Does Sentiment Drive the Retail Demand for IPOs?
利用德国一家大型零售经纪商1999-2000年的客户交易数据，发现零售买家在发行前市场持续为IPO支付过高价格，表明情绪驱动了零售交易决策，且情绪影响价格，导致高首日回报和低后续回报。
Abstract Individual and institutional investors can trade German initial public equity offerings on an as-if/when-issued basis before the start of secondary trading. Using actual when-issued trades made by a sample of clients at a large German retail broker during 1999 and 2000, the paper documents that retail buyers consistently overpay for initial public offerings (IPOs) in the when-issued market relative to the immediate aftermarket. The observed willingness to overpay points to sentiment as a driver of retail trading decisions. Consistent with this interpretation and with sentiment affecting prices, IPOs that are aggressively bought by individuals in the when-issued market exhibit high first-day returns as well as poor aftermarket returns relative to benchmarks of similar stocks.