The authors construct an IPO selling mechanism with risk neutral retail investors, and two institutional investors that are better-informed and less-informed, respectively. In the mechanism,in addition to the main con...The authors construct an IPO selling mechanism with risk neutral retail investors, and two institutional investors that are better-informed and less-informed, respectively. In the mechanism,in addition to the main constraints such as the individual rationality(IR), the incentive compatibility(IC), and the feasibility constraint(FC), the authors consider two more typical constraints: There is a lower bound and no bound for allocation of the shares to two institutional investors. The authors derive the explicit expression of the optimal allocation of the shares to the investors. Under the lower bound constraint,the optimal mechanism will encourage the better-informed bidder to report sufficiently higher signal in order to get shares. If he gets allocation of shares, then the higher signal he reports,the more shares he will get, and the more the issuer's expected maximum revenue will be.展开更多
Using stock market data over 16 years for Chinese stock markets and over 3 years for U.S.stock markets,this study explores the explanatory power of early intraday market-wide up and down movements to the subsequent in...Using stock market data over 16 years for Chinese stock markets and over 3 years for U.S.stock markets,this study explores the explanatory power of early intraday market-wide up and down movements to the subsequent intraday returns within the same trading day.As compared to the closing of the previous trading day,we introduce two intraday market-wide up/down indicators in terms of the index return and the proportional difference in the numbers of stocks moving upwards to downwards at each minute.A time series analysis shows an economically and statistically significant positive relation between the intraday indicators and the subsequent intraday returns of the market indices.Intraday trading strategies that exploit this intraday relationship lead to monthly returns of 4.1%in the Chinese market and 2.8%in the U.S.market.In addition,the strategies are more profitable in markets with high activity of individual investors(i.e.,high trading value,low trading volume per transaction,small-cap,high B/M ratio,low institutional ownership,low price,and high number of shareholders).The results indicate that simple intraday market-wide up/down movements in the earlier trading affect the sentiment of retail investors,resulting in market movements in the same direction within the trading day.展开更多
基金supported by the National Natural Science Foundation of China under Grant No.71571044
文摘The authors construct an IPO selling mechanism with risk neutral retail investors, and two institutional investors that are better-informed and less-informed, respectively. In the mechanism,in addition to the main constraints such as the individual rationality(IR), the incentive compatibility(IC), and the feasibility constraint(FC), the authors consider two more typical constraints: There is a lower bound and no bound for allocation of the shares to two institutional investors. The authors derive the explicit expression of the optimal allocation of the shares to the investors. Under the lower bound constraint,the optimal mechanism will encourage the better-informed bidder to report sufficiently higher signal in order to get shares. If he gets allocation of shares, then the higher signal he reports,the more shares he will get, and the more the issuer's expected maximum revenue will be.
基金Financial support from the National Natural Science Foundation of China(71201112,71320107003 and 71532009)。
文摘Using stock market data over 16 years for Chinese stock markets and over 3 years for U.S.stock markets,this study explores the explanatory power of early intraday market-wide up and down movements to the subsequent intraday returns within the same trading day.As compared to the closing of the previous trading day,we introduce two intraday market-wide up/down indicators in terms of the index return and the proportional difference in the numbers of stocks moving upwards to downwards at each minute.A time series analysis shows an economically and statistically significant positive relation between the intraday indicators and the subsequent intraday returns of the market indices.Intraday trading strategies that exploit this intraday relationship lead to monthly returns of 4.1%in the Chinese market and 2.8%in the U.S.market.In addition,the strategies are more profitable in markets with high activity of individual investors(i.e.,high trading value,low trading volume per transaction,small-cap,high B/M ratio,low institutional ownership,low price,and high number of shareholders).The results indicate that simple intraday market-wide up/down movements in the earlier trading affect the sentiment of retail investors,resulting in market movements in the same direction within the trading day.
