Can Investors Learn From The Past?

Equity offerings are usually accompanied by a lot of information asymmetry between issuers and investors.Information asymmetry causes the stock of people risk is small,high value as them obtain lots of information of stock;while the other people' stock risk is big and the value is low.The academic said this right is called"the winner's curse" hypothesis.The asymmetric information in addition to will result in "the winner's curse" also will produce the adverse selection problem,because those people not in the know on the market are the majority,so will lead to the issuer issuing stock is at a discount.These problems will ultimately lead to lower the pricing efficiency of capital market.How to reduce the information asymmetry between issuers and investors,and thus improve the pricing efficiency of capital market,become a big problem to the regulatory authorities.The existing research mainly from the perspective of information asymmetry,such as credit rating etc,to study the main cause of the listed company to raise equity at a discount,but not from the perspective of investors the ability of learning to study issues behavior by listed companies.Foreign have a small amount of literature to learn on the ability of investors,but that mainly uses the mature capital markets like Europe and the United States as samples for research.Capital markets the gap between at home and abroad is very big still,foreign mature market mainly are institutional investors and relatively rational,in domestic accounted for the individual investors are majority,however,most of the predominantly speculative,high-frequency and lack of rationality.Foreign literature proved in mature markets in Europe and America investors have the ability to learn,whether investors in China also has the ability to learn?To this question research has both theoretical significance and practical significance.In addition,the market feedback is very important,especially when the feedback containing publisher managers do not have owned investment opportunities,because it not only affect the investors access to information,also next to the issuer to raise equity cost has a significant impact.To this,this thesis will mainly through what kind of feedback mechanism to the issuer for investors to study the real intention to form their own investment philosophy and that will be analyzed.This paper takes between January 1999 and December 1999 A-share market in China to raise equity of listed companies as samples,research learning ability of investors in the emerging market.This thesis mainly refer to the literature of Eric Duca(2016),with cumulative abnormal returns after equity issue on behalf of the issuer to raise behavior in market feedback and with the underpricing level on behalf of the investor's ability to learn and reference to related literature to construction of relevant variables,and descriptive the variables statistics.In the empirical analysis using the combination spread method can be able to get an intuitive analysis results,in using Heckman(1979)two-step procedure and OLS regression analysis method to test the results getting through the combination spread method,and then test the regression results through robustness analysis to ensure that the result is sound.For the transmission mechanism is mainly testing for the market feedback mechanism and market timing hypothesis and other three representative mechanism respectively.Through the research in this paper,the following conclusions:(1)There has a significant negative correlation relationship between the cumulative abnormal returns after equity issue and the discount of the next time of equity issue,also prove that the emerging market investors are also has the ability to learn;(2)compared to other transmission mechanism,the investors are mainly through the market feedback mechanism to study the real intention of the issuer to improve their learning ability:(3)the issuer behavior in the market for its future financing cost also has a significant effect,and this influence can also be measured by the discount level.Market feedback,the better is conducive to the next time equity issue,the lower the cost,the specific performance for the discount level is lower,the higher conversely.This paper bring the way of studying abroad mature market investors the ability of learning to research on emerging markets like China's a-share market investors the ability of learning,can enrich in the field of domestic related research results.At the same time the previous scholars by asymmetric information to study the cause of the discount,not from the angle of investor's ability to learn to study the behavior of the listed company to raise equity in our country,and also find investors mainly through the market feedback mechanism to carry on the research study.This not only to supplement the domestic related research and has certain academic value,and provide investors with a indicators that can alleviate information asymmetry--the cumulative abnormal returns after equity issue,has a practical significance.