| IPO (Initial Public Offerings, hereinafter referred to as the IPO) is the stock (ordinary shares) for the first time in the public offering to investors on the stock market behavior. Stock markets around the world there is such a common phenomenon:IPO shares listed on the first day of the closing price of the day was significantly greater than the issue price. China A-share market this phenomenon is very obvious. According to my calculations, in 1993, the Chinese A-share market IPO stock average excess return on the first day a staggering 400% up to about 1991, is as high as 640.63%; then with the gradual market-oriented distribution system, the first day Price decreased, but even the formal implementation of market-oriented pricing system after the IPO issuance since 2005, first day of the average excess yield was as high as 65.61%.Ibbotson (1975)is the first person use IPO underpricing to describe the phenomena, in the definition of Ibbotson, IPO underpricing is the IPO issue price of the stock was significantly lower than the intrinsic value of stock phenomenon. This is the first to propose the definition of IPO underpricing, and so far the most widely accepted academic definition. In this paper, the definition of IPO underpricing is also true. However, due to the intrinsic value of the stock can not be directly observed, in order to facilitate research, there are two other concepts: IPO first day of premium and abnormal returns. The so-called IPO premium is the stock market after the market price relative to issue price increase, if the premium is negative, the so-called "break" phenomenon; first day excess return is the IPO premium in the concrete:the listing of the first day closing price relative to issue increase the market price minus the average return rate of the day.After the IPO underpricing Ibbotson research on emerging, the corresponding interpretation of the framework, there are many, including the risk of Finance based on the classic yield symmetric hypothesis, the hypothesis and the optimal ownership structure to avoid litigation hypothesis, based on information economics, the underwriters and investors information asymmetry between the dynamic information acquisition model, the pedestrian and the issue of information asymmetry between investors, the signal model, based on behavioral finance hypothesis of short-selling restrictions and differences of opinion, fanaticism investor hypothesis, the hypothesis of noise traders and herding and so on. However, these hypotheses are not fully explain the phenomenon of IPO underpricing, to date the IPO puzzle (Ibbotson,1975) remains a mystery.In addition, the measure of IPO underpricing, the first day of some domestic and foreign scholars to measure excess returns or, for some time after the listing of the average premium level to measure, but some scholars IPO underpricing is defined as the first day of IPO abnormal returns, I believe that these methods actually implies the IPO market had reached the initial assumption of market efficiency, if effective non-market time, the reliability of the above practices may be compromised.So why IPO underpricing, the existing framework has to explain where you can pick up leak filled? Listed on the validity of the initial IPO market, if not effective, is there a more reliable measure of IPO underpricing method? The process of thinking about these issues, the author has been the object of physics is not a smooth interface in the static friction is greater than sliding friction between the inspired and build a "dynamic" interpretation framework. Overall still very rough, just do initiate purposes. In fact, it is precisely because of this physical phenomenon due to the inspiration, I only then this framework to explain IPO underpricing is called "dynamic" framework, although this framework does not contain any relevant application and discussion of modern dynamics.The physical phenomenon is:in a uniform non-smooth interface, the object at rest into motion by the process, the static friction force was significantly greater than dynamic friction. For example, even in the same point for a stationary object to produce an acceleration of a movement than to allow the acceleration of the object the force required to increase even more. A widely accepted statistical physics community, the former is generally 1.2 times the latter. Static friction is greater than sliding friction has not been recognized so far because the perfect interpretation of the field of physics is still a "mystery." According to classical mechanics, as long as the power greater than the friction, even if only a little freshman, will have an acceleration, so the object into motion by the rest.The physics of the phenomenon of IPO underpricing is very similar:the object from rest to exercise in the process (IPO stock market to the secondary market by the level conversion process), the required power must be greater than the friction (must have IPO underpricing), but the former was significantly larger than the latter (IPO underpricing is so high), can not be explained by the classical mechanics (IPO underpricing causes of the phenomenon is still a "mystery")! This inspired the author from the first day of IPO listing of buyers and sellers of power perspective of IPO underpricing.In this regard, the paper carried the following definition:①stock movement power:the power of the buyer;②the stock movement of resistance:the power of the seller;③the velocity of the stock:the stock market price.The seller if the buyer is stronger than the power, the stock will rise (that is, the speed increase); If the seller more power, the stock will drop (speed reduction); stock delisting (or have completed the IPO, but not formally listed), its movement relative to the secondary market is stationary. Strictly speaking, the stock price is defined as the speed has not the right place. Because the speed is actually a vector, is directional, and the characteristics of the stock market, stock prices can not be negative, but after the author's comparison, relative to the turnover, earnings and other indicators, stock prices closer to the meaning of the speed.Then this turned to look at the basic elements with the above description and interpretation of the phenomenon of IPO underpricing, first, to clarify the IPO stocks listed on the first day of its movement in the source of power and resistance. I believe that the power of the seller from two parts:the rational seller, negative feedback traders. Reason to continue to hold to sell out of stock of risk aversion and the intrinsic value judgments and traders to make a choice, they will choose the first day of the IPO market profit taking. Negative feedback is observed traders choose to sell the stock prices follow the trend of "sell into," the investors who are irrational traders. Both of them constitute the first day of IPO stocks listed seller a source of strength. However, negative feedback traders appear to be conditional, they will gain over the first day of the IPO rate to a certain extent there will be a large-scale, rational seller would return with the first day of the increase over increased, so the relationship between the two are negatively correlated. The higher rate of return over the first day, the rational power of the seller who sold the greater proportion, on the contrary, the smaller the proportion, the first day of excess return rate to a certain extent, a rational seller would be negative feedback traders crowded the market.Analysis of similar strength with the seller, I believe that the first day of IPO listing of power (buyer power) sources is also divided into two parts:the rational and positive feedback buying traders. Reason to buy are those who through their own analysis of the formation of the expected value of the stock and the stock market when the price is lower than its expected bid for investors. Positive feedback traders is observed due to the rise in buying the stock of non-rational traders. This part of the trader who does not take the initiative to determine the value of the stock, but may blind chase. The existence of positive feedback traders may take advantage of buyer power and make the first day of IPO market was overvalued. It should be noted that this article who think buying a different reason, each person may be different information available to vote, will determine the stock value may be different, may be lower than the intrinsic value of stocks may also be higher than the intrinsic value of the stock. In other words, the paper bought by the rational expectations is the "heterogeneity" of. Power with the seller in the transaction are similar to the negative feedback, positive feedback traders appear conditional, they will rise enough in the observed force only when issued. Specific to the IPO stocks listed on the first day, I think that only the first day of excess income to a degree higher than positive feedback traders will appear. Overall, the relationship between the two are negatively correlated:when the first day of the premium level is low, the positive feedback from those who can be ignored, then the main driving force comes from the rational traders; when the first day of the premium up to a certain extent, a lot of positive feedback began to appear, with the first day of the premiums continue to rise, less and less rational investors, the contribution of the power will gradually reduce, when the first day of high prices to a certain degree of suppression, is Feedback will be out of the rational traders.The needs to be emphasized is that for most stocks, the rational seller in resistance to occupy a major position, according to the author to statistics, negative feedback traders in the most extreme case (the first day excess return is negative) turnover was less than 30% of the time, which is the excess rate of return on the first day of the first day is the average stock turnover rate of 74.9345% far. So the first day of the IPO stock market there is a huge seller power, this time, if the buyer does not have enough balance of power with them, IPO stocks, there appears the possibility of a break. If you break disaster, IPO issuance may be unsustainable, so the stock IPO underpricing in the pricing issue will be the intrinsic motivation. So how can that sufficient buyer power? This article is divided into positive feedback traders there and does not appear in two categories for discussion. When the positive feedback traders appeared, IPO market price of the stock the first day of relatively high status in general, due to positive feedback traders force, the force and reason have to buy those large enough to balance the power of the sellerWhen the positive feedback traders do not appear, the author's view is:to rely on IPO underpricing to attract enough buyers power. At this time of the IPO underpricing can be considered as part of the reason the buyer's risk compensation. In this paper who were buying from the heterogeneity of rational expectations and buy IPO stocks listed on the first day of those two aspects explain the lack of information.Thus, we can cause the IPO underpricing summarized as follows①Available to a market risk premium investors, rational investors to buy shares in the primary market to justify;②Rational attracted buying on the secondary market in the shares listed on the first day of purchase, the buyer reasonable compensation for these risks in order to balance the pressure listed on the first day of a huge seller;③Addition,②can come out of that, when negative feedback occurs when traders, IPO underpricing also a mission:to maintain the market price of not less than the first day of issue price.Based on this framework, will produce the following two natural corollary:Corollary 1:When the first day of the premium below a certain value. IPO's stock after the short to medium term will show a clear upward trend, and the lower the premium the first day of short-term upward trend in prices of the more obvious: this case premium by the first day of IPO underpricing measure will underestimate underpricing;Corollary 2:When the first day of a premium above a certain value, IPO's stock after the short to medium term will show a clear downward trend, and the first day underpricing the higher the short-term upward trend in prices of the more obvious; this measured with the first day of the premium under the IPO underpricing underpricing will be overestimated.The above article is thought to construct the framework of IPO underpricing in the main process of dynamic interpretation. To clear that cross-use of the above is actually part of the first four chapters. For this reason, no longer clear that the summary of the main contents of the first four chapters, the contents of this summary can avoid duplication with the first chapter.Since direct evidence to explain this dynamic data acquisition and modeling framework, there are many difficulties, such as how to decompose rational investors and irrational investment proportion of how to measure the IPO stocks listed on the first day of the buyer's risk compensation, these issues go beyond beyond the existing capacity of the author. Therefore, this evidence shows only 1 and Corollary 2 Corollary existence indirectly to the instructions from the side frame of the interpretation is reasonable. This is the main content of this chapter.Finally, in Chapter VI, this IPO underpricing based on the "dynamics" framework to construct a relatively reliable measure of IPO underpricing parameter method. For discussion of the rigor of the first carried out in the IPO before the stock market "early" test whether the needs of vulnerable effectiveness, this paper copy runs test method is combined with independent but different distribution of Lind Berg-Feller limit theorem, construct a test IPO stock market "initial" market price of the weak form efficiency test "class runs test" method, and evidence that the Chinese A share market listing of the initial non-market IPO effective. Then according to certain empirical data and assumptions to estimate the distribution of IPO underpricing density function is estimated by this method found that IPO underpricing is more robust, and the phenomenon of IPO stocks have a certain long-term weak explanatory power. |
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