无新股配售权限制下的操纵行为  

Manipulation in case of no limitation on IPO allocation

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：《系统工程理论与实践》2009年第4期19-27,共9页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70471025)

摘　　要：新股询价发行中如果没有对配售权的限制,承销商和关联机构投资者有可能利用自由配售权和信息不对称进行市场操纵.建模研究了承销商和关联投资者如何在IPO累计投标询价过程中进行策略的分配并在二级市场中实施基于交易的操纵,采用逆推法求出操纵的混同均衡解,分析了混同均衡操纵存在的条件并考察了各个因素对操纵存在的影响,发现当新股未来可能的价值差异足够大时不存在操纵,而当价值差异较小时可能存在操纵,且操纵存在的概率与未来价值为高的概率、关联投资者长期持股成本、动量交易者数量以及承销商从关联投资者处获取的提成比例正相关,与操纵者进入市场的先验概率、流动性交易者申购量对发行价的敏感度、市场价格对需求量的敏感度、承销商从发行公司处获得的佣金比例以及发行规模负相关.If there is no limitation on IPO allocation in IPO bookbuilding, the underwriter and affiliated institutional investor maybe exploit free allocation and information asymmetry to manipulate. A model is developed to study how underwriter and affiliated institutional investor strategically allocate IPO in the process of IPO bookbuilding and implement manipulation on secondary market. Using backward induction, the pooling equilibrium of manipulation is derived. Moreover, we analyze the incentive compatibility condi- tions to which the existence of pooling equilibrium should satisfy and examine some factors＇ impact on the existence of manipulation. The results show that if the difference of possible real values is large enough then the manipulation will not exist, otherwise the manipulation may arise. The probability of manipulation has positive relation to the probability of high value, the cost of holding IPO for affiliated investor, the number of momentum investors and the percentage of commission from affiliated investor, while has negative relation to the prior probability of manipulator entering the market, the sensitivity of liquidity investors demand to offering price, the sensitivity of market price to demand quantity, the percentage of underwriting fee from IPO firm and the offering size.

关 键 词：新股配售权 信息不对称 操纵 混同均衡 

分 类 号：F830.91[经济管理—金融学]