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

IPO市場時機選擇與不确定的二級市場零售需求

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

摘要：我們建立了一個考慮不确定的二級市場零售需求的簡單IPO擇機模型。當公司希望高于基本面價值的發行，從而利用由投資者情緒驅動的價格高估時，公司更傾向于上市。而另一些公司在有可盈利的投資機會時需要立即融資。因此，這産生了兩個經驗預測：（i）發行人投資的質量和（ii）其長期業績随着預期零售需求的增加而減少。通過使用IPO第一天的平均回報作為零售需求的代理變量，我們發現實證結果支持這個模型。首先，在IPO之後，經曆低抑價率時期的發行者獲利能力更強，并且投資率高于同業。相比之下，經曆高抑價率時期的發行者與其控制變量組的公司具有相似的投資率，但獲利能力更差。其次，高抑價的發行者長期表現不佳，低抑價的發行者則沒有這種現象。

關鍵詞：行為金融；首次公開發行；投資者情緒；市場擇機

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

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0929119916303170

翻譯：熊進宗