新股发行上市中的投资者行为研究——基于交易账户数据的分析

There exist several unique institution arrangements in the Chinese initial public offering (IPO) methods, which provide a relevant background for the use of quasi-experiments research design to study certain investors behaviors' forming mechanisms. This proposal will take advantage of the investors' trading records granted by Shenzhen Stock Exchange (cooperative agency of this proposal) to study five important topics. First, how does the naive reinforcement Learning drive the institutional investors ' decisions? Especially, is there real causality between prior gain experience from IPOs and subsequent investing behaviors? Second, Will the links created by trading commissions and share controlling rights between institutional investors and security companies lead to the leakage of IPO firms' insider information before its public disclosure? Third, can institutional investors restrict effectively IPOs underwriter's overpricing intention using the votes by hands or by feet? Fourth, why do the individual investors tend to speculate crazily on the new issues around the initial listing days? We will focus on the influence of gain experience from IPOs application on the investors' psychological bias forming. Fifth, will several typical psychological bias such as main force illusion and numerological superstition about lucky stock codes affect the individual investors' behavior in the process of speculating on new issues? The analysis perspectives of these topics are independent, however, their combination can portray the investors' typical behaviors in the key segments of investment decision process (information acquisition, reinforcement learning and stock picking), and help reveal the theoretical mechanism through which these typical behaviors maybe shaped.

中国IPO新股发行体制中存在多项独特的制度安排，这为基于拟随机实验类方法研究投资者行为生成机制提供了适宜的制度背景。课题组将利用证券交易所（合作单位）提供的交易账户数据，系统的研究五个重要问题：1.机构投资者受制于简单强化式学习模式影响的内在机理，尤其是随机出现的新股盈亏经历与机构投资行为之间的因果关系。2.机构投资者与券商之间的佣金支付关联、股权控制关系引发IPO公司内幕信息提前泄露的理论机制。3.机构投资者能否通过用手投票、用脚投票等方式有效约束新股承销券商的高定价冲动。4.个体投资者在新股上市初期的“炒新”参与行为的内生机制，重点是打新盈亏经验对个体心理偏差的塑造功能。5.个体投资者在“炒新”投机中是否存在主力情结、吉利代码迷信心理等多类偏差。上述主题的分析视角虽然相对独立，但它们共同刻画了投资者在新股投资决策核心环节（信息获取、强化学习、股票选择）上的关键行为特征及其生成机理。

中国IPO新股发行体制中存在多项独特的制度安排，这为研究投资者行为生成机制提供了适宜的制度背景。课题系统研究了以下重要问题：1.机构投资者受制于简单强化式学习模式影响的内在机理。2.机构投资者与券商之间的佣金支付关联、股权控制关系引发IPO公司内幕信息提前泄露的理论机制。3.机构投资者能否有效约束新股承销券商的高定价冲动。具体而言，首先，课题组基于新股抽签分配数据，系统检验了随机的盈亏经验对机构投资行为的影响，结果发现：机构投资者显著受制于幼稚的强化式学习机制的影响；盈亏经验能够显著改变专业机构的估值信念；盈亏经验对机构行为产生影响的一种可能渠道是借助机构投资管理人的强化式学习过程。其次，课题组利用基金交易数据，基于上市公司“送转股”事件背景，系统研究了券商-基金之间的股权关系、佣金支付关系对于基金信息优势的内在影响机制，结果发现：上市公司送转股公告带来了显著为正的超额收益率，但是基金整体上在送转宣告前呈现出显著的净卖出状态；如果基金公司被证券公司控股，则这种股权关联会显著提升基金在控股券商所承销IPO公司披露送转信息前的净买入概率和净买入水平；基金公司向券商所支付的佣金越多，其在该券商所承销的IPO公司公告送转信息前的净买入概率和净买入水平越高。最后， 课题组细致刻画了投行-机构关系对股票发行、定价的作用机制，结果发现：投行可以驱动关系机构主动认购其承销的IPO新股，并引导关系机构给出与投行估值水平保持一致的高位报价；关系机构的捧场报价显著提高了股票发行价格、增加了投行的承销收入；一旦投行被赋予新股分配权力，它明显倾向于将新股抑价发行带来的巨大利益分配给在前期捧场的关系机构。