Public Information, IPO Price Formation, and Long-Run Returns: Japanese Evidence

• 成果类型: Article
• 署名作者: Kutsuna, Kenji; Smith, Janet Kiholm; Smith, Richard L.
• 署名单位: Kobe University; Claremont Colleges; Claremont Graduate University; Claremont McKenna College; University of California System; University of California Riverside; Claremont Colleges; Claremont Graduate University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01440.x
• 发表日期: 2009
• 页码: 505-546
• 关键词: PARTIAL ADJUSTMENT; stabilization; OFFERINGS; issues; book; reputation; table; STOCK; money; MODEL

摘要

The price formation process of JASDAQ IPOs is more transparent than in the United States. The transparency facilitates analysis of important issues in the IPO literature-why offer prices only partially adjust to public information and adjust more fully to negative information, and why adjustments are related to initial returns. The evidence indicates that early price information conveys the underwriter's commitment to compensate investors for acquiring and/or disclosing information. Offer prices reflect pre-IPO market values of public companies and implicit agreements between underwriters and issuers that originate well before the offering. Underadjustment of offer prices is substantially reversed in the aftermarket.