Forum: - Análise experimental conjunta do comportamento do investidor em IPOs Outros Idiomas

ID:
34384
Resumo:
Este artigo examina conjuntamente as diferenças de versões experimentais do leilão holandês, um leilão de lances fechados representando o book building, e um leilão similar de dois estágios encarnando o “IPO competitivo”, uma inovação usada em algumas ofertas públicas iniciais de ações (IPOs) europeias. Investigamos a eficiência no apreçamento e na alocação e concluímos que o book building simulado é tão eficiente no apreçamento quanto o leilão holandês enquanto o IPO competitivo não é eficiente no apreçamento, independentemente do aprendizado do investidor. O IPO competitivo é o método mais eficiente na alocação ao emissor porque maximiza a captação. O leilão holandês emerge como o método mais eficiente para a alocação ao comprador. Os intermediários financeiros devem preferir a eficiência no apreçamento em vez de eficiência na alocação e sua discricionariedade nestes procedimentos deve ser importante porque o book building é proeminente no mundo.
Citação ABNT:
ALMEIDA, V. S.; LEAL, R. P. C. Forum: - A joint experimental analysis of investor behavior in IPO pricing methods. Revista de Administração de Empresas, v. 55, n. 1, p. 14-25, 2015.
Citação APA:
Almeida, V. S., & Leal, R. P. C. (2015). Forum: - A joint experimental analysis of investor behavior in IPO pricing methods. Revista de Administração de Empresas, 55(1), 14-25.
DOI:
10.1590/S0034-759020150103
Link Permanente:
http://www.spell.org.br/documentos/ver/34384/forum----analise-experimental-conjunta-do-comportamento-do-investidor-em-ipos/i/pt-br
Tipo de documento:
Artigo
Idioma:
Inglês
Referências:
Ausubel, L. M. (2004). An efficient ascending-bid auction of multiple objects. American Economic Review, 94(2), 1452-1475.

Biais, B. & Faugeron-Crouzet, A. M. (2002). IPO auctions: English, Dutch, French, and Internet. Journal of Financial Intermediation, 11(1), 9-36.

Biais, B., Bossaerts, P., & Rochet, J. C. (2002). An optimal IPO mechanism. The Review of Economic Studies, 69, 117-146.

Bonini, S. & Voloshyna, O. (2013). A, B or C? Experimental tests of IPO mechanisms. European Financial Management, 19(2), 304-344.

Cornelli, F. & Goldreich, D. (2003). Bookbuilding: how informative is the order book? The Journal of Finance, 58(4), 1415-1443.

Dutra, J. & Menezes, F. (2005). Lessons from the electricity auctions in Brazil. The Electricity Journal, 18(10), 11-21.

Fischbacher, U. (2007). z-Tree: Zurich toolbox for ready-made economic experiments. Experimental Economics, 10(2), 171-178.

Goeree, J. K., Offerman, T., & Schram, A. (2006). Using first-price auctions to sell heterogeneous licenses. International Journal of Industrial Organization, 24(3), 555-581.

Jenkinson, T. & Jones, H. (2009). Competitive IPOs. European Financial Management, 15(4), 733-756.

Jenkinson, T. & Ljungqvist, A. (2001). Going public: the theory and evidence on how companies raise equity finance. Oxford: Oxford University Press.

Kagel, J. H. & Levin, D. (1986). The winner’s curse and public information in common value auctions. The American Economic Review, 76(5), 894-920.

Kagel, J. H. (1995). Auctions: a survey of experimental research. In: Kagel, J. & Roth, A. (Eds) Handbook of Experimental Economics. Princeton,NJ: Princeton University Press, pp. 501-585.

Kagel, J. H; Levin, D. (1999). Common value auctions with insider information. Econometrica, 67(5), 1219-1238.

Krishna, V. (2002). Auction Theory. San Diego, CA: Academic Press.

Leal, R. P. C. & Bocater, P. F. (1992). Métodos de acesso a ofertas públicas de ações em mercados internacionais. Revista Brasileira de Mercado de Capitais, 17(1), 7-24.

Lowry, M. & Schwert, G. W. (2004). Is the IPO pricing process efficient? Journal of Financial Economics, 71(1), 3-26.

Maurer, L & Barroso, L. (2011). Electricity auctions: an overview of efficient practices. Washington, DC: World Bank.

Rego, E. E. & Parente, V. (2013). Brazilian experience in electricity auctions: comparing outcomes from new and old energy auctions as well as the application of the hybrid Anglo-Dutch design. Energy Policy, 55(April), 511-520.

Sherman, A. E. & Titman, S. (2002). Building the IPO order book: underpricing and participation limits with costly information. Journal of Financial Economics, 65(1), 3-29.

Sherman, A. E. (2005). Global trends in IPO methods: book building versus auctions with endogenous entry. Journal of Financial Economics, 78(3), 615-649.

Sherstyuk, K. (1999). Collusion without conspiracy: an experimental study of one-sided auctions. Experimental Economics, 2(1), 59-75.

Sherstyuk, K. (2002). Collusion in private value ascending price auctions. Journal of Economic Behavior & Organization, 48(2), 177-195.

Sherstyuk, K. (2009). A comparison of first price multi-object auctions. Experimental Economics, 12(1), 42-64.

Smith, V. L. (1976). Experimental economics: induced value theory. American Economic Review, 66(2), 274-279.

Smith, V. L. (1980). Relevance of laboratory experiments to testing resource allocation theory. In: Kmenta, J. & Ramsey, J. B. Evaluation of Econometric Models. New York, NY: Academic Press, 1980. pp. 345-377.

Smith, V. L. (1982). Microeconomic systems as an experimental science. American Economic Review, 72(5), 923-955.

Spatt, C. & Srivastava, S. (1991). Preplay communication, participation restrictions, and efficiency in initial public offerings. The Review of Financial Studies, 4(4), 709-726.

Trauten, A. & Langer, T. (2012). Information production and bidding in IPOs: an experimental analysis of auctions and fixed-price offerings. Zeitschrift für Betriebswirtschaft, 82(4), 361-388.

Wilhelm Jr, W. J. (2005). Book building, auctions, and the future of the IPO process. Journal of Applied Corporate Finance, 17(1), 55-66.

Zhang, P. (2009). Uniform price auctions and fixed price offerings in IPOs: an experimental comparison. Experimental Economics, 12(2), 202-221.