Do Investors Overweight Personal Experience? Evidence from IPO Subscriptions
利用芬兰IPO数据，发现投资者过去IPO回报与未来认购之间存在强正相关，且该效应源于个人经验而非市场周期或财富效应，支持强化学习理论，为投资者情绪驱动IPO需求提供了微观基础。
ABSTRACT We find a strong positive link between past IPO returns and future subscriptions at the investor level in Finland. Our setting allows us to trace this effect to the returns personally experienced by investors; the effect is not explained by patterns related to the IPO cycle, or wealth effects. This behavior is consistent with reinforcement learning, where personally experienced outcomes are overweighted compared to rational Bayesian learning. The results provide a microfoundation for the argument that investor sentiment drives IPO demand. The paper also contributes to understanding how popular investment styles develop, and has implications for the marketing of financial products.