IPO锁定期、信息生产和效率

本文研究资产的IPO锁定期对投资者行为、市场价格波动及市场效率的影响。发现在比较一般的设定下，资产市场的信息支出并不是有效的：短期交易者对“关于信息的信息”的支出是完全浪费的。而且这类信息的搜集造成了与其无关资产的价格波动，使得两类与基本面无关的资产的价格具有了相关性。Brav and Gompers（2003）为将IPO锁定期存在的理由归纳为三类：一是作为企业质量的信号；二是用来减轻后市道德风险；三是作为投资银行从市场获得补偿的途径。本文作为一个补充，提供了第四类理由：锁定期抑制了一类无用信息的生产，减少了社会浪费。

IPO lockups, information production and efficiency

The paper studies how IPO lockups affect investors＇ behaviour, market price volatility and market efficiency. Under general assumptions, we show that the expense of information production in asset markets is inefficient： the cost of ＂ information about information＂ is totally wasteful. And ＂information about information＂ makes two unrelated assets related. Brav and Gompers （2003） listed three explanations for the existence of IPO lockups： a signal of firm quality; a commitment device to alleviate moral hazard problems; a mechanism for underwriters to extract additional compensation from the issue f＇lrrn. This paper, as a substitute, offers another explanation： lockups restrain a kind of useless information and hence improve social welfare.