Journal of Corporate Finance · Volume 42, February 2017 (In Progress), Pages 247–266

IPO市场时机选择与不确定的二级市场零售需求

作者：Francisco Santos (Norwegian School of Economics, Department of Finance)

摘要：我们建立了一个考虑不确定的二级市场零售需求的简单IPO择机模型。当公司希望高于基本面价值的发行，从而利用由投资者情绪驱动的价格高估时，公司更倾向于上市。而另一些公司在有可盈利的投资机会时需要立即融资。因此，这产生了两个经验预测：（i）发行人投资的质量和（ii）其长期业绩随着预期零售需求的增加而减少。通过使用IPO第一天的平均回报作为零售需求的代理变量，我们发现实证结果支持这个模型。首先，在IPO之后，经历低抑价率时期的发行者获利能力更强，并且投资率高于同业。相比之下，经历高抑价率时期的发行者与其控制变量组的公司具有相似的投资率，但获利能力更差。其次，高抑价的发行者长期表现不佳，低抑价的发行者则没有这种现象。

关键词：行为金融；首次公开发行；投资者情绪；市场择机

IPO market timing with uncertain aftermarket retail demand

Francisco Santos (Norwegian School of Economics, Department of Finance)

ABSTRACT

We develop a simple model of IPO timing with uncertain aftermarket retail demand. Firms prefer to go public when they expect to exploit sentiment-driven investors' overvaluations by setting offer prices above fundamental value. However, some firms have profitable investment opportunities that require immediate financing. This generates two empirical predictions: (i) the quality of the issuers' investments and (ii) their long-run performance decrease with expected retail demand. Using average IPO first-day returns as a proxy for retail demand, we find strong empirical support for the model. First, following the IPO, issuers in low-underpricing periods become more profitable and have higher investment rates than their peers. In contrast, issuers in high-underpricing periods have similar investment rates as their control firms, but become less profitable. Second, issuers in high-underpricing periods tend to underperform in the long-run, while issuers in low-underpricing periods do not.

Keywords: Behavioral finance; Initial public offerings; Investor sentiment; Market timing

原文链接：http://www.sciencedirect.com/science/article/pii/S0929119916303170

翻译：熊进宗