IPO股票上市初期投资者交易行为研究
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财经研究 2008 年 第 34 卷第 03 期, 页码：62 - 73
摘要
参考文献
摘要
区别于国内以股票价格为对象揭示IPO股票特征的研究,文章以投资者为研究对象,研究中国IPO股票上市初期机构和个人投资者的交易行为差异。IPO交易研究是目前IPO研究的一个前沿领域。文章利用沪深股市2002年IPO股票的账户交易数据建立Logistic回归模型发现,中国IPO股票上市首日的高成交量与高换手率由投资者逐利行为造成;在上市后3日的交易中,个人投资者由于资金限制和信息获取能力不足等原因,对股票收益的判断能力明显弱于机构投资者,在交易中被机构投资者所利用。
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[3]谭松涛,王亚平.股民过度交易了么?——基于中国某证券营业厅数据的研究[J].经济研究,2006,(10):83-95.
[4]汪昌云,孙谦.中国个体投资者行为偏差实证研究[D].第3届中国金融学年会论文,2006.
[5]徐龙炳.中国股市机构投资者多账户交易行为研究[J].经济研究,2005,(2):72-80.
[6]Aggarwal R.Stabilization activities by underwriters after initial public offerings[J].Journal of Finance,2000,55:1075-1103.
[7]Aggarwal R.Allocation of initial public offerings and flipping activity[J].Journal of Fi-nancial Economics,2003,68:111-135.
[8]Bayley L,P Lee,T Walter.IPO flipping in Australia:Cross sectional explanations[J].Pacific-Basin Finance Journal,2006,14:327-348.
[9]Boehmer B,E Boehmer,R Fishe.Do institutions receive favorable allocations in IPOswith better long run returns?[J].Journal of Financial and Quantitative Analysis,2006,41:809-828.
[10]Chen G,K Kim,J Nofsinger,O Rui.Trading performance,disposition effect,overconfi-dence,representativeness bias,and experience of emerging market investors[J].Journalof Behavioral Decision Making,2007,20:425-451.
[11]D’Avolio G.The market for borrowing stock[J].Journal of Financial Economics,2002,66:271-306.
[12]Ellis K.Who trades IPOs?A close look at the first days of trading[J].Journal of Fi-nancial Economics,2006,79:339-363.
[13]Ellis K,R Michaely,M O’Hara.When the underwriter is the market maker:An exami-nation of trading in the IPO aftermarket[J].Journal of Finance,2000,55:1039-1074.
[14]Ellis K,R Michaely,M O’Hara,The making of a dealer market:From entry to equilib-rium in the trading of nasdaq Stocks[J].Journal of Finance,2002,57:2289-2316.
[15]Geczy C,D Musto,A Reed.Stocks are special too:An analysis of the equity lendingmarket[J].Journal of Financial Economics,2002,66:241-269.
[16]Hong H,J Scheinkman,W Xiong.Asset float and speculative bubbles[J].Journal ofFinance,2006,61:1073-1117.
[17]Krigman L,W Shaw,K Womack.The persistence of IPO mispricing and the predictivepower of flipping[J].Journal of Finance,1999,54:1015-1044.
[18]Mei J,J Scheinkman,W Xiong,Speculative trading and stock prices:Evidence fromChinese A-B share premia[R].Working Paper,2005.
[19]Ng L,F Wu.Revealed stock preferences of individual investors:Evidence from Chineseequity markets[J].Pacific Basin Finance Journal,2006,14:175-192.
引用本文
徐龙炳, 徐智斌, 陆蓉. IPO股票上市初期投资者交易行为研究[J]. 财经研究, 2008, 34(3): 62–73.
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