Investor Sentiment,Limits to Arbitrage and Private Market Returns

This article examines the relation between investor sentiment and returns in private markets. Relative to more liquid public markets, private investment markets exhibit significant limits to arbitrage that restrict an investor's ability to counteract mispricing. Using vector autoregressive models, we find a positive and economically significant relation between investor sentiment and subsequent private market returns. We provide further long‐horizon regression evidence suggesting that private commercial real estate markets are susceptible to prolonged periods of sentiment‐induced mispricing as the inability to short‐sell in periods of overvaluation and restricted access to credit in periods of undervaluation prevents arbitrageurs from entering the market.     

Listing Price, Time on Market, and Ultimate Selling Price: Causes and Effects of Listing Price Changes

Information about price changes during a home's marketing period is typically missing from data used to investigate the listing price, selling price, and selling time relationship. This paper incorporates price revision information into the study of this relationship. Using a maximum-likelihood probit model, we examine the determinants of list price changes and find evidence consistent with the theory of pricing behavior under demand uncertainty. Homes most likely to undergo list price changes are those with high initial markups and vacant homes, while homes with unusual features are the least likely to experience a price revision. We also explore the impact of missing price change information on estimating a representative model of house price and market time. Our results suggest that mispricing the home in the initial listing is costly to the seller in both time and money. Homes with large percentage changes in list price take longer to sell and ultimately sell at lower prices.     

Pricing of new equity issues in Singapore

This paper analyzes the pricing performance of new equity issues by companies which came to the new issue market and sought a listing on the Stock Exchange of Singapore during the period 1975–84. We find that the new equity issues in Singapore are more underpriced than those in the U.S., the U.K. and Australia. It appears that the greater underpricing is due largely to more conservative pricing policies followed by underwriters in Singapore. This results in greater losses suffered by the existing shareholders of the issuing companies.Dr Kie A. Wong is Senior Lecturer in the School of Management at the National University of Singapore, and Mr H. L. Chiang is Bank Officer in the Citibank N.A., Singapore.     

Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities

We examine the canonical influence of global market, currency and inflation risks on the returns from international real estate securities. In addition, we study how mispricing of credit in the local banking systems is related to the returns from these securities. We analyze a global sample of real estate securities over the period 1999 to 2011 to test our hypotheses. We find support for the anticipated relationships between macroeconomic risk factors and the returns from international real estate securities. Our evidence also supports the expected link between local credit market conditions and the performance of international real estate securities.     

The signalling process in initial public offerings

This study uses a sample of Singapore IPOs to examine the signalling process at the time of a new issue of shares. The multiple regression analysis results support three testable implications of the Grinblatt and Hwang model. We show that (1) the value of the firm is positively related to the fractional holding of the issuer, (2) the degree of underpricing is an increasing function of the variance, and (3) firm value is positively related to the degree of underpricing.     

The Pricing of Seasoned Equity Offerings: Evidence from REITs

Real estate investment trusts (REITs) have been a very active sector in the capital market over the last few years. This paper examines the pricing of seasoned equity offers by equity REITs during 1991–1996. Consistent with Parsons and Raviv's model, we find that SEOs by REITs are underpriced with respect to both the closing price on the day before and the closing price on the day of the offer. Underpricing depends on the institutional ownership of the firm's common stock. Issues by firms with higher institutional ownership are more underpriced for post-1990 REITs. Further, consistent with the notion that theories of IPO pricing apply to SEOs as well, the underpricing of SEOs is a function of the issue size and of the underwriter's reputation.     

Explaining Asset Mispricing Using the Resale Option and Inflation Illusion

We investigate the overconfidence theory and inflation‐illusion hypothesis of asset mispricing. Both concepts address subjective asset valuation but place the impetus on differing explanations within the standard dividend‐growth model. We find that one of the theoretical outcomes of overconfidence—asset turnover—consistently explains mispricing in U.S. housing markets. Further, we find that asset turnover subsumes expected inflation in certain specifications, suggesting that dispersion in investors' beliefs is a better explanation of asset mispricing than the investors' inability to properly discount future cash flows.     

Corporate governance and IPO underpricing in a cross‐national sample: A multilevel knowledge‐based view

Prior studies of IPO underpricing, mostly using agency theory and single‐country samples, have generally fallen short. In this study, we employ the knowledge‐based view (KBV) to explore underpricing across 17 countries. We find that agency indicators are insignificant predictors, board of director knowledge limits underpricing, and external knowledge both substitutes for and complements internal board knowledge. This third finding suggests that future KBV studies should consider how internal and external knowledge states interact with each other. Our study offers new insights into the antecedents of underpricing and extends our understanding of comparative governance and the KBV of the firm. Copyright © 2014 John Wiley & Sons, Ltd.     

Socioemotional wealth and IPO underpricing of family firms

Socioemotional wealth (SEW), i.e., the noneconomic utility a family derives from its ownership position in a firm, is the primary reference point for family firms. Family firms are willing to sacrifice economic gains in order to preserve their noneconomic utility. Thus, we argue that family firms sacrifice IPO proceeds by choosing higher IPO underpricing than nonfamily firms if underpricing helps them protect their SEW. Our empirical results, based on a sample of 153 German IPOs, support our hypothesis. On average, family firms have 10 percentage points more IPO underpricing than nonfamily firms. Copyright © 2014 John Wiley & Sons, Ltd.     

Geographic distance and corporate acquisitions: signals from IPO firms

This paper examines acquisitions of firms after they have undergone initial public offerings (IPOs). Combining insights from information economics with recent research on geographic distance in various market settings, the analysis investigates whether the presence or absence of different signals on IPO firms has an impact on the geographic proximity of acquirers. The central proposition we develop and test is that specific characteristics of IPOs—venture capitalist backing, investment bank reputation, and underpricing of issued shares—convey signals on these firms, which can facilitate acquisitions by more remote acquirers who are more likely to face the risk of adverse selection. Copyright © 2011 John Wiley & Sons, Ltd.     

Spatial competition and price discrimination with capacity constraints

We characterize mixed-strategy equilibria when capacity-constrained suppliers can charge location-based prices to different customers. We establish an equilibrium with prices that weakly increase in the costs of supplying a customer. Despite prices above costs and excess capacities, each supplier exclusively serves its home market in equilibrium. Competition yields volatile market shares and an inefficient allocation of customers to firms. Even ex-post cross-supplies may restore efficiency only partly. We show that consumers may benefit from price discrimination whereas the firms make the same profits as with uniform pricing. We use our findings to discuss recent competition policy cases and provide hints for a more refined coordinated-effects analysis.     

Prices and Departures in European Domestic Aviation Markets

Using data on 172 domestic city-pair markets in eight European countries, weinvestigate the effect of the market structure on airlines choices of departuresand prices. We find that flag carriers have a higher number of departures thanother airlines and that it is more likely that flag carriers are monopolists. At thesame time flag carriers do not have a higher ticket price than other airlines. Theinfluence of market power, measured with the Herfindahl index, does not havea significant effect on ticket prices, but a significant effect on the number ofdepartures: decreased market concentration and an increased number of airlinesresults in increased aggregate frequencies. Comparing the predicted ticket prices,at sample mean, between monopoly and non-monopoly routes we can reject thehypothesis of differences in equilibrium price. However, the predicted aggregatenumber of departures, calculated at sample mean, is significantly higher at non-monopoly routes compared with monopoly routes.     

A Dynamic Model of Advertising and Product Differentiation

This paper analyses a differential game of duopolisticrivalry through time where firms can use advertisingand price as competitive tools. Two cases are consideredwhereby: (1) advertising has the main effect ofincreasing market size and firms differ in productionefficiency; (2) advertising has both predatory and cooperativeeffects in a symmetric market. The former shows thatmarket shares and advertising shares are positivelycorrelated and that market size increases with thedifference in firms' relative efficiency. The latterhighlights the differences in the feedback andopen-loop strategies. It is shown that firms' advertisingare strategic complements and that profits are higherin the feedback equilibrium because firms advertise more.The applicability of the model in markets wherefranchise contracts and dealership agreements operateis also discussed.     

Is targeted advertising always beneficial?

In this paper, we study a simple model in which two horizontally differentiated firms compete in prices and targeted advertising on an initially uninformed market. First, the Nash equilibrium is fully characterized. We prove that when the advertising cost is low, firms target only their “natural markets”, while they cross-advertise when this cost is high. Second, the outcome at equilibrium is compared with random advertising. Surprisingly, we prove that firms' equilibrium profits may be lower with targeted advertising relative to random advertising, while firms are given more options with targeted advertising.     

ASYMMETRIC MARKET SHARES,ADVERTISING AND PRICING: EQUILIBRIUM WITH AN INFORMATION GATEKEEPER*

We analyze how asymmetric market shares impact advertising and pricing decisions by firms that have loyal, non‐shopping customers and can advertise to shoppers through a ‘gatekeeper.’ In equilibrium, the firm with the smaller loyal market advertises more aggressively but prices less competitively than the firm with the larger loyal market. Our results differ significantly from earlier literature which assumes that shoppers observe all prices and finds that the firm with the smaller loyal market adopts a more competitive pricing strategy. The predictions of the model are consistent with advertising and pricing behavior observed on price comparison websites such as http://Shopper.com .     

The certifier for the long run

We build a workhorse model to study the optimal and the equilibrium certifier from a long-run perspective. Firms enter the market, and invest in their capacity to provide quality, before the certification threshold is determined. With a certifier that cares about quality and externalities (such as an NGO), the threshold is demanding and the firms’ profits are small. Anticipating this, only a few firms enter the market, and they invest heavily. With a certifier mostly concerned with the firms’ profits (such as an industry association), the results are reversed. The relative importance of externalities, investments, and entry determines the socially optimal certifier identity as well as the type of certifier that is most likely to operate in equilibrium. The theory’s predictions are empirically testable and shed light on the variety of certifiers across markets and over time.     

Centrality and pricing in spatially differentiated markets: The case of gasoline

We highlight the importance of ‘centrality’ for pricing. Firms characterized by a more central position in a spatial network are more powerful in terms of having a stronger impact on their competitors' prices and on equilibrium prices. These propositions are derived from a simple theoretical model and investigated empirically for the retail gasoline market of Vienna, Austria. We compute a measure of network centrality based on the locations of gasoline stations in the road network. Results from a spatial autoregressive model show that prices of gasoline stations are more strongly correlated with prices of central competitors.     

承销商声誉与IPO抑价的关系研究综述

本文在文献回顾的基础上,对承销商声誉与IPO抑价的关系问题展开理论综述。国外通过一系列的研究表明,承销商声誉与IPO抑价之间呈负相关关系。虽然承销商声誉是影响IPO抑价率的重要因素之一,但在我国承销商声誉与IPO抑价间这种负相关关系并不显著,文章通过对国内外理论界对承销商声誉与IPO抑价之间关系的研究进行比较和综述。     

Downstream mergers in vertically related markets with capacity constraints

Motivated by a recent merger proposal in the French outdoor advertising market, we develop a model in which firms are initially endowed with some advertising capacities and compete on two fronts. First, firms compete to acquire additional advertising capacities on an upstream market; a first stage modeled as a second-price auction with externalities. Second, those firms, privately informed on their own costs, use their capacities on the downstream market to supply advertisers whose demand is random; a second stage modeled by means of mechanism design techniques. We study the linkages between the equilibrium outcomes on both markets. When a firm is endowed with more initial capacity, through the acquisition of a competitor for instance, whether it becomes more or less eager to acquire extra capacity on the upstream market depends a priori on fine details of the downstream market. Under reasonable choices of functional forms, we demonstrate that a downstream merger does not create any bias in the upstream market towards the already dominant firm.     

电煤市场中买方市场集中度对均衡价格的影响分析

几乎所有的文献都从"市场煤"与"计划电"的体制矛盾入手分析电煤价格持续上涨及发电企业经营困难的主要原因与相关对策。作者认为,在近年来电煤市场供求总量基本平衡的前提下,电煤市场价格持续大幅度上涨与发电企业买方市场集中度有关。本文运用讨价还价模型,分析了买方市场集中度变化即改单一发电企业购煤为发电集团公司统一购煤甚至多家发电集团公司统一购煤对电煤均衡价格的影响。结果表明:提高买方市场集中度能有效降低电煤市场均衡价格。