主题｜Topic：Price Up-Limit and Divergence of Opinion on IPOs, Evidence from a Quasi Natural Experiment
时间｜Time：6月28号（周四）｜June 28th (Thursday), 10：00 - 11：30AM
地点｜Venue：文澜105会议室｜Meeting Room 105，WENLAN
主讲｜Speaker
曹夏平教授，美国波士顿学院经济学博士，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，博士生项目主任。曹老师研究方向为公司金融，私募股权基金，风险投资，创业研究，金融机构研究等，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。
研究领域｜Research Interests
公司金融，私募股权基金，风险投资，创业研究，金融机构研究
Corporate Finance, Private Equity Funds, Venture Capital, Entrepreneurial Research, Financial Institutions Research
摘要｜Abstract
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.
