Underpricing, Overbidding and the Effects of Entry on IPO Auctions: Evidence from Taiwan
Auction theory predicts that, for a large multi-unit common value auction with endogenous entry, fluctuations in ex post entry are a major determinant of returns, even when bidders are shaving their bids optimally given their information sets. If, in addition, some bidders are not shaving their bids sufficiently, there may be substantial variations in returns. We examine these predictions for discriminatory (pay what you bid) IPO auctions in Taiwan from 1995 - 2000. The bids of institutional investors are generally consistent with the predictions of auction theory. Both the entry and the bidding decisions of individual investors, however, appear to violate the predictions of current auction theory regarding the optimal bids. Individual auction entry decisions are significantly influenced by the returns on recent past IPO auctions, and the unexpected entry of more individual investors or high bids placed by those investors leads to lower expected returns, a sign of systematic overbidding perhaps due to inadequate bid-shaving.
Yao-Min Chiang Yiming Qian Ann E. Sherman
Department of Finance, National Chengchi University NO.64, Sec.2, ZhiNan Rd.,Wenshan District,Taipei Department of Finance, University of Iowa S382 Pappajohn Business Building, 21 E.Market Street Iowa Department of Finance, University of Notre Dame Notre Dame, IN 46556, USA
国际会议
成都
英文
1-51
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）