投资者异质预期对中国IPOs异常收益影响的-研究.pdf

ABSTRACT IPO underpricing is a hot topic in academic research but as the development of the IPO pricing reform there is another phenomenon arise that is the IPO breaking. Both the underpricing and the breaking are evidences to show that there is an abnormal return in IPO market. So this paper tried to find the condition and the reason of that by the way of statistical analysis and agent-based computational finance. I choose the IPOs issued from January 1st, 2010 to October 31th, 2014, and divided them into 3 groups including the underpricing group , the breaking group and the middle group. By analysis the financial condition and some other conditions of the stock and the time the breaking stock return to the issue price I found that all the financial data of the stocks in the 3 groups appear to fall a lot after listed on board. The PE ratio of breaking group is lower than underpricing group but the placement is higher and the institutional investors holding proportion of the breaking group is lower and the winning rate is higher. I also analysis the recover time of the breaking stocks and found that more than 76% of the recover stocks would break again. As the stock market is not mature that the investor behavior maybe a reason for IPO abnormal return. So by the way of agent-based computational finance I analyzed the investor heterogeneous expectations’ influence on IPO abnormal return. From the research I found that the issue price is high if the institutional investors heterogeneous expectations high. The individual investors heterogeneous expectations also have an influence on IPO abnormal return and the IPO first day return is positive related to that. When it related to the IPO long-term return the lower Institutional investors heterogeneous expectat