IPO pricing in hot market conditions: Who leaves money on the table?

• 成果类型: Article
• 署名作者: Derrien, F
• 署名单位: University of Toronto
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2005.00736.x
• 发表日期: 2005
• 页码: 487-521
• 关键词: initial public offerings; Investor sentiment; stabilization; issues; Underwriters; allocation; RISK

摘要

This paper explores the impact of investor sentiment on IPO pricing. Using a model in which the aftermarket price of IPO shares depends on the information about the intrinsic value of the company and investor sentiment, I show that IPOs can be overpriced and still exhibit positive initial return. A sample of recent French offerings with a fraction of the shares reserved for individual investors supports the predictions of the model. Individual investors' demand is positively related to market conditions. Moreover, large individual investors' demand leads to high IPO prices, large initial returns, and poor long-run performance.