Unintended consequence of high bid price exclusion in IPO auctions: Evidence from China

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2025-01-01 DOI:10.1016/j.finmar.2024.100936

Di Wu , Xiaoke Cheng , Kam C. Chan , Shenghao Gao

引用次数: 0

Abstract

Using a reform to relax the exclusion rate of highest bids in the book-building process as an exogenous shock, we find that IPO underpricing decreases, which indicates that excluding a certain percentage of the highest bids impairs IPO pricing efficiency. Further tests reveal that relaxing the mandate increases investors’ valuation of an IPO, thereby decreasing IPO underpricing. Our results also suggest that the relaxation of the stipulation motivates investors to provide more information, as revealed by fewer anchoring bids and reduced herding behavior, as well as higher opinion divergence and better predictive power for investor bids on post-IPO prices.

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IPO拍卖中高价排除的意外后果：来自中国的证据

通过放宽最高竞价排除率的改革作为外生冲击，我们发现IPO抑价现象有所减少，这表明排除一定比例的最高竞价会损害IPO定价效率。进一步的测试表明，放宽授权增加了投资者对IPO的估值，从而减少了IPO的低定价。我们的研究结果还表明，放宽规定激励投资者提供更多信息，这表现为锚定出价减少和羊群行为减少，以及投资者对ipo后价格出价的意见分歧和预测能力增强。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.