Abstract: According to the theory of behavioral finance, both the investors’ heterogeneous expectations and emotional alienation have a great impact on initial public offering (IPO) underpricing. However, the joint effect of the two on IPO underpricing has yet to be studied. This paper, using the behavioral finance theory, constructs an IPO underpricing model to explore this issue and conducts a comparative analysis thereafter. It is found that both the heterogeneous expectations and emotional alienation are positively correlated with IPO underpricing. Specifically, positive (resp. negative) heterogeneous expectations and positive (resp. negative) emotional alienation would increase (resp. reduce) IPO underpricing. Compared with the case where either heterogeneous expectation or emotional alienation exists, positive heterogeneous expectations or emotional alienation would increase IPO underpricing and negative heterogeneous expectations or emotional alienation would reduce IPO underpricing when both of them exist. Moreover, the degree of impact on IPO underpricing is determined by the quantitative structure of institutional and retail investors. It is also found that IPO underpricing is negatively correlated with the number of institutional investors on the primary market as well as their expectations about new listings, and positively correlated with the expectations of institutional and retail investors about new listings and the issuance scale on the secondary market. These findings not only extend the theory of IPO underpricing from the perspective of behavioral finance, but also provide new insights in explaining high IPO underpricing.

Key words: heterogeneous expectation, sentiment alienation, investors’ structure, IPO underpricing

摘要： 行为金融理论认为投资者异质预期和情绪异化都对IPO抑价产生较大的影响，然而，它们如何共同对IPO抑价产生影响并没有进行研究。基于此，运用行为金融理论工具，通过刻画投资者异质预期和情绪异化，构建投资者异质预期与情绪异化下的IPO抑价模型，分析投资者异质预期和情绪异化对IPO抑价的影响，并进行比较研究。研究表明：投资者异质预期和情绪异化均与IPO抑价正相关，即正向异质和正向异化提高IPO抑价，而负向异质和负向异化降低IPO抑价；与只存在异质预期或情绪异化的情况相比，当两者同时存在时，正向异化或正向异质的存在会使得IPO抑价更高，负向异化或负向异质的存在会使得IPO抑价更低；此外，异质预期和情绪异化对IPO抑价的影响程度由机构和散户投资者的数量结构决定。进一步研究表明，IPO抑价还与1级市场机构投资者对新股的预期、机构投资者的数量负相关，与2级市场机构和散户投资者对新股的预期、发行规模正相关。研究结论不仅拓展了行为金融IPO抑价理论，也为IPO高抑价解释提供了新见解。

关键词: 异质预期；情绪异化；投资者结构；>, IPO抑价