首次公开募股中的过度反应和反应不足调查

International Journal of Economics and Financial Issues Pub Date : 2024-07-03 DOI:10.32479/ijefi.16199

Samuel Tabot Enow

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引用次数: 0

摘要

投资者往往对股票市场上的新信息反应过度或反应不足，从而对股票价格产生夸大的影响。这可能导致首次公开发行股票的错误定价。本研究旨在调查法兰克福证券交易所部分股票的过度反应和反应不足情况。本研究采用阈值 GARCH 模型对 2017 年首次公开发行的八只股票进行了抽样调查。研究结果显示，所选股票存在过度反应和反应不足的情况，其中杠杆系数在某些情况下具有统计意义。这些发现提供了宝贵的见解，因为投资首次公开发行股票的高风险可能无法弥补其回报水平。此外，投资者可以通过在定价中加入风险系数，将首次公开发行股票的投资风险降至最低。

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Investigating Overreaction and Underreaction in Initial Public Offerings

Investors often overreact and underreact to new information in stock markets which has an exaggerated effect on the stock price. This has led to possible mispricing of Initial public offering. The aim of this study was to investigate overreaction and underreaction for selected stocks in the Frankfurt stock exchange. This study employed a Threshold GARCH model on a sample of eight initial public offerings from 2017. The findings of this study revealed the presence of overreaction and underreaction in the selected stocks where the leverage coefficients were found to be statistically significant in some cases. These findings provide valuable insights as the high risk of investing in initial public offerings may not be compensated for the level of return. Also, investors can minimise the risk of investing in initial public offerings by adding a risk coefficient to their pricing.

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International Journal of Economics and Financial Issues

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期刊介绍： International Journal of Economics and Financial Issues (IJEFI) is the international academic journal, and is a double-blind, peer-reviewed academic journal publishing high quality conceptual and measure development articles in the areas of economics, finance and related disciplines. The journal has a worldwide audience. The journal''s goal is to stimulate the development of economics, finance and related disciplines theory worldwide by publishing interesting articles in a highly readable format. The journal is published Bimonthly (6 issues per year) and covers a wide variety of topics including (but not limited to): Macroeconomcis International Economics Econometrics Business Economics Growth and Development Regional Economics Tourism Economics International Trade Finance International Finance Macroeconomic Aspects of Finance General Financial Markets Financial Institutions Behavioral Finance Public Finance Asset Pricing Financial Management Options and Futures Taxation, Subsidies and Revenue Corporate Finance and Governance Money and Banking Markets and Institutions of Emerging Markets Public Economics and Public Policy Financial Economics Applied Financial Econometrics Financial Risk Analysis Risk Management Portfolio Management Financial Econometrics.