关键词: 新股, 投资者参与, 价格泡沫

Abstract: We examine the association between investor participation and the market performance of IPOs issued during the 1996-2009 period. We find that a positive relation between investor participation and initial return, consistent with the rational participation hypothesis due to Rock (1986) and Welch (1992), the liquidity participation hypothesis due to Ellul and Pagano (2006), and the price bubble hypothesis due to Miller (1977). However, further analysis reveals a negative relation between the long-term performance and initial return, which is only consistent with the price bubble hypothesis. Our findings suggest that the initial return on the first day of trading is unlikely to be driven by firm underpricing new issues but more likely to be a reflection of investor overreaction in the short term, corrected gradually over a long horizon.

Key words: IPOs, Investor Participation, Price Bubble