投资者异质预期对中国IPOs异常收益影响的分析

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1、-ABSTRACTIPOunderpricingisahottopicinacademicresearchbutasthedevelopmentoftheIPOpricingreformthereisanotherphenomenonarisethatistheIPObreaking.BoththeunderpricingandthebreakingareevidencestoshowthatthereisanabnormalreturninIPOmarket.Sothispapertriedtofindtheconditionandthereasonof

2、thatbythewayofstatisticalanalysisandagent-basedcomputationalfinance.IchoosetheIPOsissuedfromJanuary1st,2010toOctober31th,2014,anddividedtheminto3groupsincludingtheunderpricinggroup,thebreakinggroupandthemiddlegroup.Byanalysisthefinancialconditionandsomeotherconditionsofthestockand

3、thetimethebreakingstockreturntotheissuepriceIfoundthatallthefinancialdataofthestocksinthe3groupsappeartofallalotafterlistedonboard.ThePEratioofbreakinggroupislowerthanunderpricinggroupbuttheplacementishigherandtheinstitutionalinvestorsholdingproportionofthebreakinggroupislowerandt

4、hewinningrateishigher.Ialsoanalysistherecovertimeofthebreakingstocksandfoundthatmorethan76%oftherecoverstockswouldbreakagain.AsthestockmarketisnotmaturethattheinvestorbehaviormaybeareasonforIPOabnormalreturn.Sobythewayofagent-basedcomputationalfinanceIanalyzedtheinvestorheterogene

5、ousexpectations’influenceonIPOabnormalreturn.FromtheresearchIfoundthattheissuepriceishighiftheinstitutionalinvestorsheterogeneousexpectationshigh.TheindividualinvestorsheterogeneousexpectationsalsohaveaninfluenceonIPOabnormalreturnandtheIPOfirstdayreturnispositiverelatedtothat.Whe

6、nitrelatedtotheIPOlong-termreturnthelowerInstitutionalinvestorsheterogeneousexpectationswasthereasonforthelong-termunder-performancebuttheindividualinvestorsheterogeneousexpectationswasareasonforthelong-termstrong-performance.Keywords：IPO;Abnormalreturn;Mathematicalstatistics;Agen

7、t-basedcomputationalfinance;Investorsheterogeneousexpectations---目录第一章绪论................................................................................................................11.1研究背景.........................................................................................

8、..............................11.