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IPO首日收益异象的形成一直有争议,而发行价偏低的抑价观点也受到某些实证研究的挑战。本文在一级市场中引入噪声申购者影响,并综合信息不对称和噪声交易两类因素,对IPO首日收益的形成进行研究并实证。研究发现,IPO首日收益与新股的一、二级市场错误定价均有关,前者由信息不对称和噪声申购者共同决定,后者由上市首日的噪声交易者(狂热投资者和正向反馈交易者)决定,其中后者的影响更强。
The formation of IPO first-day returns has always been controversial, while the underpricing issue of underpricing has also been challenged by some empirical research. This paper introduces the influence of noise purchasers into the primary market, and studies the two factors of asymmetric information and noise trading to study and verify the formation of IPO first-day returns. The study found that the IPO first-day returns are related to the mispricing of the primary and secondary markets of new shares, the former being determined by the asymmetric information and the noise purchasers. The latter is determined by the noise traders on the first day of listing (avid investors and positive feedback trading Who decide, of which the latter has a stronger impact.