新股询价发行中的价格区间与配售策略  

Price Range and Strategic Allocation in IPO Bookbuilding

作　　者：刘钰善[1] 刘海龙[1] 

机构地区：[1]上海交通大学安泰经济与管理学院金融工程研究中心,上海200052

出　　处：《管理工程学报》2009年第1期116-120,157,共6页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(70773076)

摘　　要：询价制在新股首次公开发行中正变得日益流行和重要。运用机制设计理论建模分析了承销商如何在新股询价发行过程中制定最优的发行底价和折价水平以得到合适的价格区间,并在发生超额认购时对投资者采取最优的配售策略。研究结果表明当价格区间与配售量满足激励约束条件时,可以达到让知情投资者搜集信息并如实报价的均衡,此外,折价及发行底价均与配售额关系密切,通过策略地分配股票,可以有效降低折价水平并保证较高的发行底价,进一步减少融资成本。IPO bookbuilding is becoming increasingly popular and important.Through using mechanism design theory,a model is developed in this paper to study how the underwriter sets the optimal bottom price and discount to consist of the proper price range and implements the optimal allocation strategy on the occasion of oversubscription.The result shows that when the price range and allocation satisfy the incentive constraints,it is an equilibrium for informed investor to collect information and to quote the true price.Furthermore,the discount and bottom price are all relative to the allocation.With strategic allocation,underwriters can reduce the level of discount and increase the bottom price so that the financing cost will be less.

关 键 词：首次公开发行 询价制 价格区间 配售 

分 类 号：F830.91[经济管理—金融学]