Who Buys IPOs on the First Day?

详细信息   

• 作者：Zhai ; Weili.
• 学历：Doctor
• 年：2011
• 导师：He, Jia,eadvisorChow, Ying Foon,eadvisor
• 毕业院校：The Chinese University of Hong Kong
• ISBN：9781267258830
• CBH：3504690
• Country：China
• 语种：English
• FileSize：5050017
• Pages：132

文摘

Initial Public Offering IPO) refers to the first sale of stocks by a company called an issuer) to the public. Since the late 1960s high initial return, which is measured from the offer price to the first-day closing price, has become a hot topic. This phenomenon has been found in a range of countries, and in China the ratio is even much higher. Our research attempts to tackle the high initial return in China from the aspect of investor structure. First, we find empirical evidence that there are more sells than buys on the IPO day, and this demonstrates that flippers are responsible for the huge trading volume. Combining the identities of investors with the trading data, we also find that individual investors dominate the first day trading, in the sense that individuals, rather than institutions, contribute a larger part of the cumulative price change on the IPO day. On top of that, we further investigate different types of individual investors by categorizing them according to their trading experiences. We find that those less experienced individuals tend to buy an IPO stock in a more impatient way, while investors who buy on the first non-hit day are more experienced. And waiting averagely 1.4 days can raise the return by more than 1.5% in 30 days. By doing so, we contribute to the existing literature in at least the following aspects: First, contrasted with Chakravarty 2001) which finds that cumulative price change is mainly caused by institutional investors, we document that, at least in the Chinese IPO market, it is the individual investors, rather than the institutions, that have the most dominant impact on the cumulative price change. This is consistent with the prediction of De Long et al. 1990a) and the fact that noise trader risks play an important role in Chinese stock market, which leaves the prices deviated from fundamental values and not arbitraged out. Second, existing literature show that more experienced investors tend to end up with better investment results, while our study builds a bridge between investor experiences and their decision making procedure. Our finding also contributes to the technical analysis literature, such as Lo, Mamaysky and Wang 2000), among others, in that we find experienced investors indeed tend to do more technical analysis and obtain better investment results. Our studies have many practical implications from several perspectives. First, analyzing the investor structure and their behavior during the IPO day can help us understand the characteristics of those investors who move the stock price. Second, our research can also help to know the different trading style of different kinds of investors. According to our research, investors maybe can design more favorable investment strategies. And for the regulators, our research can help them formulate more reasonable trading rules and regulations.