Investors Sentiment,Underwriter Pricing and the IPOs Return
研究中国IPO询价机制中承销商利用投资者乐观情绪抬高发行价的行为，发现承销商声誉能抑制这一冲动，但发行价越高则首日回报越低，且长期回报也受负面影响。
Under the book-building process in China,IPO underwriter has no discretion over new issue shares. When the underwriter is endowed with the pricing power after the market-oriented reform for IPO,it intends to make use of the over-optimistic sentiment to enhance offering price,which is positively related with his underwriting income.This paper uses the institutional bidding data in detail during pricing period to study the Chinese book-building mechanism empirically.We find that IPO underwriter has chosen to price at the relatively high position in the demand curves for new issue shares,in other words,the offer price is significantly higher than various average statistics of institutional bids.However,underwriter reputation can restrain its impulse to inflate IPO offering price.In addition,the more offer price is inflated;the lower is the initial return on the first listing day.The trading price will decrease dramatically relative to market index after the first trading day,and the more issue price is inflated,the lower cumulative abnormal return for the regular institutional investors after the expiration of lockup on their allocated shares.