非理性投资者行为的IPO抑价理论分析

A Theoretical Analysis of Underpricing in IPOs Based on the Irrational Behavior of Investors

借鉴行为金融学中有关投资者非理性行为的观点,对中国广大中小投资者的非理性行为和中国IPO抑价的关系进行了研究。假定发行公司以筹集资金最大化为目标函数,理性的机构投资者作为代理人持有股票,并在上市后把IPO股票转售给非理性的中小投资者,以攫取他们的消费者剩余,达到目的。通过模型化该过程,发现中国的IPO高抑价与中国存在众多的非理性中小投资者有直接的关系,是他们导致了抑价这一结果。

Employing the standpoint of irrational investors in the behavior finance, the authors study the relation on the irrational behavior of medium and small Investors and underpricing of IPO in our country. The paper premises that a revenue-maximizing issuer will be regarded as the target function, and the rational institutional investors can be delegated the task of holding the stocks in the after-market for resale to the irrational medium and small investors--thereby extracting surplus from them, finally the issuer can maximize their expected revenue. We model the process mentioned above and find that the high underpricing of IPO in our country has the direct relation with numerous the irrational medium and small investors existing in our country who cause the underpricing.