投资者关注与IPO首日超额收益——基于双边随机前沿分析的新视角

细分IPO一级市场和二级市场投资者关注指标,从一、二级市场两个维度考察投资者关注对IPO首日超额收益的影响.基于2012年～ 2015年间138只创业板IPO新股样本进行研究,采用双边随机前沿模型的检验结果表明,一级市场上股票发行定价明显偏高,新股定价前一级市场投资者关注加剧了发行价格超出内在价值的程度,由此导致较低的定价效率.隐性市盈率上限的窗口指导抑制了一级市场定价泡沫,从而在一定程度上提高了我国新股发行定价效率.进一步研究发现,一级市场定价泡沫越大的新股在上市首日产生的超额收益越高,同时二级市场投资者关注对IPO首日超额收益也具有显著的正向影响.

Investor attention and IPO abnormal initial return: A new perspective based on two-tier stochastic frontier analysis

This paper investigates the impact of investor attention on the IPO abnormal initial returns from the perspectives of the primary and secondary market respectively.Using a sample of 138 GEM IPO firms listed between April 2012 and December 2015,the results of two-tier stochastic frontier analysis show that the stocks are generally issued at premiums.Higher investor attention before the issuance pricing leads to greater gap between the issue price and the intrinsic value,resulting in a lower pricing efficiency.Furthermore,the implicit window guidance restrains the pricing bubble in the primary market.It is also found that both the pricing bubble and the investor attention in the secondary market have significant positive impacts on IPO abnormal initial returns.