Investor Sentiment and Pre‐IPO Markets
利用欧洲IPO前的灰色市场价格衡量散户投资者情绪，发现高灰色市场价格（过度乐观）能很好预测首日收盘价，且仅在高价后出现长期反转，原因是机构投资者可在散户乐观时转售股票。
ABSTRACT We examine whether irrational behavior among small (retail) investors drives post‐IPO prices. We use prices from the grey market (the when‐issued market that precedes European IPOs) to proxy for small investors' valuations. High grey market prices (indicating overoptimism) are a very good predictor of first‐day aftermarket prices, while low grey market prices (indicating excessive pessimism) are not. Moreover, we find long‐run price reversal only following high grey market prices. This asymmetry occurs because larger (institutional) investors can choose between keeping the shares they are allocated in the IPO, and reselling them when small investors are overoptimistic.