IPO Pricing in “Hot” Market Conditions: Who Leaves Money on the Table?
研究投资者情绪如何影响IPO定价，发现即使IPO定价过高，仍可能因情绪因素出现正初始回报。基于法国样本，个人投资者需求与市场热度正相关，其高需求导致高发行价、高初始回报和长期表现不佳。
ABSTRACT 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.