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本文首次借助于月相变化这一外生变量来衡量IPO市场中的投资者情绪,就投资者情绪对于IPO首日超额收益的影响进行实证研究。本文实证发现,投资者情绪会影响IPO首日超额收益,不同月相期内上市股票的首日超额收益存在显著差异,满月期内的IPO首日超额收益要低于新月期内的IPO首日超额收益;并且新月期的IPO首日超额收益要高于非新月期的首日超额收益。
This paper, for the first time, measures the investor sentiment in the IPO market by using the exogenous variable of the moon phase and makes an empirical study on the impact of investor sentiment on the excess return of the IPO on the first day. Empirical results show that the investor sentiment will affect the excess return on the first day of IPO. There is a significant difference in the excess return on the first day of IPO during different months. The excess return on the first day of the full month is lower than that of the IPO in the first month Day excess returns; and the new moon IPO on the first day of excess returns is higher than the non-new moon’s first day of excess returns.