IPO First-Day Return and Ex Ante Equity Premium
提出一个衡量事前股权溢价的指标IPOFDR，即IPO发行价与首日收盘价之差的平均值，并发现该指标能正向预测未来市场收益、解释股票收益的横截面差异，其预测力主要源于与市场方差和平均特质方差的紧密关系，挑战了将IPO首日回报视为投资者情绪指标的观点。
Abstract This paper proposes a measure of ex ante equity premium, IPOFDR, which is the average difference between the initial public offering (IPO) offer price and the 1st-trading-day close price. I test the idea in 3 ways. First, there is a positive relation between IPOFDR and future market returns. Second, changes in IPOFDR help explain the cross section of stock returns. Third, the predictive power of IPOFDR for stock returns reflects mainly its close relation with market variance and average idiosyncratic variance—arguably measures of systematic risk. These results cast doubt on the notion that the IPO 1st-day return is a measure of investor sentiment.