询价下异质预期对IPO抑价的影响  

The Effect of Heterogeneous Expectation to IPO Underpricing Based on Bookbuilding

作　　者：张小成[1] 孟卫东[1] 周孝华[1] 

机构地区：[1]重庆大学经济与工商学院,重庆400030

出　　处：《中国管理科学》2008年第6期168-175,共8页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(70473107)

摘　　要：针对IPO抑价中的有意抑价和无意抑价问题,本文运用行为金融理论和博弈论,研究了发行人和机构投资者的同质和异质预期对IPO抑价的影响,并进行抑价比较分析。研究表明,两种情况下,机构投资者为规避风险和追求更高的回报,都有有意抑价的激励;当机构投资者与发行人对新股价值不存在分歧时,IPO抑价中只有有意抑价,而无无意抑价;当机构投资者与发行人对新股价值存在分歧时,分歧越大,IPO抑价越高,而抑价中有意抑价不变,无意抑价增大。In the view of intentional and unintentional underpricing in IPO underpricing,the paper uses the behavioral finance and game theory, and studies the issuers and institutional investors＇ heterogeneous and homogeneoug expectations how to effect IPO underpricing , and IPO underpricing was analysized. The study result shows that the institutional investors have motivation to suppress the price on whatever condi- tion is to avoid the ＂Winner＇s Curse＂ and purse higher expected IPO underpricing. When the issuers and institutional investors have no divergence to the IPO value, namely, homogeneous expectation exists, there is only intentional underpricing in IPO underpricing and no unintentional underpricing exists. Inversely, it will lead to yield higher IPO underprieing. Moreover, the more divergence, the lager unintentional underpricing but the intentional underpricing is stable.

关 键 词：异质预期 IPO 询价 

分 类 号：F224[经济管理—国民经济]