印度IPO市场故意抑价与事后错价:随机前沿方法

IF 2.1 Q3 BUSINESS
Poonam Mulchandani, Rajan Pandey, Byomakesh Debata
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引用次数: 0

摘要

目的本文旨在研究2007年至2019年355家印度公司首次公开募股(IPO)的抑价现象。本文实证检验的研究问题是,印度企业高管是否故意低于IPO的公允价值来吸引投资者,从而导致上市当天的价格异常飙升。这项研究的结果挑战了人们普遍认为的IPO发行公司将资金留在桌面上的观念。在17%的整体平均上市日回报率中,上市前故意压低价格的部分仅为5.3%,而剩余的价格波动主要是市场势头以及缺乏耐心的投资者的需求未得到满足的结果。设计/方法/方法继Koop和Li(2001)之后,本研究使用随机前沿模型(SFM)来研究一级市场价格(即IPO发行价格)和二级市场价格之间的差异的常规异常。在上市日观察到的发行价格上涨被分解为反映管理层操纵程度的故意上市前定价过低部分和归因于信息不对称和普遍市场波动的上市后估值过高部分。研究结果本文使用SFM将初始回报分为经理故意定价过低和噪音交易员在市场后定价错误。这项研究发现,初始回报的很大一部分是通过市场后的错误定价来解释的。本研究发现,平均初始回报率为17%,上市前故意定价偏低为5.3%,上市后定价失误平均为11.9%。研究局限性/含义本研究可以通过估计一个系统的单边误差项来隔离上市前的定价偏低,该项误差项衡量预测发行价格与发行价格的最大偏差。因此,通过分离公司基本面的强度及其与初始回报的因果关系,初始回报的分解可能对散户投资者规划IPO退出策略特别有用。相当大比例的售后错误定价意味着未来的研究应该关注导致售后错误定价的因素。随着根本原因的确定,可以制定量身定制的政策应对措施,使投资者受益。实际含义本文实证验证了初始回报是两个组成部分的混合,即故意定价过低和售后市场定价错误。这种对初始回报的分解可能有助于投资者规划退出策略。这项研究可以帮助投资者更多地意识到公司基本面的重要性及其与初始回报的因果关系。这些信息反过来可以帮助减少投资者之间的信息不对称,并帮助他们降低逆向选择的成本。原创性/价值大量关于IPO定价的研究发现,公开发行中存在定价过低的压倒性证据。本研究试图将抑价程度分解为故意抑价和上市后的错误定价,从而补充现有关于IPO定价难题的文献。据作者所知,本研究是对印度资本市场初始收益分解文献的首次贡献。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Deliberate underpricing and after-market mispricing in Indian IPO market: Stochastic frontier approach
Purpose This paper aims to study the underpricing phenomenon of initial public offerings (IPOs) of 355 Indian companies issued from 2007 to 2019. The research question this paper empirically examines is whether Indian corporate executives deliberately underprice IPOs from its fair value to attract investors, thereby causing an abnormal spike in the prices on the listing day. The findings of this study challenge a commonly held notion of leaving money on the table by IPO issuing companies. Of the overall average listing day returns of 17%, the deliberate premarket underpricing component is found to be mere 5.3%, while the remaining price fluctuation is, inter alia, a result of market momentum along with the unmet demands of impatient investors. Design/methodology/approach Following Koop and Li (2001), this study uses Stochastic frontier model (SFM) to study a routine anomaly of disparity between the primary market price (i.e. IPO issue price) and the secondary market price (listing price). The jump in the issue price observed on a listing day is decomposed into deliberate premarket underpricing component that reflects the extent of managerial manipulation and the after-market misvaluation component attributable to information asymmetry and prevailing market volatility. Findings This paper uses SFM to bifurcate initial returns into deliberate underpricing by managers and after-market mispricing by noise traders. This study finds that a significant part of the initial return is explained through after-market mispricing. This study finds that average initial returns are 17%, deliberate premarket underpricing is 5.3% and after-market mispricing averages 11.9%. Research limitations/implications This study can isolate underpricing done at the premarket by estimating a systematic one-sided error term that measures the maximum predicted issue price deviation from the offered price. Consequentially, the disaggregation of initial returns may be especially informative for retail investors in planning their exit strategy from an IPO by separating the strength of the firm's fundamentals and its causal relationship with the initial returns. Substantial proportion of after-market mispricing implies that future research should focus on factors causing after-market mispricing. As underlying causes are identified, tailor-made policy responses can be formulated to benefit investors. Practical implications This paper has empirically validated that initial return is a mix of both components, i.e. deliberate underpricing and aftermarket mispricing. This disaggregation of initial returns can prove helpful for investors in planning their exit strategy. This study can help investors to become more aware of the importance of the fundamentals of the firm and its causal relation with the initial returns. This information in turn can help reduce the information asymmetry amongst investors and help them lessen the costs of adverse selection. Originality/value A large number of research studies on IPO pricing find overwhelming evidence of underpricing in public issues. This research attempts to decompose the extent of underpricing into deliberate underpricing and after-market mispricing, thereby supplementing the existing literature on the IPO pricing puzzle. To the best of the authors’ knowledge, this study is the first contribution to the literature on initial return decomposition for the Indian capital markets.
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