上市动机、投资者情绪与首次公开募股市场收益

Motivations of Issuers' List Shares,Investor Sentiment and IPO Return

文章以发行人筹资收益最大化为假设,对市场热季周期下发行人、承销商与投资人三者之间的博弈过程以及投资者情绪对首次公开募股(IPO)市场定价的影响机制进行研究。研究结果表明,发行人最优发行数量小于市场需求数量、承销商定价低于市场需求价格的目的在于确保发行成功和获取日后收益;投资者高亢的投资情绪可以对IPO市场短期收益正偏和长期收益负偏成为普遍现象进行解释。

This paper focuses on the dynamic game of issuer,underwriter and investor if the optimal response to the presence of sentiment investors is the max profit of equity finance.Given regulatory constraints on price discrimination,we found out that the optimal stocks＇ numbers of issuers are low the market＇s demand in the short term,and the offer price are low too,but still exceeds fundamental value.It is possible that underwriter gets more profit from after-market performance.Moreover,the model relies on investor sentiment that can explain the phenomena of the excess-return in the short term and the loss in the long-term performance.