Journal of Financial Markets·Volume 38·March 2018
认知参考点、机构投资者的买价和IPO定价：来自中国IPO拍卖的证据
作者：Shenghao Gao（School of Economics and Management, Beijing Jiaotong University）
Qingbin Meng（School of Business, Renmin University of China）
Jesse Y. Chan（Department of Accounting, McCombs School of Business, University of Texas at Austin）
Kam C. Chan（School of Accounting, Zhongnan University of Economics and Law）
摘要：我们研究了机构投资者在首次公开招股（IPO）拍卖中的投标行为。我们的研究结果表明，机构投资者展现出了认知参考点（CRP）锚定效应。也就是说，投资者在进行IPO招标时，将最接近建议IPO价格区间的非整数端点的整数作为CRP。当机构投资者上调（下调）拟议的IPO价格范围的终点来靠近CRP时，我们发现：（1）平均买价更高（更低）;（2）随后的IPO发售价格更高（更低）（3）IPO首日收益率较低（较高）。
关键词：认知参考点，机构投资者，IPO定价，IPO拍卖
Cognitive reference points, institutional investors' bid prices, and IPO pricing: Evidence from IPO auctions in China
Shenghao Gao（School of Economics and Management, Beijing Jiaotong University）
Qingbin Meng（School of Business, Renmin University of China）
Jesse Y. Chan（Department of Accounting, McCombs School of Business, University of Texas at Austin）
Kam C. Chan（School of Accounting, Zhongnan University of Economics and Law）
ABSTRACT
We study institutional investors' bidding behavior in initial public offering (IPO) auctions. Our findings suggest that institutional investors exhibit cognitive reference point (CRP) anchoring. That is, investors focus on integer numbers closest to non-integer endpoints of proposed IPO price range as CRPs when making IPO bids. When institutional investors round up (down) the endpoints of the proposed IPO price range to arrive at CRPs, we find: (1) the average bid price is higher (lower), (2) the subsequent IPO offer price is higher (lower), and (3) IPO first day return is lower (higher).
Keywords：Cognitive reference points, Institutional investors, IPO pricing, IPO auction
原文链接：https://www.sciencedirect.com/science/article/pii/S1386418116303251#!
翻译：何杉
