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1.
引言 首次公开发行折价(Initial Public Offerings Underpricing,以下简称IPO折价),又称新股上市首日超额回报,是各国证券市场(包括新兴市场和发达市场1)的普遍现象.IPO公司为什么将超额回报拱手相让给投资者,被称为"IPO折价之谜",并引发了大量理论和实证研究.  相似文献   

2.
Using data on IPOs that are issued in Japan during January 1975–March 1989, we examine the deliberate underpricing and overreaction hypotheses to explain high initial returns at offering dates. Specifically, we analyze the cross-sectional pattern of the short- and long-run performance of IPOs. The obtained results indicate that the deliberate underpricing theories which we examine are unable to explain the high initial returns on the Japanese IPOs. Furthermore, for the average of the IPOs, the empirical results are not consistent with the overreaction hypothesis. However, there is evidence consistent with the hypothesis that for a certain minority group of IPOs, the high initial returns occur due to overreactions by investors. We interpret the overall results as indicating that the high initial returns on the Japanese IPOs can be attributed to a mixture of both underpricing and investor overreaction. We conjecture that the binding regulations in Japan led to underpricing. This revised version was published online in August 2006 with corrections to the Cover Date.  相似文献   

3.
My paper examines the aftermarket performance of private equity‐backed initial public offerings (IPOs) and compares it to the performances of equivalent samples of venture capital‐backed and other nonsponsored issues on the London Stock Exchange during the period 1992‐2005. The evidence suggests marked differences across the three groups in terms of market size, industry classification, first‐day returns, and key operating characteristics at the time of flotation. In fact, private equity‐backed IPOs are larger firms in terms of sales and assets, more profitable, and relatively modest first‐day returns. In the three years following the public listing, they display better operating and market performance when compared to other IPOs and the market as a whole.  相似文献   

4.
以1994年到1999年深、沪两市的新上市A股为样本,采用单(配对)样本t-检验、非参数的Wilcoxon配对符秩检验等研究方法,研究了新上市公司股价的异常报酬和财务绩效的关系。研究结果表明新上市公司的股价有短期正异常报酬,而且上市后当年财务经营绩效比上市前要差,上市后第二年财务经营绩效更差。  相似文献   

5.
This study examines the impact of underwriter reputation on IPO underpricing and long-run performance in the China stock market over the period 2001 to 2006. This sample period is notable for the implementation of a verification and approval system that occurred during it, which provided underwriters more freedom to price IPOs. We develop two alternative proxies to measure underwriter reputation based on either the ratio of the total gross proceeds raised or the number of IPOs managed by each underwriter. We find that underwriter reputation does not affect the level of underpricing, but that the level of long-run underperformance is significantly mitigated when IPOs are managed by more prestigious underwriters.  相似文献   

6.
This paper analyses underpricing and short-run underperformance of the Chinese A-share IPOs from Mar, 2001 to 2005 when the new approval system was adopted. We find that the average market adjusted first-day return is 93.49% in this period, a more reasonable level when compared with those in previous periods in China. The findings show that underpricing in this period is significantly affected by offering mechanisms and inequality of demand and supply of IPOs. The effect of shareholder's structure is tested in the model and state-owned share's weight is shown to increase the degree of underpricing. Meanwhile, this paper analyses IPOs' short-run underpricing on their 10th, 20th, 30th trading days. It is found that most IPOs' underpricing shrinks and the degree of shrinking degrees is different across the groups categorized by offering mechanisms. Further, the underperformance of IPOs which are underwritten by more prestigious underwriters shows a comparatively lower range and is less severe in the short-run.  相似文献   

7.
American depositary receipts (ADRs) are negotiable instruments representing foreign company shares traded in US dollars in the US capital market. We present comparative analyses of the pricing and aftermarket performance of Initial Public Offerings (IPOs) by ADRs and a matching sample of US firms over the 1990–2001 period. Offered by large, well-known multinationals, ADR IPOs go through a detailed scrutiny, and incur significant costs, during the pre-IPO period to recast financial statements in conformity with SEC rules and the US GAAP. This mitigates the information asymmetry between the IPO firm and investors. We categorize the ADR issuing country as developed or emerging, and our sample includes several cases of privatization of state owned corporations. The analyses indicate that (1) ADR IPOs are significantly less underpriced than comparable US IPOs; (2) IPOs from developed countries are more underpriced; and (3) Privatization IPOs are less underpriced than non-privatizations. The lower underpricing of ADR IPOs persists even after differential IPO attributes, the traditional proxies for information asymmetry and, the unique characteristics associated with ADR IPOs, are accounted for. We conclude that extant literature offers only partial explanation for this puzzling phenomenon.  相似文献   

8.
In this paper, we examine the premarket underpricing phenomenon within a group of venture-backed and a group of non-venture-backed initial public offerings (IPOs), using a stochastic frontier approach. Consistent with previous research, we find that venture-backed IPOs are managed by more reputable underwriters and generally are associated with less underwriter compensation. However, unlike other papers in the literature, we find that the initial-day returns of venture-backed IPOs on average, are, higher than the non-venture-backed group. We observe a significantly higher degree of premarket pricing inefficiency in the initial offer price of venture-backed IPOs. Further, our results show that a significant portion of the initial day returns is due to deliberate underpricing in the premarket.  相似文献   

9.
We argue that in an initial public offering (IPO), pre-IPO owners make decisions regarding underpricing, share retention, and share lockup simultaneously and optimally to maximize aftermarket liquidity. We predict that underpricing fosters higher trading volume in both the short run and the long run. Also, liquidity is negatively related to the proportion of shares retained by pre-IPO owners, ceteris paribus, so IPO underpricing should be positively related to the proportion of shares retained, as an offset. We document evidence consistent with these predictions. In addition, we find that, for IPOs with a lockup restriction, underpricing is more substantial and the positive relation between share retention and underpricing is much stronger. We also find that the relationship between underpricing and trading volume is stronger for IPOs with lockup. IPOs with lockup have higher trading volume, and a significant portion of this difference is associated with the effect of underpricing.JEL Classification: G10, G14, G24  相似文献   

10.
新股发行机制、投资者乐观情绪与IPO高抑价   总被引:1,自引:0,他引:1  
固定价格、累计投标询价和拍卖发行机制下的IPO抑价模型可解释我国新股发行市场长期存在的高抑价现象:散户投资者对新股发行的乐观情绪会推高二级市场的IPO交易价格,但却不能在IPO发行定价中得到完全体现。单纯通过变革新股发行机制并不能够从根本上抑制IPO高抑价产生,只有疏导散户投资者的乐观情绪才能彻底解决IPO高抑价问题,权宜之策是将散户投资者的乐观情绪嵌入IPO发行定价之中以消除IPO高抑价现象,允许散户投资者参与询价可以有效缓解这一现象,且具有可操作性。  相似文献   

11.
Pseudo Market Timing and the Long-Run Underperformance of IPOs   总被引:8,自引:0,他引:8  
Numerous studies document long-run underperformance by firms following equity offerings. This paper shows that underperformance is very likely to be observed ex-post in an efficient market. The premise is that more firms issue equity at higher stock prices even though they cannot predict future returns. Ex-post , issuers seem to time the market because offerings cluster at market peaks. Simulations based on 1973 through 1997 data reveal that when ex-ante expected abnormal returns are zero, median ex-post underperformance for equity issuers will be significantly negative in event-time. Using calendar-time returns solves the problem.  相似文献   

12.
The paper documents short- and long-run performance of initial public offerings on the Warsaw Stock Exchange from 1998 to 2008. The study reveals positive initial market-adjusted returns of 13.95 percent and significant long-term underperformance with mean of -22.62 percent for the three-year buy-and-hold strategy. We introduce ordinary least squares regressions to find determinants of initial returns. Our findings document strong explanatory power of early aftermarket volatility, issuer's size, growth opportunities, and profitability before the offering. Moreover, those variables that can partly explain differences in initial returns can also help to shed light on the long-term underperformance issue. Our results are thus consistent with Miller's (1977) divergence of opinion hypothesis.  相似文献   

13.
Abstract:  Using a unique sample of 444 entrepreneurial IPOs in the UK and France, this paper analyses the investment patterns and the stock-market performance effects of two types of early stage investors: venture capitalists (VCs) and business angels (BAs). Extending existing research, we identify important endogeneity and institutional effects. Our findings indicate that UK IPOs have a higher retained ownership and lower participation ratio by BAs, but a lower retained ownership and participation ratio by VCs than in France. BA and VC investments are substitutes, and they are endogenously determined by a number of firm- and founder-related factors, such as founder ownership and external board 'interlocks', and underwriter reputation. UK VCs are effective third-party certifying agents who reduce underpricing in UK IPOs, whereas in French IPOs they increase it by appearing to engage in grandstanding. This certification effect is more significant in UK IPOs involving both high VC and BA ownership. Finally, underpricing increases with VC participation ratio, where the higher exit of VCs seems to increase the risk premium required by outside investors, in particular in the UK.  相似文献   

14.
我国创业板IPO自开板以来表现出较高的抑价率,其影响因素较多。本文首先从公司内在价值、市场信息和投资者先验乐观情绪三方面对影响创业板IPO抑价的因素进行了理论分析;然后建立了不同的回归模型进行实证检验。结果发现市场信息和投资者先验乐观情绪是抑价率的主要影响因子,公司的内在价值在抑价上较少得到体现。IPO首日换手率较高,股票的流动性较强,但存在一定的操控性因素。  相似文献   

15.
投资者注意力作为一种稀缺的认知资源对资产定价、投资决策等有重要影响。本文使用百度指数的用户关注度作为注意力的代理变量,考察了投资者有限注意力对基金投资决策的影响.分析了基金市场中影响投资者注意力的因素。当投资者购买基金时,由于面对可供选择的庞大数量基金.投资者的有限注意力将影响基金申购,而且有证据表明投资者注意到基金以后经过两到五周的时间才会中购基金;当投资者卖出基金时,由于仅面对少数几只己经买入的基金,投资者注意力不会影响基金赎回。此外,本文发现短期业绩较好和短期波动较大的基金更能吸引投资者的注意。同时基金的营销手段对于吸引投资者的注意力起到了良好的作用。  相似文献   

16.
Corners were prevalent in the nineteenth and early twentieth century. We first develop a rational expectations model of corners and show that they can arise as the result of rational behavior. Then, using a novel hand-collected data set, we investigate price and trading behavior around several well-known stock market and commodity corners which occurred between 1863 and 1980. We find strong evidence that large investors and corporate insiders possess market power that allows them to manipulate prices. Manipulation leading to a market corner tends to increase market volatility and has an adverse price impact on other assets. We also find that the presence of large investors makes it risky for would-be short sellers to trade against the mispricing. Therefore, regulators and exchanges need to be concerned about ensuring that corners do not take place since they are accompanied by severe price distortions.  相似文献   

17.
18.
Abstract:   Academic research into firms that have gone public has focused on the study of two anomalies: initial underpricing and long‐run underperformance. We analyse Spanish Initial Public Offerings to provide additional evidence on the long‐run performance of IPOs and its relationship with initial underpricing. Results reveal the existence of negative long‐run abnormal stock returns, in line with the international literature. Long‐run performance presents a positive relationship with underpricing and the volume of funds obtained in seasoned offerings, in consonance with the predictions of Allen and Faulhaber (1989) , Welch (1989) and Grinblatt and Hwang (1989) .  相似文献   

19.
问题的提出 Leland和Pyle(1979)、Campbell和Keracaw(1980)、Diamond(1984)认为金融中介机构在金融市场中扮演了信息生产人的角色.  相似文献   

20.
黄华民 《银行家》2004,(11):92-93
细读《保险机构投资者股票投资管理暂行办法》,可以发现保险机构投资者获准入市之后,还有很多问题值得我们关注……  相似文献   

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