Investor sentiment and pre-IPO markets

被引:232
|
作者
Cornelli, Francesca
Goldreich, David
Ljungqvist, Alexander [1 ]
机构
[1] London Business Sch, London NW1 4SA, England
[2] Univ Toronto, Rotman Sch Management, Toronto, ON, Canada
[3] NYU, Stern Sch Business, New York, NY USA
来源
JOURNAL OF FINANCE | 2006年 / 61卷 / 03期
关键词
D O I
10.1111/j.1540-6261.2006.00870.x
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We examine whether irrational behavior among small (retail) investors drives post-IPO prices. We use prices from the grey market (the when-issued market that precedes European IPOs) to proxy for small investors' valuations. High grey market prices (indicating overoptimism) are a very good predictor of first-day aftermarket prices, while low grey market prices (indicating excessive pessimism) are not. Moreover, we find long-run price reversal only following high grey market prices. This asymmetry occurs because larger (institutional) investors can choose between keeping the shares they are allocated in the IPO, and reselling them when small investors are overoptimistic.
引用
收藏
页码:1187 / 1216
页数:30
相关论文
共 50 条