
[21]Baker M,Wurgler J.Investor sentiment in the stock market[J].Journal of Economic Perspectives,2007,21(2):129-151.
[22]Ritter J R.Returns on IPOs during the five years after issuing,for IPOs from 1970-2010[R].Working Paper,2012.
[23]Clare A,Thomas S.The Overreaction hypothesis and the UK stock market[J].Journal of Business Finance&Accounting,2010,22(7):961-973.
[24]Friesen G C,Sapp T R A.Mutual fund flows and investor returns:An empirical examination of fund investor timing ability[J].Journal of Banking&Finance,2007,31(9):2796-2816.
[25]Glaser M,Weber M.Overconfidence and trading volume[J].Geneva Risk&Insurance Review,2007,32(1):1-36.
[26]Shiller J Y C R J.The dividend-price ratio and expectations of future dividends and discount factors[J].Review of Financial Studies,1988,1(3):195-228.
[27]Case K E,Shiller R J.The behavior of home buyers in boom and post-boom markets[J].Social Science Electronic Publishing,1988,12(10):1-23.
[28]Dyck A,Volchkova N,Zingales L.The corporate governance role of the media:Evidence from Russia[J].Journal of Finance,2008,63(3):1093-1135.
[29]赵梅,吴艳玲,姚颐.新闻媒体在IPO市场中发挥了监督作用吗?--基于经济人寻租的视角[J].经济评论,2017(5):91-106.
[30]张卫东,苏鑫,陈辉,等.涨幅限制影响IPO抑价了吗?[J].管理评论,2018(1):36-45.
[31]李明,赵梅.投资者保护、寻租与IPO资源配置效率[J].经济科学,2014(5):47-61.