DIVERGENCE OF OPINION AND LONG‐RUN PERFORMANCE OF PRIVATE PLACEMENTS: EVIDENCE FROM THE AUCTION MARKET
利用中国私募拍卖数据构建投资者意见分歧的直接度量，发现竞价分散度高的公司发行后长期股票回报更低，且卖空限制越强该负向关系越显著，支持了过度估值假说。
Abstract In this article, we propose and construct a direct measure of investors’ divergence of opinion based on auction bids data from private placements in China. We find that firms with higher bids dispersion generate lower long‐run stock returns after the issuance of private placements. This effect is economically significant and robust when controlling for market discount, earnings management, alternative dispersion measures, and self‐selection bias. Moreover, this negative relation is stronger for stocks with more stringent short‐sale constraints. Our findings therefore provide strong evidence for the overvaluation hypothesis.