经济学院2018年第四十四次学术讲座

主讲人：曹夏平教授

单 位：中山大学岭南学院

题 目：Price Up-Limit and Divergence of Opinion on IPOs, Evidence from a Quasi Natural Experiment

时 间：2018年6月7日（周四）上午10：00

地 点：经济学院402会议室

经济学院

2018年6月4日

摘 要：Two stock exchanges in China imposed a new trading rule with price up-limit of 44% on the first trading day for IPOs after 2013. This event offers a quasi-natural experiment to test Miller (1977)’s theory of investor sentiment on asset pricing. We document that the trading rule significantly magnifies IPO underpricing and short-term price run-up. Initial trading shows a significant reduction with a pronounced divergence between big and small net buy. Post-IPO, the trading rule results in an upward shift of both turnover and volatility over next 6 months. The evidence suggests that the price up-limit restriction imposed by stock exchanges on IPOs exacerbates investment sentiment and widens divergence of opinion among investors.

作者简介：曹夏平教授，本科毕业于游艇会线路检测中心，美国波士顿学院博士，曾任职于新加坡管理大学，现就职于中山大学岭南学院金融系，院长助理，博士生项目主任。曹夏平教授研究方向为资本市场，公司金融和私募股权，已在Journal of Financial Economics、Journal of Financial and Quantitative Analysis、Journal of Corporate Finance等权威期刊发表论文10余篇。