韩国个人投资者在首次公开募股(IPO)市场上是否不理性?从胜利者诅咒的角度进行解释

IF 0.7 Q4 BUSINESS, FINANCE
J. Min
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引用次数: 1

摘要

个人投资者通常被视为非理性情绪投资者,其投资行为受到心理因素的影响。本研究从短期和长期角度衡量了参与韩国市场首次公开募股(IPO)股票投资的个人投资者的实际投资回报,并调查了影响个人投资者投资情绪的IPO特征与投资回报的关系。尽管在过去13年中,首次公开募股股票在上市第一天的平均抑价达到31%,但韩国股市的个人投资者在首次公开募股的股票投资中获得的实际回报很少。IPO股票投资首日经市场调整后的回报率约为-0.5%,即使他们在上市后持有IPO股票一年,也只有3.4%。韩国IPO市场似乎存在所谓的赢家诅咒,即个人投资者被分配了相对多的高估值股票。个人投资者对IPO股票的配置取决于反映个人投资者情绪的几个因素,如以往IPO的过去表现、过去的行业回报、机构投资者的投资意图、发行规模、发行价格的上调以及发行公司的财务稳健性。研究发现,个人配置率越高,第一个交易日的短期投资回报率越低,证实了个人投资者的赢家诅咒风险。然而,从长期来看,观察到回报率的逆转,其中个人配置率高的IPO股票的长期回报率上升。为了缓解赢家诅咒风险,需要改革IPO定价机制和分配规则,以减少机构投资者和个人投资者之间的信息不对称,并反映个人投资者的认购需求。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Are Korea individual investors irrational in initial public offering (IPO) market? An explanation from the winner’s curse perspective
Individual investors are often regarded as irrational sentiment investors whose investment behaviour is affected by psychological factors. This study measures the actual investment return of individual investors who participated in initial price offering (IPO) stock investment in the Korean market from the short-term and long-term perspective and investigates the relationship with IPO characteristics that affect the investment sentiment of individual investors. Even though the underpricing of IPO stocks on the first day of listing on average reached 31% over the past 13 years, individual investors in the Korean stock market earned very little actual return on IPO stock investment. The market-adjusted return on IPO stock investment on the first day was about −0.5%, and even if they held IPO stocks for one year after listing, it was only 3.4%. The so-called winner’s curse, in which individual investors are allocated relatively many overvalued stocks appears to be present in the Korean IPO market. The allocation of IPO stocks by individual investors depends on several factors that reflect individual investors’ sentiment, such as past performance of previous IPOs, past industrial returns, institutional investors’ investment intent, offering size, an upward revision of the offer price, and issuing firm’s financial soundness. It was found that the higher the individual allocation rate, the lower the short-term investment return on the first trading day, confirming the winner’s curse risk of individual investors. However, in the long run, a reversal of returns was observed, in which the long-term returns of IPO stocks with high individual allocation rates rose. In order to mitigate the winner’s curse risk, it is desirable to reform IPO pricing mechanisms and allocation rules in a way that reduces the asymmetry of information between institutional and individual investors and reflects the subscription demand of individual investors.
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来源期刊
CiteScore
1.50
自引率
0.00%
发文量
12
审稿时长
20 weeks
期刊介绍: To provide a forum for the exchange of ideas and dissemination of empirical findings and analytical research in the specialized areas of accounting and finance with special emphasis on scholarly works with policy implications for countries in the Asia Pacific. The following are some of the topical subject areas relevant to the journal (but are not limited to): Accounting • Financial reporting and accounting standards • Auditing issues • Value based accounting and its relevance • Theory of accounting firm • Environmental auditing • Corporate governance issues • Public sector accounting Finance • Valuation of financial assets • International capital flows • Ownership and agency theory • Stock market behavior • Investment and portfolio management • Islamic banking and finance • Microstructures of financial markets
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