How does analyst forecast dispersion affect SEO discounts in uniform-price auction system? Evidence from investor bids in China

作者：Yang, Mingjing; Cheng, Xiaoke; Sun, Qian; Lu, Chao^*

来源：International Review of Economics & Finance, 2019, 63: 198-208.

DOI：10.1016/j.iref.2018.09.009

• Analyst forecast dispersion
• SEO discounts
• Uniform-price auction
• Bidding behavior

This study investigates the relationship between the analyst forecast dispersion and SEO pricing in auction system of SEOs in China. Leveraging detailed investor bids, our findings show that the analyst forecast dispersion has two opposite information contents, information asymmetry and divergent opinions, both of which affect the investor bidding behavior and SEO pricing. The information asymmetry effect leads to a decrease in weighted average of investor bid prices and the divergent opinions effect leads to an increase in the standard deviation of bid prices. The net effect of the two information contents in analyst forecast dispersion results in an increase in SEO discounts, suggesting the effect of information asymmetry outweighs that of divergent opinions. Furthermore, the transmission mechanism test shows that the investor bidding behavior is a complete transmission channel underling the impact of analyst forecast dispersion and SEO discounts. Our findings contribute to the literature related to SEO discount determinants and how financial analysts affect capital markets.

• 出版日期2019-9
• 单位北京交通大学