理性情绪、非理性情绪与IPO定价

Rational sentiment,irrational sentiment and IPO pricing

本文将投资者情绪扩展为两个维度,即机构投资者的理性情绪和个人投资者的非理性情绪,并基于中国询价机制下的IPO新股发行背景建立模型,从微观视角分析并解释IPO新股发行中存在的“高超募、高溢价”现象。研究表明:IPO公司超募与否取决于机构投资者的私人信息,而机构投资者理性情绪与IPO公司超募程度负相关。同时发现,IPO首日高溢价率是个人投资者非理性情绪和机构投资者理性情绪共同作用的结果,其与个人投资者非理性情绪正相关,与机构投资者理性情绪同样正相关。本文以2009年7月至2014年12月中国沪深两市991家IPO公司作为样本进行了实证检验,其结果也支持了模型推导的结论。

In the capital market,investors have different views and reactions to asset information.These views and reactions may be“good”or“bad,”and drive investors to trade and create a market equilibrium price for assets.This paper expands the investor behavior into two dimensions:institutional investors’rational sentiment and individual investors’irrational sentiment.Based on the background of the IPO inquiry mechanism in China,this article aims to analyze and explain the phenomenon of"high over-funding,high premium"from a micro perspective.Firstly,we construct a mathematical model with the assumption of investors utility maximization.In the first section of the model,we analyze the impact of private information and the rational sentiment of institutional investors on the equilibrium issue price in the primary market.In the second section,we analyze the impact of the rational sentiment of institutional investors and the irrational sentiment of individual investors on the equilibrium IPO price in the secondary market.Secondly,the panel data of 991 IPO companies in Shenzhen stock exchange and Shanghai stock exchange from July 2009 to December 2014 are used for empirical analysis.The empirical results support the research model.The results show four major findings.First,whether the IPO company will be over-funding or not depends on the private information of institutional investors.When the private information is“positive,”institutional investors raise their price and demand,leading to IPO company“over-funding.”Second,the over-funding level of IPO company is negatively correlated with the rational sentiment of institutional investors.Due to the short-selling restrictions of IPO market and the long-term“IPO underpricing puzzle”in China,the rational sentiment makes institutional investors treat the“positive”private information prudently and believe that it is temporary or not good enough that institutional investors are encouraged to choose a low offer.Third,individual investors are the key to the first-day high premium rate of IPO in the Chinese stock market.The higher the irrational sentiment of individual investors,the higher the first-day premium rate.As the net buyer for new shares and the most important participant in the secondary market,the phenomenon of“first-day high premiums”makes individual investors be overly optimistic and buy more new shares blindly,leading to a higher premium.Fourth,the first-day premium rate is positively correlated with institutional investors'rational sentiment.When institutional investors’rational sentiment is higher,the issue price of an IPO company will be lower.However,individual investors are overly optimistic,thinking that the valuation is likely to be undervalued,then choosing to buy more new shares that lead to a higher first-day premium.In conclusion,rational institutional investors could reduce the over-funding degree of IPO companies,but they are not in a dominant position in China.The regulatory authorities should deepen the market-oriented reform and improve the effect of institutional investors in IPO pricing.The irrational sentiment of individual investors is the key factor of the IPO's premium.Those irrational sentiments come from information asymmetry and prior income.On the one hand,regulators should ensure that information is true and accurate.On the other hand,the irrational trading behavior of individual investors should be effectively restrained by increasing capital cost and new share risk,which can break the long-term high first-day premium.