论文部分内容阅读
本文对新股发行市场在时间序列上的波动性进行了描述,并基于理性行为和非理性行为分析了影响时序波动性的主要因素。基于理性行为,风险组合变化和代理成本变化假说解释了首日超额收益随时间的变化,资本需求和信息不对称假说解释了发行量随时间的波动性,而信息外部性和机会窗口假说则解释了两者之间的关系;基于非理性行为,狂热投资者、正向反馈交易以及瀑布效应假说也为新股发行市场的时序波动性提供了新的研究视角。
This paper describes the volatility of the IPO market in time series, and analyzes the main factors affecting the timing volatility based on the rational behavior and irrational behavior. The excess returns on the first day over time are explained based on the rational behavior, the change of risk portfolio and the change of agency cost. The hypothesis of capital demand and information asymmetry explains the volatility of circulation over time, whereas the information externalities and opportunity window hypothesis explain The relationship between the two is based on irrational behavior, fanatical investors, positive feedback trading and the waterfall hypothesis also provides a new perspective for the timing volatility of the IPO market.