投资者的异质预期对IPO抑价的影响

Effect of Heterogeneous Expectation on IPO Underpricing

针对IPO抑价中的有意抑价和无意抑价问题,运用行为金融理论,在以机构投资者利益最大化推导出机构投资者需求函数的基础上,研究了散户和机构投资者的同质和异质预期对IPO抑价的影响,并进行抑价进行比较分析。研究表明:机构投资者具有有意抑价的激励;当机构投资者与散户对新股价值不存在分歧时,IPO抑价中只有有意抑价,而无无意抑价;当机构投资者与散户对新股价值存在分歧时,分歧越大,IPO抑价越高,而抑价中的有意抑价不变、无意抑价增大。

In the view of intentional and unintentional underpricing in IPO underpricing,this paper uses the behavioral finance theory,and deduces the institutional investor＇s demand function on the basis of benefit maximization of the institutional investor,and studies the effects of heterogeneous and homogeneous expectations of the retail and the institutional investor on IPO underpricing.The result shows that the institutional investor have a motivation to suppress the price.When the retail and the institutional investor have no divergence to IPO value,namely,homogeneous expectation exists,there is only intentional underpricing in IPO underpricing,and no unintentional underpricing exists.Inversely,it will lead to yield higher IPO underpricing.Moreover,the more divergence,the larger unintentional underpricing,but the intentional underpricing is stable.