摘要:这篇文献在考虑投资者情绪时研究IPO抑价,但和现有的行为金融学方面的研究并不相同。行为金融学方面的研究大多倾向于资产定价异常,如Hirshleifer(2001)研究的收益的可预测性,股权溢价之谜。这里主要研究发行人和承销商在面对市场上投资者的不同情绪时所采取的发行策略。
t prior to listing on the IPO valuation is quite different. It is assumed that emotional investors are budget constraints , budget their IPO shares on the secondary market demand for the outstanding shares . So the total IPO shares they demand curve can be written as :
Emotional investors the intrinsic value of each IPO valuation
Where is a constant, is determined by investor optimism emotional than rational investors caused overestimation part , that is when emotional than rational investor investors IPO shares on each valuation higher part . The slope of that function , which means that changes every one unit caused by movements in the opposite direction .
At that time , then , the best defined as the total demand .
, That each IPO shares , emotional than rational investor investor valuation is higher.
, That each IPO shares , emotional than rational investor investor valuations to be low.
, That each IPO shares , emotional investors and rational investors valuation equal.
Because there is no private or non-system information , emotional investors and rational investors know each other on the IPO valuation situation, but have their own idea of right in accordance with their intrinsic value per share valuation .
Since the end of the bull may be brought forward , in order to establish such a dynamic model , assuming that not all investors are sensibility when t = 1 in the market in the past. If the bull market continues until t = 2, then there may be another emotional investors see this excellent market, then they will be added to the market in the past . Therefore, the emotional needs of investors to include t = 1, t = 2 two time periods in demand , which would affect the above equation ( 2.1 ) in the solution of the demand . t = 1 time to participate in the market sensibility investors buy stocks when t = 1 and not pay a higher price than they expected prices . If they think that the bull market will continue until t = 2, they will pass on at t = 2 to forecast the demand for IPO shares on each valuation . Because emotional investors continue to believe that the bull market will be t = 2, then they are right at t = 2 demand forecast will include t = 1 and t = 2 two time periods into the market all the emotional needs of investors . This long-term needs ( and not just the demand for time t = 1 ) will impact on the above equation ( 2.1 ) in .
First determined at t = 2 for each IPO stock trading price , and then calculated accordingly transaction time t = 1 t = 0, price and the issue price . If the bull market ends , t = 2 when the price is rational investors prior to listing on the intrinsic value per share expected price , that is the end of the bull market clearly the intrinsic value , ie . If the bull market continues until t = 2, then the price will be determined at this time equation ( 1 ) in perceptual investors estimate the intrinsic value per share determined . Let the IPO issuance of shares outstanding , then there will be an optimal solution makes the biggest profit issuer ( see below ) . For t = 0, the amount of a given issue , issuance of shares outstanding amount , investors are rational investors and sensual when t = 1 , respec
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