财务与会计学术论坛第十一期

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题目: Decimalization, IPO Aftermath, and Liquidity 演讲者: 汤重洋博士 南洋理工大学 时间: 2006年5月19日(星期五)3:00—4:30 PM 地点: 嘉庚二513 参加者: 对财务研究有兴趣的广大师生 主持人: 张国清老师 报告论文摘要: This paper investigates the effect of decimalization on the aftermarket trading of NYSE-listed IPOs. We find that after decimalization, the relation between spreads and underpricing becomes negative, which suggests that the benefits from the increased price competition accrue more to hot IPOs. The depths are generally smaller post-decimalization because of the higher probability of front-running that aggravates the costs of adverse selection and limit order submission. In addition, we show that underwriters still provide price support but are only willing to cover the initial short position if it is still profitable post-decimalization. We also find that decimal pricing does not change the flipping strategy of institutions for cold IPOs as flipping is likely bounded by underwriter price support and shares allocation. Institutions, however, tend to flip more hot IPOs in the post- rather than pre-decimalization period, suggesting that the cost of flipping is much lower for those share prices with a substantial run-up during aftermarket trading. 汤重洋博士简介: 汤重洋博士先后获台湾国立大学和新加坡国立大学经济学学士学位和硕士学位,并已于今年获得南洋理工大学财务学博士学位。他的主要研究方向为投资和公司财务等。