Do Investors Learn from Experience? Evidence from Frequent IPO Investors

• 成果类型: Article
• 署名作者: Chiang, Yao-Min; Hirshleifer, David; Qian, Yiming; Sherman, Ann E.
• 署名单位: DePaul University; National Chengchi University; University of California System; University of California Irvine; University of Iowa
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq151
• 发表日期: 2011
• 页码: 1560
• 关键词: Auctions; games

摘要

We examine how experience affects the decisions of individual investors and institutions in IPO auctions to bid in subsequent auctions, and their bidding returns. We track bidding histories for all 31,476 individual investors and 1,232 institutional investors across all 84 IPO auctions during the period from 1995 to 2000 in Taiwan. For individual bidders, (1) high returns in previous IPO auctions increase the likelihood of participating in future auctions; (2) bidders' returns decrease as they participate in more auctions; (3) auction selection ability deteriorates with experience; and (4) those with greater experience bid more aggressively. These findings are consistent with naive reinforcement learning wherein individuals become unduly optimistic after receiving good returns. In sharp contrast, there is little sign that institutional investors exhibit such behavior.