投资者行为对IPO抑价影响的比较研究

运用行为博弈理论,研究了潜在需求不确定情况下,发行人、机构投资者和散户三个参与IPO主体行为对IPO抑价的影响,并对投资者性行为进行抑价比较分析。分析表明,机构投资者和散户对新股及价值评估不存在分歧时,只存在有意抑价,IPO抑价相对较低;机构投资者和散户对新股及价值评估存在分歧时,既存在有意抑价,也存在无意抑价,IPO抑价较高,且投资者的分歧越大,IPO也抑价越高。最后,论文通过实例模拟为文本的结论提供了定量支撑。

The Comparative Study on the Influence of Investas’ Behavior on IPO Underpricing

Under the assumption that the potential demand is uncertain,this paper studis the effect of the behaviors of three main participants in IPO including issuers,institutional investors and retail investors on IPO underpricing by applying the theory of behavioral game. It conducts a comparative analysis of IPO underpricing. The analysis result shows that:when the institutional investors and retail investors have no divergence to the IPO value,there is only intentionally IPO underpricing and IPO underpricing is relatively to w;however,when the institutional investors and retail investors have divergence to the IPO value,there is unconsciously IPO underpricing as well as intentionally IPO underpricing,and IPO underpricing is high. And,the greater the divergence between the main participants of IPO is,the more divergence,and the lager unintentional underpricing there are. Finally,this paper gives an example simulation to quantitatively support its conclusions.