Investor sentiment and pre-IPO markets

• 成果类型: Article
• 署名作者: Cornelli, Francesca; Goldreich, David; Ljungqvist, Alexander
• 署名单位: University of London; London Business School; University of Toronto; New York University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2006.00870.x
• 发表日期: 2006
• 页码: 1187-1216
• 关键词: LONG-RUN PERFORMANCE; venture; money; MODEL

摘要

We examine whether irrational behavior among small (retail) investors drives post-IPO prices. We use prices from the grey market (the when-issued market that precedes European IPOs) to proxy for small investors' valuations. High grey market prices (indicating overoptimism) are a very good predictor of first-day aftermarket prices, while low grey market prices (indicating excessive pessimism) are not. Moreover, we find long-run price reversal only following high grey market prices. This asymmetry occurs because larger (institutional) investors can choose between keeping the shares they are allocated in the IPO, and reselling them when small investors are overoptimistic.