We investigate the relationship between IPO long-run underperformance (Ritter, 1991; Loughran and Ritter, 1995) and the idiosyncratic risk puzzle (Ang, Hodrick, Xing, and Zhang, 2006) or the phenomenon of abnormally low returns for stocks with high idiosyncratic risk. We find that IPO long-run underperformance is a manifestation of surprisingly low returns for high idiosyncratic risk stocks. IPO underperformance disappears after we control for idiosyncratic risk. On the other hand, we find that the idiosyncratic risk puzzle is magnified by IPO underperformance. Our results are robust to various specifications or sample requirements. We evaluate a couple of potential common causes for the two puzzles and conclude that investors’ preferences for stocks with lottery features is the primary mechanism linking the two puzzles.

我们调查了 IPO 长期表现不佳（Ritter，1991；Loughran 和 Ritter，1995）与异质风险难题（Ang、Hodrick、Xing 和 Zhang，2006）或高异质股票的异常低回报现象之间的关系风险。我们发现 IPO 长期表现不佳是高特殊风险股票令人惊讶的低回报的表现。在我们控制了特殊风险之后，IPO 表现不佳的情况就会消失。另一方面，我们发现 IPO 表现不佳放大了特殊的风险难题。我们的结果对各种规格或样品要求都是稳健的。我们评估了这两个谜题的几个潜在的共同原因，并得出结论，投资者对具有彩票特征的股票的偏好是连接这两个谜题的主要机制。