Two-step price adjustments of IPO book building in Japan
Two-step price adjustments of IPO book building in Japan
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日本IPO簿记建档价格两步调整
DOI：
10.1016/j.pacfin.2023.101977
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发表时间：
2023
影响因子：
4.6
通讯作者：
Akitoshi Ito
中科院分区：
文献类型：
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作者：
Takato Hiraki;Akitoshi Ito
本研究探讨在日本的簿记建档制度下，IPO股票的定价与分配。在日本，申报价格区间是其后价格变动的刚性基础，而在美国，申报价格区间在询价阶段灵活且频繁地变动。我们发现，路演阶段的价格调整传达了企业基本面信息，而询价阶段的价格调整传达了投资者情绪信息。我们还表明，投资者情绪主导的初始回报和后市逆转的形成。此外，机构配置是不响应的私人信息透露，在路演，但正相关的初始回报，表明重要的交换为配额分配。总的来说，我们的部分价格调整，售后市场逆转，和零售导向的分配的结果更符合Lowry和Schwert（2004）的隐性合同假设比任何其他假设。
This study examines how IPO shares are priced and allocated under the book-building system in Japan. The filing price range is the rigid base for all subsequent price developments in Japan; by contrast, it is flexibly and frequently changed during book building in the U.S. We find that price adjustment during a roadshow conveys firm fundamental information, whereas price adjustment in subsequent book building conveys investor sentiment information. We also demonstrate that investor sentiment dominates the formation of initial returns and aftermarket reversals. Furthermore, institutional allocation is unresponsive to the private information revealed during the roadshow but is positively associated with initial returns, indicating the importance ofquid pro quoallocation. Overall, our results on partial price adjustments, aftermarket reversals, and retail-oriented allocations are more consistent with Lowry and Schwert's (2004) implicit contract hypothesis than with any other hypotheses.