Endogenous Entry and Partial Adjustment in IPO Auctions: Are Institutional Investors Better Informed?

• 成果类型: Article
• 署名作者: Chiang, Yao-Min; Qian, Yiming; Sherman, Ann E.
• 署名单位: University of Iowa; National Chengchi University; DePaul University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhp066
• 发表日期: 2010
• 页码: 1200
• 关键词: initial public offerings; Information production; STRATEGIC ALLOCATION; costly information; ORDER BOOK; issues; INVESTMENT; returns; MARKETS; JAPAN

摘要

Using a unique dataset of complete bid information for every IPO auction in Taiwan during 1995-2000, we examine the behaviors and returns of two groups-institutional and retail investors in a setting in which underwriters do not have pricing or allocation discretion. We find that the bids of institutional investors are generally consistent with the predictions of IPO auction theory for informed bidders, while those of individual investors are not. Specifically, returns are higher when more institutional investors enter the auction or bid higher prices, suggesting institutional investors are informed and are also able to shave bids adequately. However, individual investors as a group exhibit return-chasing behavior, are uninformed, and systematically overbid. (JEL G24, G28, G32)