投资者情绪、管理者过度乐观与“IPO之谜”
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摘要
文章将投资者行为拓展为两个维度,即机构投资者理性情绪与个人投资者非理性情绪,以中国2009—2014年沪深两市上市的IPO公司数据为样本,研究投资者中的理性因素和非理性因素对IPO定价和管理者过度乐观情绪的影响及其产生的经济后果,实证结果发现:机构投资者理性情绪越高,IPO公司超募水平越低,个人投资者非理性情绪对IPO首日溢价率有显著的正向影响;机构投资者理性情绪和个人投资者非理性情绪都能够塑造IPO公司管理者的过度乐观情绪,机构投资者理性情绪对IPO公司管理者过度乐观水平有显著的负向影响,而个人投资者非理性情绪越高涨,IPO公司管理者越会过度乐观;当IPO公司高超募、现金流充足时,IPO公司管理者的过度乐观能够加剧公司过度投资等非效率投资行为,损害了公司的整体绩效表现;当IPO公司低超募、现金流不足时,IPO公司管理者的过度乐观能够缓解因资金缺乏引起的投资不足,有助于从整体上改善公司的绩效水平;当IPO公司低超募、现金流不足时,存在着个人投资者非理性情绪影响IPO公司整体绩效表现的管理者过度乐观的中介效应。研究结果对中国股市存在的"IPO之谜"现象具有一定的解释力,对市场监管政策的制定和IPO公司管理层投融资决策的制定有一定的借鉴意义。
Based on the dataset of the IPO companies listed in Shenzhen and Shanghai of China from 2009 to 2014, this article expands investor sentiment to two dimensions, which are institutional investors rational sentiment and individual investors irrational sentiment, and researches the relationship of investors sentiment on IPO pricing, managers over-optimism and corporate performance. The empirical results show that: Institutional investors rational sentiment has a significantly negative correlation with the over-funding of IPO companies,individual investors irrational sentiment has a significantly negative correlation with the first-day premium of IPO companies; Institutional investors rational sentiment and individual investors irrational sentiment both can shape the over-optimism of the IPO company managers, institutional investors has a significantly negative correlation with the over-optimism of the IPO company managers, individual investors irrational sentiment has a significantly negative correlation with the over-optimism of the IPO company managers; When the IPO companies have a high over-funding and have abundant cash flow, the over-optimism of the IPO company managers can aggravate over-investment behavior of the company and damage the company's overall performance level; When the IPO companies have a low over-funding and lack of cash flow, the over-optimism of the IPO company managers can alleviate the underinvestment caused by lack of funds and will help improve the company's performance. At the same time, individual investors irrational sentiment will affect the performance of IPO companies by the " intermediate channel of managerial over-optimism". The results have a certain explanation about the phenomenon of "IPO discount puzzle" in China, and also contribute to manager of IPO company to identify the information value in stock market and take appropriate financing stratrgy.
Based on the dataset of the IPO companies listed in Shenzhen and Shanghai of China from 2009 to 2014, this article expands investor sentiment to two dimensions, which are institutional investors rational sentiment and individual investors irrational sentiment, and researches the relationship of investors sentiment on IPO pricing, managers over-optimism and corporate performance. The empirical results show that: Institutional investors rational sentiment has a significantly negative correlation with the over-funding of IPO companies,individual investors irrational sentiment has a significantly negative correlation with the first-day premium of IPO companies; Institutional investors rational sentiment and individual investors irrational sentiment both can shape the over-optimism of the IPO company managers, institutional investors has a significantly negative correlation with the over-optimism of the IPO company managers, individual investors irrational sentiment has a significantly negative correlation with the over-optimism of the IPO company managers; When the IPO companies have a high over-funding and have abundant cash flow, the over-optimism of the IPO company managers can aggravate over-investment behavior of the company and damage the company's overall performance level; When the IPO companies have a low over-funding and lack of cash flow, the over-optimism of the IPO company managers can alleviate the underinvestment caused by lack of funds and will help improve the company's performance. At the same time, individual investors irrational sentiment will affect the performance of IPO companies by the " intermediate channel of managerial over-optimism". The results have a certain explanation about the phenomenon of "IPO discount puzzle" in China, and also contribute to manager of IPO company to identify the information value in stock market and take appropriate financing stratrgy.
引文
[1]RITTER J,WELCH I.A review of IPO activity,pricing,and allocation[J].Journal of Finance,2002,57(4):1795-1828.
[2]IBBOTSON R G.Price performance of common stock issues[J].Journal of Financial Economics,1975,2(3):235-272.
[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]俞红海,刘烨,李心丹.询价制度改革与中国股市IPO“三高”问题——基于网下机构投资者报价视角的研究[J].金融研究,2013(10):167-180.
[5]ROCK K.Why new issues are underpriced[J].Journal of Financial Economics,1986,15(1/2):187-212.
[6]BENVENISTE L M,WILHELM W J.A comparative analysis of IPO proceeds under alternative regulatory environment[J].Journal of Financial Economics,1990,28(1/2):173-207.
[7]SHERMAN A E,TITMAN S.Building the IPO order book:Underpricing and participation limits with costly information[J].Journal of Financial Economics,2002,65(1):3-29.
[8]LJUNGQVIST A,WILHELM W J.IPO allocations:Discriminatory or discretionary[J].Journal of Financial Economics,2002,65(2):167-201
[9]LJUNGQVIST A,NANDA V,SINGH R.Hot markets,investor sentiment,and IPO pricing[J].The Journanl Business,2006,79(4):1667-1702.
[10]COMRNELLI F,GOLDREICH D,LJUNGQVIST A.Investor sentiment and pre-IPO markets[J].The Journal of Finance,2006,61(3):1187-1216.
[11]DORN D.Does sentiment drive the retail demand for IPOs?[J].Journal of Financial an Quantitative Analysis,2009,44(1):85-108.
[12]CHAN Y C.How does retail sentiment affect IPO returns?Evidence from the Internet bubble period[J].International Review of Economics and Finance,2013,29:235-248.
[13]BAKER M,STEIN J C.Market liquidity as a sentiment indicator[J].Journal of Financial Markets,2004,7(3):271-299.
[14]POLK C,SAPLENZA P.The stock market and corporate investment:A test of catering theory[J].Review of Financial Studies,2009,22(1):187-217.
[15]LARWOOD L,WHITTAKER W.Managerial myopia:Self-serving biases in organizational planning[J].Journal of Applied Psychology,1977,62(2):194-198.
[16]BAKER M,WUEGLER J.Dividends as reference points:A behavioral sigaling approach[J].Review of Financial Studies,2016(3):697-738.
[17]NOFSINGER J R.Social mood and financial economics[J].Journal of Behavioral Finance,2005,6(3):144-160.
[18]HACKBARTH D.Determinants of corporate borrowing:A behvioral perspective[J].Journal of Corporate Finance,2009,15(4):389-411
[19]花贵如,刘志远,许骞.投资者情绪、管理者乐观主义与企业投资行为[J].金融研究,2011(9):178-191.
[20]LEASE R C,LEWELLEN W G,SCHLARBAUM G G.The individual Investor:Attributes and attitudes[J].The Journal of Finance,1974,29(2):413-33.
[21]BLACK F.Noise[J].The Journal of Finance,1986,41(3):529-543.
[22]De LONG J B,SHLEIFER A,SUMMERS L H,et al.Noise trader risk in financial markets[J].Journal of Political Economy,1990,98(4):703-738.
[23]De LONG J B,SHLEIFER A,SUMMERS L H,et al.Positive feedback investment strategies and destabilizing rational speculation[J].Journal of Finance,1990,45(2):375-395.
[24]SCHMELING M.Institutional and individual sentiment:Smart money and noise trader risk[J].International Journal of Forecasting,2007,23(1):127-145.
[25]FAMA E,FRENCH K.Dividend yields and expected stock returns[J].Journal of Financial Economics,1988,22(8):3-25.
[26]CAMPBELL J Y.Asset prices,consumption and the business cycle[EB/OL].[2017-03-12].National Bureau of Economic Research,Woking Paper,1998,http://www.nber.org/papers/w6485.pdf.
[27]胡昌生,池阳春.投资者情绪:理性与非理性[J].金融评论,2012,4(6):46-62,122.
[28]PUKTHUANTHONG-LE K,VARAIYA N.IPO pricing,block sale and long-term performance[J].Financial Review,2007,42(3):319-348.
[29]FIELD L C,LOWRY M.Institutional versus individual investment in IPOs:The importance of firm fundamentals[J].Journal of Financial and Quantitative Analysis,2009,44(3):489-516.
[30]杨敏,陈晓红,贺正楚.机构投资者能识别业绩变脸的IPO公司吗?[J].中国软科学,2016(6):121-128.
[31]刘维奇,刘新新.个人和机构投资者情绪与股票收益——基于上证A股市场的研究[J].管理科学学报,2014,17(3):70-87.
[32]陈鹏程,周孝华.机构投资者私信信息、散户投资者情绪与IPO首日回报率[J].中国管理科学,2016,24(4):37-44.
[33]HASTORF A H,SCHNEIDER D J,POLEFKA J.Person perception(Topics in social psychology)[M].New Jersey:AssisonWesley,1970:1-114.
[34]WEINSTEIN N D.Unrealistic optimism about future life events[J].Journal of Personality and Social Psychology,1980,39(5):806-820.
[35]余丽霞,王璐.投资者情绪.管理者过度乐观与企业投资行为——基于中介效应检验[J].社会科学研究,2015(5):137-144.
[36]MALMENDIER U,TATE G.CEO overconfidence and corporate investment[J].Journalof Finance,2005,60(6):2661-2700.
[37]DOUKAS J A,PETMEZAS D.Acquisitions,overconfident managers and self-attribution bias[J].European Financial Management,2007,13(3):531-577.
[38]LIN Y H,HU S Y,CHEN M S.Managerial optimism and corporate investment:Some empirieal evidence from Taiwan[J].Pacific-Basin Finance Journal,2005,13(5):523-546.
[39]HUANG R J,LIU Y J,TZENG L Y.Hidden overconfidence and advantageous selection[J].The Geneva Risk and Insurance Review,2010,35(2):93-107.
[40]郝颖,刘星,林朝南.我国上市公司高管人员过度自信与投资决策的实证研究[J].中国管理科学,2005,13(5):142-148.
[41]许致维.管理者过度自信导致企业过度投资的实证分析——来自中国制造业上市公司2008-2011年的经验证据[J].财经科学,2013(9):51-60.
[42]王艳林.自由现金流、管理者过度自信与投资效率[J].财经理论研究,2016(2):88-99.
[43]HEATON J B.Managerial optimism and corporate finance[J].Financial Management,2002,31(2):33-45.
[44]BEN DAVID I,GRAHAM J R,HARVEY C R.Managerial overconfidence and corporate policies[EB/OL].[2017-03-05].National Bureau of Economic Research,Woking Paper,2007,http://www.nber.org/papers/w13711.pdf.
[45]FAIRCHILD R.The effect of managerial overconfidence,asymmetric information,and moral hazard on capital finance[J].ICFAI Journal of behavioral finance,2005,2(4):194-198.
[46]BAKER M,WURGLER J.Behavioral corporate finance:An updated survey[M].Handbook of the Economics Finance,Amsterdam:Elsevier,2012(2):1-106.
[47]姜付秀,张敏,陆正飞,等.管理者过度自信、企业扩张与财务困境[J].经济研究,2009(1):131-143.
[48]BAKER M,WUEGLEr J.Investor sentiment and the cross-section of stock returns[J].Journal of Finance,2006,61(4):1645-1680.
[49]KUMAR A,LEE C M C.Retail investor sentiment and return comovements[J].Journal of Finance,2006,61(5):2451-2486.
[50]VERMA R,VERMA P.Noise trading and stock market volatility[J].Journal of Multinational Financial Management,2007,17(3):231-243.
[51]江昌云,武佳薇.媒体语气、投资者情绪与IPO报价[J].金融研究,2015(9):174-189.
[52]宋顺林,王彦超.投资者情绪如何影响股票定价?——基于IPO公司的实证研究[J].管理科学学报,2016,19(5):41-55.
[53]王山慧,王宗军,田原.管理者过度自信、自由现金流与上市公司多元化[J].管理工程学报,2015,29(2):103-111.
(1)机构投资者的私人信息可以看作来自于机构投资者的职业优势,当然散户投资者如果愿意付出较高的成本,也可以获得这类私人信息,但散户投资者更愿意选择“搭便车”,因为他们可以通过观察机构投资者的报价间接获得这类私人信息。
(2)实际盈利低于预测的类型主要有三种:(1)预盈,但实际预亏;(2)预增,但实际盈利下降;(3)预增,但实际增幅低于预期。反之,则为实际盈利高于预期。此外,有些预测信息披露实际上属于“预告”,而不是“预测”,借鉴姜付秀等(2009)、花贵如等(2011)的方法,本文剔除了这类预告样本。
[2]IBBOTSON R G.Price performance of common stock issues[J].Journal of Financial Economics,1975,2(3):235-272.
[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]俞红海,刘烨,李心丹.询价制度改革与中国股市IPO“三高”问题——基于网下机构投资者报价视角的研究[J].金融研究,2013(10):167-180.
[5]ROCK K.Why new issues are underpriced[J].Journal of Financial Economics,1986,15(1/2):187-212.
[6]BENVENISTE L M,WILHELM W J.A comparative analysis of IPO proceeds under alternative regulatory environment[J].Journal of Financial Economics,1990,28(1/2):173-207.
[7]SHERMAN A E,TITMAN S.Building the IPO order book:Underpricing and participation limits with costly information[J].Journal of Financial Economics,2002,65(1):3-29.
[8]LJUNGQVIST A,WILHELM W J.IPO allocations:Discriminatory or discretionary[J].Journal of Financial Economics,2002,65(2):167-201
[9]LJUNGQVIST A,NANDA V,SINGH R.Hot markets,investor sentiment,and IPO pricing[J].The Journanl Business,2006,79(4):1667-1702.
[10]COMRNELLI F,GOLDREICH D,LJUNGQVIST A.Investor sentiment and pre-IPO markets[J].The Journal of Finance,2006,61(3):1187-1216.
[11]DORN D.Does sentiment drive the retail demand for IPOs?[J].Journal of Financial an Quantitative Analysis,2009,44(1):85-108.
[12]CHAN Y C.How does retail sentiment affect IPO returns?Evidence from the Internet bubble period[J].International Review of Economics and Finance,2013,29:235-248.
[13]BAKER M,STEIN J C.Market liquidity as a sentiment indicator[J].Journal of Financial Markets,2004,7(3):271-299.
[14]POLK C,SAPLENZA P.The stock market and corporate investment:A test of catering theory[J].Review of Financial Studies,2009,22(1):187-217.
[15]LARWOOD L,WHITTAKER W.Managerial myopia:Self-serving biases in organizational planning[J].Journal of Applied Psychology,1977,62(2):194-198.
[16]BAKER M,WUEGLER J.Dividends as reference points:A behavioral sigaling approach[J].Review of Financial Studies,2016(3):697-738.
[17]NOFSINGER J R.Social mood and financial economics[J].Journal of Behavioral Finance,2005,6(3):144-160.
[18]HACKBARTH D.Determinants of corporate borrowing:A behvioral perspective[J].Journal of Corporate Finance,2009,15(4):389-411
[19]花贵如,刘志远,许骞.投资者情绪、管理者乐观主义与企业投资行为[J].金融研究,2011(9):178-191.
[20]LEASE R C,LEWELLEN W G,SCHLARBAUM G G.The individual Investor:Attributes and attitudes[J].The Journal of Finance,1974,29(2):413-33.
[21]BLACK F.Noise[J].The Journal of Finance,1986,41(3):529-543.
[22]De LONG J B,SHLEIFER A,SUMMERS L H,et al.Noise trader risk in financial markets[J].Journal of Political Economy,1990,98(4):703-738.
[23]De LONG J B,SHLEIFER A,SUMMERS L H,et al.Positive feedback investment strategies and destabilizing rational speculation[J].Journal of Finance,1990,45(2):375-395.
[24]SCHMELING M.Institutional and individual sentiment:Smart money and noise trader risk[J].International Journal of Forecasting,2007,23(1):127-145.
[25]FAMA E,FRENCH K.Dividend yields and expected stock returns[J].Journal of Financial Economics,1988,22(8):3-25.
[26]CAMPBELL J Y.Asset prices,consumption and the business cycle[EB/OL].[2017-03-12].National Bureau of Economic Research,Woking Paper,1998,http://www.nber.org/papers/w6485.pdf.
[27]胡昌生,池阳春.投资者情绪:理性与非理性[J].金融评论,2012,4(6):46-62,122.
[28]PUKTHUANTHONG-LE K,VARAIYA N.IPO pricing,block sale and long-term performance[J].Financial Review,2007,42(3):319-348.
[29]FIELD L C,LOWRY M.Institutional versus individual investment in IPOs:The importance of firm fundamentals[J].Journal of Financial and Quantitative Analysis,2009,44(3):489-516.
[30]杨敏,陈晓红,贺正楚.机构投资者能识别业绩变脸的IPO公司吗?[J].中国软科学,2016(6):121-128.
[31]刘维奇,刘新新.个人和机构投资者情绪与股票收益——基于上证A股市场的研究[J].管理科学学报,2014,17(3):70-87.
[32]陈鹏程,周孝华.机构投资者私信信息、散户投资者情绪与IPO首日回报率[J].中国管理科学,2016,24(4):37-44.
[33]HASTORF A H,SCHNEIDER D J,POLEFKA J.Person perception(Topics in social psychology)[M].New Jersey:AssisonWesley,1970:1-114.
[34]WEINSTEIN N D.Unrealistic optimism about future life events[J].Journal of Personality and Social Psychology,1980,39(5):806-820.
[35]余丽霞,王璐.投资者情绪.管理者过度乐观与企业投资行为——基于中介效应检验[J].社会科学研究,2015(5):137-144.
[36]MALMENDIER U,TATE G.CEO overconfidence and corporate investment[J].Journalof Finance,2005,60(6):2661-2700.
[37]DOUKAS J A,PETMEZAS D.Acquisitions,overconfident managers and self-attribution bias[J].European Financial Management,2007,13(3):531-577.
[38]LIN Y H,HU S Y,CHEN M S.Managerial optimism and corporate investment:Some empirieal evidence from Taiwan[J].Pacific-Basin Finance Journal,2005,13(5):523-546.
[39]HUANG R J,LIU Y J,TZENG L Y.Hidden overconfidence and advantageous selection[J].The Geneva Risk and Insurance Review,2010,35(2):93-107.
[40]郝颖,刘星,林朝南.我国上市公司高管人员过度自信与投资决策的实证研究[J].中国管理科学,2005,13(5):142-148.
[41]许致维.管理者过度自信导致企业过度投资的实证分析——来自中国制造业上市公司2008-2011年的经验证据[J].财经科学,2013(9):51-60.
[42]王艳林.自由现金流、管理者过度自信与投资效率[J].财经理论研究,2016(2):88-99.
[43]HEATON J B.Managerial optimism and corporate finance[J].Financial Management,2002,31(2):33-45.
[44]BEN DAVID I,GRAHAM J R,HARVEY C R.Managerial overconfidence and corporate policies[EB/OL].[2017-03-05].National Bureau of Economic Research,Woking Paper,2007,http://www.nber.org/papers/w13711.pdf.
[45]FAIRCHILD R.The effect of managerial overconfidence,asymmetric information,and moral hazard on capital finance[J].ICFAI Journal of behavioral finance,2005,2(4):194-198.
[46]BAKER M,WURGLER J.Behavioral corporate finance:An updated survey[M].Handbook of the Economics Finance,Amsterdam:Elsevier,2012(2):1-106.
[47]姜付秀,张敏,陆正飞,等.管理者过度自信、企业扩张与财务困境[J].经济研究,2009(1):131-143.
[48]BAKER M,WUEGLEr J.Investor sentiment and the cross-section of stock returns[J].Journal of Finance,2006,61(4):1645-1680.
[49]KUMAR A,LEE C M C.Retail investor sentiment and return comovements[J].Journal of Finance,2006,61(5):2451-2486.
[50]VERMA R,VERMA P.Noise trading and stock market volatility[J].Journal of Multinational Financial Management,2007,17(3):231-243.
[51]江昌云,武佳薇.媒体语气、投资者情绪与IPO报价[J].金融研究,2015(9):174-189.
[52]宋顺林,王彦超.投资者情绪如何影响股票定价?——基于IPO公司的实证研究[J].管理科学学报,2016,19(5):41-55.
[53]王山慧,王宗军,田原.管理者过度自信、自由现金流与上市公司多元化[J].管理工程学报,2015,29(2):103-111.
(1)机构投资者的私人信息可以看作来自于机构投资者的职业优势,当然散户投资者如果愿意付出较高的成本,也可以获得这类私人信息,但散户投资者更愿意选择“搭便车”,因为他们可以通过观察机构投资者的报价间接获得这类私人信息。
(2)实际盈利低于预测的类型主要有三种:(1)预盈,但实际预亏;(2)预增,但实际盈利下降;(3)预增,但实际增幅低于预期。反之,则为实际盈利高于预期。此外,有些预测信息披露实际上属于“预告”,而不是“预测”,借鉴姜付秀等(2009)、花贵如等(2011)的方法,本文剔除了这类预告样本。