文本分析能解决定价偏低的难题吗?美国房地产投资信托基金研究

IF 1.6 Q3 BUSINESS, FINANCE Journal of Property Investment & Finance Pub Date : 2021-11-11 DOI:10.1108/jpif-06-2021-0052
Nino Martin Paulus, M. Koelbl, Wolfgang Schaefers
{"title":"文本分析能解决定价偏低的难题吗?美国房地产投资信托基金研究","authors":"Nino Martin Paulus, M. Koelbl, Wolfgang Schaefers","doi":"10.1108/jpif-06-2021-0052","DOIUrl":null,"url":null,"abstract":"PurposeAlthough many theories aim to explain initial public offering (IPO) underpricing, initial-day returns of US Real Estate Investment Trust (REIT) IPOs remain a “puzzle”. The literature on REIT IPOs has focused on indirect quantitative proxies for information asymmetries between REITs and investors to determine IPO underpricing. This study, however, proposes textual analysis to exploit the qualitative information, revealed through one of the most important documents during the IPO process – Form S-11 – as a direct measure of information asymmetries.Design/methodology/approachThis study determines the level of uncertain language in the prospectus, as well as its similarity to recently filed registration statements, to assess whether textual features can solve the underpricing puzzle. It assumes that uncertain language makes it more difficult for potential investors to price the issue and thus increases underpricing. Furthermore, it is hypothesized that a higher similarity to previous filings indicates that the prospectus provides little useful information and thus does not resolve existing information asymmetries, leading to increased underpricing.FindingsContrary to expectations, this research does not find a statistically significant association between uncertain language in Form S-11 and initial-day returns. This result is interpreted as suggesting that uncertain language in the prospectus does not reflect the issuer's expectations about the company's future prospects, but rather is necessary because of forecasting difficulties and litigation risk. Analyzing disclosure similarity instead, this study finds a statistically and economically significant impact of qualitative information on initial-day returns. Thus, REIT managers may reduce underpricing by voluntarily providing more information to potential investors in Form S-11.Practical implicationsThe results demonstrate that textual analysis can in fact help to explain underpricing of US REIT IPOs, as qualitative information in Forms S-11 decreases information asymmetries between US REIT managers and investors, thus reducing underpricing. Consequently, REIT managers are incentivized to provide as much information as possible to reduce underpricing, while investors could use textual analysis to identify offerings that promise the highest returns.Originality/valueThis is the first study which applies textual analysis to corporate disclosures of US REITs in order to explain IPO underpricing.","PeriodicalId":46429,"journal":{"name":"Journal of Property Investment & Finance","volume":null,"pages":null},"PeriodicalIF":1.6000,"publicationDate":"2021-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Can textual analysis solve the underpricing puzzle? A US REIT study\",\"authors\":\"Nino Martin Paulus, M. Koelbl, Wolfgang Schaefers\",\"doi\":\"10.1108/jpif-06-2021-0052\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"PurposeAlthough many theories aim to explain initial public offering (IPO) underpricing, initial-day returns of US Real Estate Investment Trust (REIT) IPOs remain a “puzzle”. The literature on REIT IPOs has focused on indirect quantitative proxies for information asymmetries between REITs and investors to determine IPO underpricing. This study, however, proposes textual analysis to exploit the qualitative information, revealed through one of the most important documents during the IPO process – Form S-11 – as a direct measure of information asymmetries.Design/methodology/approachThis study determines the level of uncertain language in the prospectus, as well as its similarity to recently filed registration statements, to assess whether textual features can solve the underpricing puzzle. It assumes that uncertain language makes it more difficult for potential investors to price the issue and thus increases underpricing. Furthermore, it is hypothesized that a higher similarity to previous filings indicates that the prospectus provides little useful information and thus does not resolve existing information asymmetries, leading to increased underpricing.FindingsContrary to expectations, this research does not find a statistically significant association between uncertain language in Form S-11 and initial-day returns. This result is interpreted as suggesting that uncertain language in the prospectus does not reflect the issuer's expectations about the company's future prospects, but rather is necessary because of forecasting difficulties and litigation risk. Analyzing disclosure similarity instead, this study finds a statistically and economically significant impact of qualitative information on initial-day returns. Thus, REIT managers may reduce underpricing by voluntarily providing more information to potential investors in Form S-11.Practical implicationsThe results demonstrate that textual analysis can in fact help to explain underpricing of US REIT IPOs, as qualitative information in Forms S-11 decreases information asymmetries between US REIT managers and investors, thus reducing underpricing. Consequently, REIT managers are incentivized to provide as much information as possible to reduce underpricing, while investors could use textual analysis to identify offerings that promise the highest returns.Originality/valueThis is the first study which applies textual analysis to corporate disclosures of US REITs in order to explain IPO underpricing.\",\"PeriodicalId\":46429,\"journal\":{\"name\":\"Journal of Property Investment & Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.6000,\"publicationDate\":\"2021-11-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Property Investment & Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1108/jpif-06-2021-0052\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Property Investment & Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/jpif-06-2021-0052","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 2

摘要

目的尽管许多理论都试图解释首次公开募股(IPO)定价偏低的原因,但美国房地产投资信托(REIT)IPO的首日回报率仍然是一个“谜”。关于REIT IPO的文献集中在REITs和投资者之间信息不对称的间接定量代理上,以确定IPO抑价。然而,这项研究提出了文本分析,以利用IPO过程中最重要的文件之一——表S-11所揭示的定性信息,作为信息不对称的直接衡量标准。设计/方法/方法这项研究确定了招股说明书中不确定语言的水平,以及它与最近提交的注册声明的相似性,以评估文本特征是否可以解决定价偏低的问题。它假设不确定的语言会使潜在投资者更难为发行定价,从而增加抑价。此外,据推测,与之前提交的文件更高的相似性表明,招股说明书提供的有用信息很少,因此无法解决现有的信息不对称问题,从而导致定价偏低的情况增加。结果与预期相反,这项研究没有发现S-11中不确定的语言与最初的一天回报之间存在统计学上的显著关联。这一结果被解释为表明,招股说明书中的不确定语言并不能反映发行人对公司未来前景的预期,而是由于预测困难和诉讼风险而有必要的。相反,通过分析披露的相似性,本研究发现定性信息对首日回报的影响在统计学和经济上都具有显著意义。因此,房地产投资信托基金经理可以通过自愿在表格S-11中向潜在投资者提供更多信息来减少抑价。实际含义研究结果表明,文本分析实际上有助于解释美国房地产投资基金IPO的抑价,因为表格S-11的定性信息减少了美国房地产信托基金经理和投资者之间的信息不对称,从而减少了抑价。因此,房地产投资信托基金经理被激励提供尽可能多的信息来减少定价过低,而投资者可以使用文本分析来确定承诺最高回报的产品。原创性/价值这是第一项将文本分析应用于美国REITs公司披露以解释IPO抑价的研究。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Can textual analysis solve the underpricing puzzle? A US REIT study
PurposeAlthough many theories aim to explain initial public offering (IPO) underpricing, initial-day returns of US Real Estate Investment Trust (REIT) IPOs remain a “puzzle”. The literature on REIT IPOs has focused on indirect quantitative proxies for information asymmetries between REITs and investors to determine IPO underpricing. This study, however, proposes textual analysis to exploit the qualitative information, revealed through one of the most important documents during the IPO process – Form S-11 – as a direct measure of information asymmetries.Design/methodology/approachThis study determines the level of uncertain language in the prospectus, as well as its similarity to recently filed registration statements, to assess whether textual features can solve the underpricing puzzle. It assumes that uncertain language makes it more difficult for potential investors to price the issue and thus increases underpricing. Furthermore, it is hypothesized that a higher similarity to previous filings indicates that the prospectus provides little useful information and thus does not resolve existing information asymmetries, leading to increased underpricing.FindingsContrary to expectations, this research does not find a statistically significant association between uncertain language in Form S-11 and initial-day returns. This result is interpreted as suggesting that uncertain language in the prospectus does not reflect the issuer's expectations about the company's future prospects, but rather is necessary because of forecasting difficulties and litigation risk. Analyzing disclosure similarity instead, this study finds a statistically and economically significant impact of qualitative information on initial-day returns. Thus, REIT managers may reduce underpricing by voluntarily providing more information to potential investors in Form S-11.Practical implicationsThe results demonstrate that textual analysis can in fact help to explain underpricing of US REIT IPOs, as qualitative information in Forms S-11 decreases information asymmetries between US REIT managers and investors, thus reducing underpricing. Consequently, REIT managers are incentivized to provide as much information as possible to reduce underpricing, while investors could use textual analysis to identify offerings that promise the highest returns.Originality/valueThis is the first study which applies textual analysis to corporate disclosures of US REITs in order to explain IPO underpricing.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
3.50
自引率
23.10%
发文量
33
期刊介绍: Fully refereed papers on practice and methodology in the UK, continental Western Europe, emerging markets of Eastern Europe, China, Australasia, Africa and the USA, in the following areas: ■Academic papers on the latest research, thinking and developments ■Law reports assessing new legislation ■Market data for a comprehensive review of current research ■Practice papers - a forum for the exchange of ideas and experiences
期刊最新文献
Client influence or the valuer's behavior? An empirical study of listed companies' valuation in Taiwan The influence mechanism of real estate enterprises' status on debt default risk Exploring the predictive power of ANN and traditional regression models in real estate pricing: evidence from Prishtina Real Estate Insights Back to the basics of sustainability The role of multi-family properties in hedging pension liability risk: long-run evidence
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1