系统管理学报

Journal of Systems & Management ›› 2020, Vol. 29 ›› Issue (6): 1025-1033.DOI: 10.3969/j.issn.1005-2542.2020.06.001

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Negative Tone of Prospectus and IPO Performance

BIAN Shibo, JIA Dekui, YAN Zhipeng   

  1. 1. School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai 200433, China; 2. College of Business, Changzhou University, Changzhou 213016, Jiangsu, China; 3. Martin Tuchman School of Management, New Jersey Institute of Technology, USA
  • Online:2020-11-29 Published:2020-12-09

招股说明书负面语调与IPO表现

卞世博，贾德奎，阎志鹏   

  1. 1. 上海财经大学 统计与管理学院 上海 200433； 2. 常州大学 商学院，江苏 常州 213016； 3. 新泽西理工学院 Martin Tuchman管理学院，美国 新泽西
  • 作者简介:卞世博(1981-),男,副教授,博士生导师。研究方向为公司金融与金融工程
  • 基金资助:
    国家社会科学基金资助项目(17BJL036)

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Abstract: Using the method of textual analysis, the relationship is investigated among IPO first-day return, post-IPO long-run performance, and negative tone of prospectus, which is measured by using the Chinese financial sentiment dictionary first constructed in this paper. The findings suggest that the negative tone of prospectus is positively related to IPO first-day return. The empirical results also show that the negative tone is inversely related to post-IPO long-run performance. It is concluded that the negative tone contained in an IPO’s prospectus is able to offer useful information and help to predict IPO first-day return and post-IPO long-run performance.

Key words: prospectus, Chinses Financial Sentiment Dictionary, negative tone; IPO first-day return, long-run performance

摘要： 过构建中文财经情感词典，利用文本分析方法对招股说明书负面语调进行量化，并在此基础上实证分析招股说明书负面语调与IPO首日回报及IPO长期表现之间的可能关联。结果发现：招股说明书负面语调与IPO首日回报率之间呈显著的正相关关系；而在IPO长期表现方面，招股说明书的负面语调越强，则公司上市后投资者长期持有股票获得超额回报率的可能性越小。研究结论表明，招股说明书的负面语调有较高的有效信息含量，其量化结果对IPO首日回报及IPO长期表现有一定的解释能力。

关键词: 招股说明书, 中文财经情感词典, 负面语调, IPO首日回报率, IPO长期表现

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