乐观、投资者意见分歧，以及ipo长期表现不佳

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-06-01 DOI:10.1016/j.finmar.2022.100800

Naoshi Ikeda

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引用次数: 1

摘要

首次公开募股(ipo)的长期表现不佳表明后市场价格被高估了。根据异质信念理论和卖空约束理论，新股上市后市场价格被高估;此外，当投资者的平均乐观程度和意见分歧程度增加时，它们的业绩会恶化。我以日本拍卖方式ipo为研究对象，通过估计投资者意见分布的均值和分歧来检验这一现象。结果表明，乐观和背离均导致IPO首日市场价格高估;然而，只有平均乐观水平在解释ipo后表现不佳方面具有统计学意义。

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Optimism, divergence of investors’ opinions, and the long-run underperformance of IPOs

The long-run underperformance of initial public offerings (IPOs) suggests that aftermarket prices are overvalued. According to the theory of heterogeneous beliefs and short-sale constraints, the aftermarket price of IPOs is overvalued; in addition, their performance deteriorates when the mean level of optimism and degree of divergence of investors’ opinions increase. I examine this phenomenon by estimating the mean and divergence of investor opinion distribution by focusing on Japanese auction-method IPOs. According to the results, both optimism and divergence cause the overvaluation of IPO’s first-day market price; however, only the mean level of optimism is statistically significant in explaining post-IPO underperformance.

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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.