Research On The Influence Of Investor Structure On IPO Underpricing

IPO underpricing generally refers to the situation where the IPO price of new shares is lower than the first day's closing price in the stock market Ibbotson,which is known as "IPO riddle" in the field of finance,which widely exists in the world's major securities markets,especially in the emerging securities markets.IPO underpricing not only stimulates investors' excessive speculation in the primary market,but also brings huge investment risks to the secondary market,seriously jeopardizing the long-term healthy and stable development of the securities market.Therefore,how to reduce IPO underpricing has been the focus of scholars.Scholars tend to explain IPO underpricing from the perspective of information asymmetry and behavioral finance,while the imbalance of investor structure is one of the three typical characteristics of emerging securities markets that coexist with information asymmetry and investor irrationality.Meanwhile,information transmission and market sentiment need to function through investor structure.Therefore,it is of great theoretical and practical significance to combine the IPO issuance mechanism in China and clarify the mechanism of investors structure on the IPO underpricing.Expand and even innovate the existing IPO underpricing theory systemThen,combining the IPO inquiry practice in China,Nash equilibrium method was applied to expand Kyle(1989)'s imperfect information pricing theory model,to build IPO underpricing model under incomplete information,and to analyze the impact of investor structure on IPO underpricing in the presence of private information,and empirical test is conducted to verify the conclusion by collecting data.Finally,the model of IPO pricing and underpricing under the condition of incomplete information and alienation of investor sentiment is constructed to analyze the influence of investor structure on IPO underpricing under the condition of private information and alienation of investor sentiment,and empirical test is conducted to verify the conclusion by collecting data.This paper get the following results:(1)the investor structure has important influence on IPO underpricing,the specific proportion of institutional investors,the greater the IPO underpricing is smaller,but the negative influence with the increase of the ratio of accounts for institutional investors to slow.(2)when investors structure remains the same,compared with complete information,investors have private information of IPO underpricing is lower.(3)the IPO underpricing and investor sentiment alienation are related,but institutional investors proportion is higher,investor sentiment on IPO underpricing of the smaller positive effect.(4)when the institutional investor accounted for less than a certain threshold,the impact of investors structure on IPO underpricing could influence of alienation is greater than the investor sentiment,the greater the investor sentiment alienation,the higher the threshold value.In general,the research in this paper extends the existing IPO underpricing theory at the theoretical level,helps us fully understand the basic logic and principle behind the IPO anomalies caused by the imbalance of investor structure,and further expands and deepens the research in this field.On a practical level,this paper build a theoretical model and numerical analysis,to study the impact of investors structure on IPO underpricing in China,not only can be reasonable for the issuer and the underwriters IPO pricing,prevent the IPO market failure and avoid the "adverse selection" provide theoretical guidance,can also be for institutional investors in the stock investment practice process how to collect stock information,improve the rational institutional investors,making investors decision-making and risk prevention "the winner's curse" provides theoretical and practical reference.At the same time,this study can also provide theoretical guidance for the practice of inquiry marketization reform in the next step.