IPO auctions and private information

Ji Chai Lin, Yi Tsung Lee, Yu Jane Liu

研究成果: 雜誌貢獻期刊論文同行評審

38 引文 斯高帕斯(Scopus)

摘要

IPO auctions, which provide an impartial way of determining IPO pricing and share allocations, offer a natural setting for examining whether institutional investors possess private information, and for measuring how valuable their information is. Analyzing detailed bidding data from Taiwan's discriminatory (pay-as-bid) auctions, we find that, relative to retail investors, institutional investors tend to bid higher in auctions when IPO shares are more valuable, and that underpricing is larger in auctions with relatively higher institutional bids. These results imply that institutional investors are better informed about IPO value, and that they obtain higher information rents when they bid higher relative to retail investors. We estimate the value of institutional investors' private information to be worth about 8.68% of return, which is the extra rate of return they command on their informational advantages over retail investors.

原文???core.languages.en_GB???
頁(從 - 到)1483-1500
頁數18
期刊Journal of Banking and Finance
31
發行號5
DOIs
出版狀態已出版 - 5月 2007

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