Public Information, IPO Price Formation, and Long‐Run Returns: Japanese Evidence
利用日本JASDAQ市场IPO定价过程比美国更透明的特点，分析发行价为何仅部分调整公共信息、对负面信息调整更充分，以及调整与首日回报的关系。证据表明早期价格信息反映了承销商补偿投资者获取或披露信息的承诺，发行价反映上市前公司市值及承销商与发行人的隐性协议，发行价调整不足在上市后市场中被大幅逆转。
ABSTRACT 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.