媒体报道、机构投资者行为与IPO定价

Media Report, Institutional Investor Behavior and IPO Pricing

以百度新闻搜索作为媒体报道数据的来源,实证检验了媒体报道量及报道倾向对IPO发行价的影响,并引入询价机构投资者行为以探究这种影响的内在机理。研究发现,媒体的非负面报道能够提高IPO发行价,即IPO发行价相对于投资价值进行了向上的调整,而负面报道导致了IPO发行价进行向下的调整。媒体报道对IPO发行价的影响主要通过询价机构投资者的参与和报价行为得以实现,研究结果能帮助加深理解"媒体信息—投资者行为—资产价格"的微观机理。

This paper takes advantage of the Baidu News Search engine to extract date of media news. We test the impact of number and tone of media report on IPO pricing and investigate the influence mechanism through inquiry institutional investors＇ behavior in the process of impaetion. The empirical findings show that the non-negative reports of media can improve the IPO price, namely the IPO price is adjusted upward relative to the investment value given by underwriter. But the negative reports lead to downward adjustment of IPO price. The effect of media report on IPO price is realized mainly though participation and bidding behavior of institutional investors. In a word, the result confirmed the microscopic mechanism which is presented ＂media information-investor behavior-asset price＂.