新股发行市场理性与非理性时序波动研究述评
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外国经济与管理 2005 年 第 27 卷第 08 期, 页码：47 - 54
摘要
参考文献
摘要
本文对新股发行市场在时间序列上的波动性进行了描述,并基于理性行为和非理性行为分析了影响时序波动性的主要因素。基于理性行为,风险组合变化和代理成本变化假说解释了首日超额收益随时间的变化,资本需求和信息不对称假说解释了发行量随时间的波动性,而信息外部性和机会窗口假说则解释了两者之间的关系;基于非理性行为,狂热投资者、正向反馈交易以及瀑布效应假说也为新股发行市场的时序波动性提供了新的研究视角。
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[20]Oehler,Andreas,Marco Rummer and Peter N Smith.IPO pricing and the relative i mportance of investor senti ment:evidence from Germany[R].http://www.f ma .org/Chicago/Papers/FMA_IPO-Pricing .pdf,2004:1-49.
[21]Derrien,F.IPOpricingin "hot" market conditions:wholeaves money onthe table?[J].Journal of Finance,2005,60(1):487-521.
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[24]Welch,Ivo .Sequential sales,learning and cascades[J].Journal of Finance,1992,47(2):695-732.
[2]Ibbotson,R,and J F Jaffe ." Hot issue" markets[J].Journal of Finance,1975,30(4):1027-1042.
[3]Lowry,Michelle,and G WilliamSchwert .IPO market cycles:bubbles or sequential learning?[J].Journal of Finance,2002,57(3):1171-1200.
[4]Dorn,D. Does senti ment drive the retail demand for IPOs[R]. http://www1.fee .uva .nl/f m/PAPERS/Dorn .pdf,2003:1-48.
[5]Ibbotson,R,J .Sindelar,and J Ritter . The market's problems withthe pricing of initial public offerings[J].Journal ofApplied Corporate Finance,1994,7(1):66-74.
[6]Brailsford,T,R Heaney,J Powell,and J Shi . Hot and coldIPO markets:identification using a regi me switching model[J]. Multinational Finance Journal,2000,4(1-2):35-68.
[7]Ritter,J R. The "hot issue" market of 1980[J].Journal of Business,1984,57(2):215-240.
[8]Loughran,Ti m,and Jay Ritter . Why has IPOunderprici mg changed over ti me?[J].Financial Management,2004,33(3):5-38.
[9]Lowry,M. Why does IPO volume fluctuate so much?[J].Journal of Financial Economics,2003,67(1):3-40.
[10]Myers,S. Determinants of corporate borrowing[J].Journal of Financial Economics,1977,5(2):147-175.
[11]Myers,S,and Majluf,N.Corporate financing andinvest ment decisions when firms have information that investors donot have[J].Journal of Financial Economics,1984,13(2):187-221.
[12]Benveniste,L M,W Y Busaba,and WJ Wilhel m.Information externalities in pri mary equity markets[J].Journal ofFinancial Intermediation,2002,11(1):61-86.
[13]Benveniste,L Mand P A Spindt . Howinvest ment bankers determine the offer price and allocation of newissues[J].Journal of Financial Economics,1989,24(2):343-362.
[14]Benveniste,L M,AP Ljungqvist,WJ Wilhel m,and X Yu .Evidence of information spilloversin the production of in-vest ment banking services[J].Journal of Finance,2003,58(2):577-608.
[15]Ritter,J R. The long-run performance of initial public offerings[J].Journal of Finance,1991,46(1):3-28.
[16]Miller,E M. Risk,uncertainlty and divergence of opinion[J].Journal of Finance,1977,32(4):1151-1168.
[17]Ljungqvist,A P,V Nanda and R Singh. Hot markets,investor senti ment,and IPO pricing[R].http://www.csom.umn .edu/Assets/8703.pdf,2003:1-45.
[18]Ljungqvist,AP and WJ Wilhel m.IPOpricingin the dot-combubble[J].Journal of Finance,2003,58(2):723-752.
[19]Rajan,Rand Servaes,H. The effect of market conditions oninitial public offerings[R].http://faculty .london .edu/hservaes/ mktconditions .pdf,2002:1-44.
[20]Oehler,Andreas,Marco Rummer and Peter N Smith.IPO pricing and the relative i mportance of investor senti ment:evidence from Germany[R].http://www.f ma .org/Chicago/Papers/FMA_IPO-Pricing .pdf,2004:1-49.
[21]Derrien,F.IPOpricingin "hot" market conditions:wholeaves money onthe table?[J].Journal of Finance,2005,60(1):487-521.
[22]Cornelli,F and D Goldreich. Investor senti ment and pre-issue markets[R]. http://www.afajof .org/pdfs/2005program/ UPDF/P748_Corporate_Finance .pdf,2004:1-48.
[23]DeLong,J B,AShleifer,L Summers,and RJ Waldmann .Positive feedbackinvest ment strategies and destabilizing ra-tional speculation[J].Journal of Finance,1990,45(2):375-395.
[24]Welch,Ivo .Sequential sales,learning and cascades[J].Journal of Finance,1992,47(2):695-732.
引用本文
汪宜霞, 夏新平, 唐康德. 新股发行市场理性与非理性时序波动研究述评[J]. 外国经济与管理, 2005, 27(8): 47–54.
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