Shen, Zhe and Coakley, Jerry and Instefjord, Norvald (2013) Investor participation and underpricing in lottery-allocated Chinese IPOs. Pacific-Basin Finance Journal, 25 (C). pp. 294-314. DOI https://doi.org/10.1016/j.pacfin.2013.10.002
Shen, Zhe and Coakley, Jerry and Instefjord, Norvald (2013) Investor participation and underpricing in lottery-allocated Chinese IPOs. Pacific-Basin Finance Journal, 25 (C). pp. 294-314. DOI https://doi.org/10.1016/j.pacfin.2013.10.002
Shen, Zhe and Coakley, Jerry and Instefjord, Norvald (2013) Investor participation and underpricing in lottery-allocated Chinese IPOs. Pacific-Basin Finance Journal, 25 (C). pp. 294-314. DOI https://doi.org/10.1016/j.pacfin.2013.10.002
Abstract
We examine the association between IPO underpricing and investor participation using a unique sample of 411 Chinese IPOs where the offer price is not influenced by the issuers and underwriters, and allocation to subscribers is by a lottery mechanism. We find that investor participation does not increase with the profitability or liquidity of new issues contrary to the rational participation and liquidity hypotheses. However, consistent with the price bubbles hypothesis, we find robust evidence that initial returns and investor participation are positively related and that initial returns are inversely related with the three-year risk-adjusted abnormal return following IPOs. The implication is that excess demand inflated initial trading prices and exacerbated the Chinese "underpricing" phenomenon during our 1996-2000 sample period. © 2013 Elsevier B.V.
Item Type: | Article |
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Uncontrolled Keywords: | Rational participation; Price bubbles; IPO underpricing |
Subjects: | H Social Sciences > HG Finance |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 06 Nov 2013 11:11 |
Last Modified: | 30 Oct 2024 19:54 |
URI: | http://repository.essex.ac.uk/id/eprint/8270 |