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Formation of stock prices under heterogeneous beliefs: Focusing on long-run performance of IPOs

Research Project

Project/Area Number 15K17088
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeMulti-year Fund
Research Field Money/ Finance
Research InstitutionTokyo Institute of Technology

Principal Investigator

Ikeda Naoshi  東京工業大学, 工学院, 助教 (90725243)

Project Period (FY) 2015-04-01 – 2017-03-31
Project Status Completed (Fiscal Year 2016)
Budget Amount *help
¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Fiscal Year 2016: ¥390,000 (Direct Cost: ¥300,000、Indirect Cost: ¥90,000)
Fiscal Year 2015: ¥1,300,000 (Direct Cost: ¥1,000,000、Indirect Cost: ¥300,000)
Keywords企業金融 / 新規株式公開 / 異質的期待 / 空売り制約 / 長期パフォーマンス
Outline of Final Research Achievements

This study tests the theory of investors' heterogeneous beliefs and short-sale constraints as a potential explanation for the long-run underperformance of initial public offerings (IPOs); the theory states that the first-day price is overvalued because it only reflects optimistic investors' opinions and the resale option value brought on by short-sale constraints. This theory is difficult to test directly because investor opinion distribution is unobservable. This study focuses on Japanese auction method IPOs and estimates the investor belief distribution. As predicted by the theory, IPOs with higher proportions of optimistic investors are indeed associated with lower long-run returns.

Report

(3 results)
  • 2016 Annual Research Report   Final Research Report ( PDF )
  • 2015 Research-status Report
  • Research Products

    (2 results)

All 2016 2015

All Journal Article (1 results) (of which Open Access: 1 results,  Acknowledgement Compliant: 1 results) Presentation (1 results)

  • [Journal Article] Optimistic Investors and Long-Run Performance of IPOs: Testing the Theory of Heterogeneous Beliefs and Short-Sale Constraints2016

    • Author(s)
      Naoshi Ikeda
    • Journal Title

      Social Science Research Network (SSRN)

      Volume: -

    • Related Report
      2016 Annual Research Report
    • Open Access / Acknowledgement Compliant
  • [Presentation] Optimistic Investors and Aftermarket Performance of Initial Public Offerings2015

    • Author(s)
      池田直史
    • Organizer
      2015年度日本ファイナンス学会第23回大会
    • Place of Presentation
      東京大学
    • Year and Date
      2015-06-06
    • Related Report
      2015 Research-status Report

URL: 

Published: 2015-04-16   Modified: 2018-03-22  

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