Capital market equilibrium with heterogeneous investors

As a two-parameter model that satisfies stochastic dominance, the mean-extended Gini model is used to build efficient portfolios. The model quantifies risk aversion heterogeneity in capital markets. In a simple Edgeworth box framework, we show how capital market equilibrium is achieved for risky assets. This approach provides a richer basis for analysing the pricing of risky assets under heterogeneous preferences. Our main results are: (1) identical investors, who use the same statistic to represent risk, hold identical portfolios of risky assets equal to the market portfolio; and (2) heterogeneous investors as expressed by the variance or the extended Gini hold different risky assets in portfolios, and therefore no one holds the market portfolio.     

Index arbitrage with heterogeneous investors: A smooth transition error correction analysis

The traditional index arbitrage model assumes a constant threshold mispricing between the futures and cash prices for all investors. Allowing for heterogeneity in investors' transaction costs, objectives, and capital constraints, we model the intraday mispricing of DJIA futures as a smooth transition autoregressive (STAR) process with the speed of adjustment toward equilibrium varying directly with the mispricing. We show that the observed mean reversion in mispricing changes is induced by heterogeneous arbitrageurs, instead of a statistical illusion-infrequent trading of index portfolio stocks. We further use a STAR error correction model to describe the nonlinear dynamics between the DJIA futures and index. This model describes not only which market is more informationally efficient than the other, but also the legging process – the nonsimultaneous establishing of cash and futures positions.     

Bookbuilding and Strategic Allocation

In the bookbuilding procedure, an investment banker solicits bids for shares from institutional investors prior to pricing an equity issue. The banker then prices the issue and allocates shares at his discretion to the investors. We examine the books for 39 international equity issues. We find that the investment banker awards more shares to bidders who provide information in their bids. Regular investors receive favorable allocations, especially when the issue is heavily oversubscribed. The investment banker also favors revised bids and domestic investors.     

Secret Reservation Prices in Bookbuilding

Why is the issuer's reservation price not disclosed in bookbuilding?We analyze the differential effect of reservation price disclosureon the underpricing required to elicit truthful indicationsof interest from investors. We find that a policy of disclosurewould increase proceeds for firms with a reservation price sufficientlyhigh relative to possible investor valuations of the shares,but would decrease proceeds for issuers with lower reservationprices. The former group is likely to be absent from the IPOmarket, explaining why secrecy in reservation prices is thenorm.     

Reforming the Bookbuilding Process for IPOs

The controversy over IPOs has raised questions about whether retail investors are being unfairly denied access to shares in IPOs and whether the new Internet auction methods might provide a fairer and more efficient way to allocate shares. This article argues that much of the popular concern may be misdirected. By and large, bookbuilding is well designed to accomplish price discovery in a cost-effective way. And standard auctions, which have been all but abandoned in a number of countries, have generally proved disappointing for equity IPOs (although they have been successful for bond offerings). The authors propose a "hybrid" form of securities issuance that would retain the advantages of bookbuilding while incorporating a public offer "tranche" for retail investors and other measures designed to increase transparency.     

和海外投资者有效沟通--新华美通董事总经理John M.Williams谈"投资者专线"

随着中国经济的发展,越来越多的公司已经不满足于国内市场的融资能力,如何与亚洲其他国家乃至西方的投资者进行有效沟通,以获得最终资金的支持,已经引起了国内公司与各类金融机构的关注.     

Bids and Allocations in European IPO Bookbuilding

This paper uses evidence from a data set of 27 European IPOs to analyze how investors bid and the factors that influence their allocations. We also make use of a unique ranking of investor quality, associated with the likelihood of flipping the IPO. We find that investors perceived to be long‐term holders of the stock are consistently favored in allocation and in out‐turn profits. In contrast to Cornelli and Goldreich (2001) , we find little evidence that more informative bids receive larger allocations or higher profits. Our results cast doubt upon the extent of information production during the bookbuilding period.     

Asset volatility with prospect theory investors

A realized volatility measure reflecting prospect theory investors' sentiments is empirically seen to improve volatility forecast accuracy     

ICO investors

Financial Markets and Portfolio Management - We conduct a detailed analysis of investors in successful initial coin offerings (ICOs). The average ICO has 4700 contributors. The median participant...     

累计投标询价机制下的IPOs定价及实证分析

通过回顾累计投标询价机制下IPOs定价的相关文献,并对IPOs发行过程中发行公司与机构投资者、中小投资者三方在利益最大化之间进行博弈,求解发行公司的IPOs策略及价格确定过程,在此基础上,进行实证分析。结果表明:我国在累计投标询价机制下发行股票的发行价格除了反映了发行公司股票的内在价值外,还反应了二级市场实际供求关系等外部综合影响因素。     

Corporate jets and private meetings with investors

We use corporate jet flight patterns to identify private meetings with investors that are ex ante unobservable to non-participants. Using approximately 400,000 flights, we proxy for private meetings with “roadshows,” defined as three-day windows that include flights to money centers and to non-money centers in which the firm has high institutional ownership. Roadshows exhibit greater abnormal stock reactions, analyst forecast activity, and absolute changes in local institutional ownership than other flight activity. We also find positive trading gains in firms with more complex information and infrequent private meetings, suggesting that roadshows provide participating investors an advantage over non-participating investors.     

企业家如何才能与投资人有效沟通

在投融资对接领域,企业找不到合适的投资机构,投资机构找不到可心的项目,这是一个普遍现象.因为能够符合投资机构的项目是极少数,而能够符合风险投资的项目更少,而企业不善于与投资机构打交道,又阻滞了企业与投资机构的有效的交流.在第二届中国医疗健康产业投融资峰会上,有幸与启明创投基金合伙人梁颖宇相识,梁女士是VC界资深投资家,在从业的经历中,曾参与过多个项目的投资.     

投资与合作 投资人高尔夫

2006年9月9日，北京，秋高气爽，风清云淡，正是初磋高尔夫球艺的好时节。《投资与合作》邀请数十位投次人齐聚北京天竺乡村高尔夫俱乐部，举办了一场高尔夫球赛。 上午十二时三十分球赛开始。在球场上，投资人在进退取舍，动静结合之间，为高尔夫球诠释出了完美的艺术内涵。汉能投资董事总经理陈宏以88杆的成绩勇夺第一名，华安信合有限公司董事长胡航、赛尔网络首席运营官陆凡则以94杆的成绩一同摘走了第二名的桂冠。[编者按]     

Analyst Hype in IPOs: Explaining the Popularity of Bookbuilding

The bookbuilding IPO procedure has captured significant marketshare from auction alternatives recently, despite the significantlylower costs related to the auction mechanism. In France, whereboth mechanisms were used in the 1990s, the ostensible advantagesof bookbuilding were advertising-related benefits. Book-builtissues were more likely to be followed and positively recommendedby lead underwriters. Even nonunderwriters' analysts promotebook-built issues more in order to curry favor with the IPOunderwriter for allocations of future deals. Yet we do not observevaluation or post-IPO return differentials that suggest thesetypes of promotion have any value to the issuing firm.     

Inexperienced investors and bubbles

We use mutual fund manager data from the technology bubble to examine the hypothesis that inexperienced investors play a role in the formation of asset price bubbles. Using age as a proxy for managers’ investment experience, we find that around the peak of the technology bubble, mutual funds run by younger managers are more heavily invested in technology stocks, relative to their style benchmarks, than their older colleagues. Furthermore, young managers, but not old managers, exhibit trend-chasing behavior in their technology stock investments. As a result, young managers increase their technology holdings during the run-up, and decrease them during the downturn. Both results are in line with the behavior of inexperienced investors in experimental asset markets. The economic significance of young managers’ actions is amplified by large inflows into their funds prior to the peak in technology stock prices.     

Equilibrium with investors using a diversity of deviation measures

It has been argued that investors who optimize their portfolios with attention paid only to mean and standard deviation will all end up choosing some multiple of a certain master fund portfolio. Justification for the capital asset pricing model of classical portfolio theory, which relates individual assets to such a master fund, has come from this direction in particular. Attempts have been made to provide solid mathematical support by showing that the imputed behavior of investors is a consequence of price equilibrium in a market in which assets are traded subject to budget constraints, and optimization is carried out with respect to utility functions that depend only on mean and standard deviation.     

Robinhood investors and corporate misconduct

Using the data of retail investors' stock holdings, this study examined the effect of corporate misconduct on investor behavior. Our results showed that the number of retail investors investing in fraudulent firms tends to increase throughout the misconduct and during the public announcement. We also found that the increased volatility of stock returns heightens the interest of retail investors in the fraudulent stocks before and during the announcement of corporate misconduct. However, there was no significant change in their number after the announcement. Retail investors did not sell fraudulent stocks that have already lost significant value after the public announcement of corporate misconduct.     

Lucky lots and unlucky investors

Review of Quantitative Finance and Accounting - The number 8 is considered lucky under the Chinese culture. This paper tries to examine whether investors hold such superstitious belief in the Hong...     

Short-horizon regulation for long-term investors

We study the effects of imposing repeated short-horizon regulatory constraints on long-term investors. We show that Value-at-Risk and Expected Shortfall constraints, when imposed dynamically, lead to similar optimal portfolios and wealth distributions. We also show that, in utility terms, the costs of imposing these constraints can be sizeable. For a 96% funded pension plan, both an annual Value-at-Risk constraint and an annual Expected Shortfall constraint can lead to an economic cost of about 2.5–3.8% of initial wealth over a 15-year horizon.