信息不对称、噪声交易与IPO首日收益

摘要

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。%There have been disagreements on the formation of anomalous proceeds from IPOs on their debut and the view of IPO being underpriced is doubted by some empirical researches with the discovery of IPOs＇ overpricing.By introducing the impact of noise traders into the primary market and considering the two types of factors of asymmetric information and noise trading together,this paper systematically explains the abnormal proceeds from IPOs on their debut.The findings suggest that the proceeds on debut are mainly related to the mispricing of new shares in both the primary and the secondary markets.The former is reflected by the asymmetric information and the noise traders in the primary market,while the latter is reflected by the noise traders（including sentiment investors and positive feedback traders） in the secondary market,and the effect of the latter is more remarkable.